Brian Lee
Jul 24, 2025
Option delta is one of the core “greeks” used in options trading. It measures how much an option’s price is expected to change when the underlying stock moves by $1. For call options, delta ranges from 0 to 1; for puts, it ranges from -1 to 0.
Many traders read delta as the approximate probability that the option will finish in the money. A call with a delta of 0.30 implies roughly a 30% chance that the stock will close above the strike at expiration.
When combined with measures like Daily Volatility (\(DV\)), delta helps set realistic buy or sell levels. Lower deltas mean less chance of execution but can offer more attractive prices, while higher deltas signal a greater likelihood of assignment.