Delta
How much an option’s price moves for a $1 move in the stock, and a rough probability gauge.
Delta ranges from 0 to 1 for calls and 0 to -1 for puts. A 0.30 delta option moves about $0.30 per $1 move in the stock. Traders also use delta as a loose estimate of the chance an option finishes in the money, so a 0.30 delta put implies roughly a 30% chance of assignment. It is a model output, not a promise.
For example
Wheel sellers often target a 0.25 to 0.30 delta, which implies about a 70 to 75% chance the option expires worthless and they simply keep the premium.
Related terms
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