Delta

Delta measures how much an option's price is expected to change for every $1 move in the underlying stock. It ranges from 0 to 1.0 for calls and −1.0 to 0 for puts.

A call with a delta of 0.50 gains $0.50 in value for every $1 rise in the stock (and loses $0.50 for every $1 fall). A put with a delta of −0.40 gains $0.40 for every $1 drop.

Why it matters: Delta is the most commonly referenced Greek. It tells you your directional exposure, how much your position behaves like owning (or shorting) shares. A delta of 0.50 means your option moves roughly like owning 50 shares.

Delta as probability: Delta also serves as a rough approximation of the probability that an option expires in the money. A 0.30 delta option has roughly a 30% chance of expiring ITM. This makes delta extremely useful for strike selection in premium-selling strategies.

Delta across moneyness:

• Deep ITM: delta near 1.0 (calls) or −1.0 (puts)
• ATM: delta near 0.50
• OTM: delta below 0.50, approaching 0 as strikes move further away

Example: You sell a put with a delta of −0.20. You have roughly a 20% chance of being assigned, and your position behaves like being short 20 shares of stock. If the stock drops $5, your short put loses approximately $1.00 per share ($100 per contract).

Related terms: Gamma, moneyness, ITM, OTM, ATM, delta hedging

Try it on Stryke: Filter options by delta in the Options Screener to find your target strike quickly.