kkn006

Imagine this scenario:

Stock @ $10
Call w/ strike at $15
Put w/ strike at $15

Put Delta = -.75
Call Delta = .25

Stock goes up $1 (to $11) -> Put option goes down in value by $0.75, Call option goes up by $0.25.

Because stock goes up, put delta goes down (less in the money now), call option delta goes up (closer to in the money). For example, after stock goes up $1, put option delta could be -.70 & call option delta could by 0.30.