Delta expresses the amount of change in the price of a derivative instrument depending on the price of the underlying security (for example, shares).
Delta can be positive or negative, from 0 to 1 for a call option and from 1 to 0 for a put option.
Delta spread is an options trading strategy in which the trader initially establishes a delta-neutral position by simultaneously buying and selling options in proportion to the neutral ratio.
The most common tool for implementing the delta spread strategy is the calendar spread, which involves building a delta-neutral position using options with different expiration dates.
A horizontal spread is a simultaneous long and short position in derivatives for the same underlying asset and strike price, but with different expiration dates.
Boundary conditions were used to establish the minimum and maximum possible values of call and put options prior to the introduction of binomial tree and Black-Scholes pricing models.
Deep-in-the-money options have strike prices that are significantly above or below the market price of the underlying asset and thus contain mostly intrinsic value.
Delta hedging is an options strategy that aims to be directional neutral by establishing compensating long and short positions in the same underlying asset.
The extrinsic value is the difference between the market price of an option, also known as its premium, and its intrinsic price, which is the difference between the strike price of the option and the price of the underlying asset.