Delta
The sensitivity of an option's premium to a change in the price of the underlying.
Formula
\Delta = \frac{\partial C}{\partial S}C is the option premium and S the price of the underlying. A call has positive delta, a put negative.
How to read the number
Delta converts an option into an equivalent amount of the underlying: it tells how many futures the option position stands in for on a small move.
When the metric lies
Delta is not constant and shifts with price and with time left. A position neutralised in the morning is directional again by the evening, although the holder did nothing.
Also known as: option delta