Options Glossary
Delta measures how much an option's price is expected to change for every $1 move in the underlying stock. It's the first thing most traders check when they're deciding which strike to buy, because it tells you how directly your option will track the stock's movement.
Delta is a number between 0 and 1 for call options, and between 0 and -1 for put options. A call with a delta of 0.50 will gain roughly $0.50 in value for every $1 the stock goes up. A put with a delta of -0.50 will gain roughly $0.50 in value for every $1 the stock goes down.
Traders commonly use the absolute value of delta as a shorthand estimate for the probability that an option will expire in the money. An option with a delta of 0.30 is often read as having roughly a 30% chance of finishing in the money at expiration. This is an approximation, not an exact probability, but it's a widely used rule of thumb for comparing strikes.
Delta isn't fixed. It moves closer to 1 (or -1) as an option gets deeper in the money and closer to expiration, and it moves closer to 0 as an option gets further out of the money. The rate at which delta itself changes is measured by a separate value called gamma.
Delta shows up in a few practical decisions: choosing a strike price based on how much directional exposure you want, estimating how an existing position will move before checking the actual option quote, and sizing an options position the way you'd size a stock position, since delta effectively tells you how many "shares" of exposure one contract represents.