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Delta positive
By Martin | October 21, 2011
Call options are said to be delta positive because their value increases by the value of delta for a one unit rise in the price of the underlying.
Put options are said to be delta negative because their value decreases in value by delta for every one unit rise in the price of the underlying.
This relationship can be upset in barrier options.
An in-the-money knock-out call {put} will behave normally until, at a point near to the knock-out, any further increase {decrease}) in the underlying
will cause the value of the option to drop because the probability of its being knocked-out is more significant than the fact that it is moving further into the money.
At this point puts become delta positive and calls become delta negative.
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