How much an option's price is expected to change for a $1 move in the underlying asset. A delta of 0.5 means about $0.50.

What range does delta have?

Calls range from 0 to 1 and puts from −1 to 0. At-the-money options have deltas near ±0.5.

Is delta the probability of expiring in the money?

It is often used as a rough approximation of that probability, though they are not exactly the same.

Guide · Markets

Options Delta: What It Actually Measures

Delta gets described as 'the probability an option expires in the money' — that's a useful shortcut, but not quite what the number actually calculates.

Sep 23, 2026

Delta measures how much an option's price is expected to move for a $1 move in the underlying asset. A call option with a delta of 0.60 should theoretically gain about $0.60 in value if the underlying rises by $1; a put option's delta is negative, since puts gain value as the underlying falls.

Delta ranges from 0 to 1 for calls (0 to -1 for puts), and it shifts constantly as the underlying's price moves and as expiration approaches. An option deep in the money behaves almost like the underlying itself (delta near 1), while a far out-of-the-money option barely moves at all (delta near 0) — it takes a large, sudden move in the underlying to meaningfully change its value.

The "probability of expiring in the money" shortcut is popular because delta and that probability happen to be numerically close for many options, but they're not the same calculation — delta comes from an option pricing model's sensitivity, not a direct probability estimate. It's a useful approximation for quick mental math, just not a technically precise one.