Define the Term ‘Implied Probability’ as It Relates to an Option’s Delta

The Delta of an option can be used as a close approximation for the market's implied probability that the option will expire In-the-Money (ITM). For a European call option, the Delta is mathematically related to the cumulative normal distribution function, which represents the probability of the asset price being above the strike price at expiration.

Therefore, a Delta of 0.65 for a call option suggests the market believes there is approximately a 65% chance the call will expire ITM. This is a heuristic, not a precise probability.