The sensitivity of an option’s premium (price) to changes in the forward market on the same underlying asset over the option’s lifespan. Changes in the forward market can be expressed as the present value (PV) of a forward contract whose underlying and maturity are identical to those of the option.

The forward delta reflects the number of forward contracts that can correspond to, or track, the option. An option can be perceived as a dynamic portfolio of forward contracts involving the same underlying asset and additionally risk-free bonds.