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Overview
Delta 1 options are U.S. options that are so deep in the money that their price moves almost dollar for dollar with the underlying stock. You can't buy to open a call with a delta of 1 or sell to open a put with a delta of –1, but you can still close any position you already hold.
If you try to place one of these orders, you'll see a message and won't be able to submit it.
What delta 1 means
Delta shows how much an option's price is expected to change when the price of the stock moves by $1. For a call option, delta ranges from 0 to 1. For a put option, delta ranges from 0 to –1.
An option with a delta of 1 (or –1) is deep in the money, so its price moves almost dollar for dollar with the underlying stock: in the same direction for a call, and in the opposite direction for a put. For example, if the stock price goes up by $1, a delta 1 call option's price goes up by about $1 per share.
To learn what "in the money" means, see Understand options terminology.
Where to find delta
You can see an option's delta in the options chain in the Wealthsimple app. Delta isn't available on web.
- Log in to the Wealthsimple app
- Tap the Search icon at the bottom of the screen
- Use the search bar to find the stock you want to trade options on
- Tap Trade, then select Trade options
- Select either Call or Put and choose your desired expiry date
- Check the Delta column in the options chain
What you can and can't do
| Order | Available |
|---|---|
| Buy to open a U.S. call option with a delta of 1 | No |
| Sell to open a U.S. put option with a delta of –1 | No |
| Close any option position you already hold | Yes |
| All other options orders | Yes |
When an order isn't available, you'll see this message: "You can't open a position in this option because its delta is 1. You can still close positions you already hold."
Why we block these orders
U.S. tax rules treat options that move like the underlying stock differently from other options. We aren't set up to handle those tax requirements, so you can't open new positions in these options.
This isn't related to your account or your trading history. It applies to the contract.
What you can do instead
- Choose a different contract. Pick another strike price or expiry date. Options with a delta further from 1 or –1 aren't affected. If you trade on web, you can check a contract's delta in the Wealthsimple app first.
- Check back later. A contract that's blocked now may become available when its delta changes.
Frequently asked questions
Why can't I open a position in this option?
It has a delta of 1 or –1, which means its price moves almost dollar for dollar with the underlying stock. U.S. tax rules apply differently to these options, and we can't support opening new positions in them.
Can I still close a position in a delta 1 option?
Yes. This restriction only applies to opening new positions.
Will I be able to open a position in this contract later?
Possibly. Delta changes with the stock price and as the expiry date gets closer. If its delta moves away from 1 or –1, you may be able to open a position.
Does this apply to all options?
It applies to U.S. options. You can't buy to open a call with a delta of 1 or sell to open a put with a delta of –1. Other options orders, including multi-leg orders like spreads, aren't affected.
How can I see an option's delta?
In the Wealthsimple app, check the Delta column in the options chain when you're choosing a contract to trade. Delta isn't available on web. For step-by-step instructions, see Where to find delta.
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