Definition
Delta is the sensitivity of an option's price to a one-unit change in the price of the underlying asset. An at-the-money call option typically has a delta near 0.5, meaning the option price moves about $0.50 for each $1 change in the underlying. Delta is also used more broadly to describe net directional exposure across a portfolio, including in digital asset market making and structured product contexts. Managing delta is a core discipline for any firm running options, structured products, or non-linear exposure.
Example
A market maker holds a 100-lot call option position with 0.5 delta per contract. Total delta exposure is 50 units of the underlying long. To hedge neutral, the market maker sells 50 units of spot to zero out the directional exposure.
How Liquid Mercury Handles This
Mercury Pro's risk surfaces include real-time delta tracking for portfolios spanning spot, options, and structured products, with kill switches and pre-trade controls that factor delta exposure into risk limits.