Explain the Concept of ‘Probability of Expiration’ as It Relates to Delta

In the context of the Black-Scholes model, Delta is often used as a proxy for the probability that the option will expire In-the-Money (ITM). A Call option with a Delta of 0.30 is estimated to have a 30 percent chance of expiring ITM.

This interpretation is a simplification, but it provides a quick, intuitive understanding of the option's directional odds.