Delta: Variation with Time to Maturity

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1. Context

In this short video, we explore the impact of changing the time to maturity on the delta of European call and put options. We draw on intuitive mathematical and visual explanations to explain how delta of out-of-money and in-the-money call / put options changes as time to maturity changes. The details of the reading in which this topic appears are given below:

AreaValuation and Risk Models
ReadingThe Greek Letters
ReferenceJohn C. Hull, Chapter 19. The Greek Letters In Options, Futures, and Other Derivatives, 10th Edition, (New York: Pearson, 2017).

2. Video