In options trading, traders are often presented with Greek letters that represent mathematical measures of the sensitivity of the option price to different variables, which are products of the option pricing model, and through these measures, option traders can more accurately assess the risk exposure of the option and construct the appropriate risk management as well as trading strategies.
The Greek letters commonly used in options trading are as follows: Delta (Δ), Gamma (Γ), Theta (Θ), Vega (ν), Rho (ρ). The connotations of Delta (Δ) are described below. 
Option P&L = Delta P&L + Gamma P&L + Vega P&L + Theta P&L + other small factors P&L.
Delta
Definition: Delta is the partial derivative of the option price with respect to the change in the price of the underlying asset.
Meaning: Delta measures the rate of change in the price of an option relative to the change in the price of the underlying asset, in short, it is the amount by which the price of the option is expected to change if the price of the underlying asset changes by one unit.Dleta is a very important reference in options trading strategies.
e.g. Assume, we have a call option priced at 1.00 and it has a .50 delta. This means whatever the change of the underlying future is, the option will move by 50% of that change. Our underlying futures product moved from 96 to 97.5. This is a 1.5 point move. So, our option’s premium will now change by 50% of 1.5 or .75. Making the option’s new price 1.75
Calls always have positive delta between 0 and 1.00, while puts always have negative delta between 0 and -1.00. The delta of a futures contract is 1.00.
Traders usually refer to the delta without the decimal point. So, a .40 delta is commonly referred to as a 40 delta.
Being Long a call will result in positive Delta; being short a call results in negative Delta. Conversely, being Long a put results in negative Delta; being short a put results in positive Delta. The absolute value of the Delta also tells the approximate probability that the option will finish in-the-money.
Application: With a Delta Neutral strategy, options traders can buy and sell the underlying asset or other options to offset risk and achieve Delta Neutrality. Positions can be adjusted based on the Dleta value to achieve the trader's ideal exposure.
