A change in the sensitivity of an option (or generally a derivative) with the passage of time, holding everything else constant (e.g., volatility). The delta bleed captures the change in the delta of an option as the time passes by (over the course of the option’s life). Empirical evidence indicates that the delta of an option varies over time. The bleed is measured by re-pricing the option one day shorter.

The delta bleed can be calculated taking the delta of today and subtracting the delta of tomorrow by re-pricing the option one day shorter:

Delta bleed = delta (at time n) – delta (at time n+1)

Delta bleed is also referred to as delta decay, charm or DdelT.