Volume Delta

Delta normally is used as an options Greek that describes the rate of change of the underlying instrument to the rate of change of the derivative tracking it. It is also called the “hedge ratio” in that context. For me however, Delta describes the quantity of contracts bought at the offer minus sold at the bid. It simply measures the “aggressiveness” of buyers versus sellers.

How does this work? If I was not a motivated seller, then I would put a limit offer out and wait for the market to come to me. I am not aggressive. If I were motivated, however, I would reach down to the bid and hit to enter the market without delay. The delta on AMS is called VolumeBreakDown.