Photos on my iPhone lack a delete option after syncing from iTunes

Hey guys, I am having an issue on my iPhone when i transfer or synchronise photographs from my itunes to my phone, for some reason all the photos appear on the phone but lack the delete option, the only way I can delete is through iTunes again. I would however like that its possible to delete directly from my cell phone and not from iTunes all the time. Is anyone expiriencing the same issue as me? Please advice....