Explain the Relationship between Delta and Time to Expiration for an In-the-Money Option ▴ Learn

Explain the Relationship between Delta and Time to Expiration for an In-the-Money Option.

For an in-the-money (ITM) option, delta approaches 1 (for a call) or -1 (for a put) as time to expiration shortens. This is because the option is almost certain to expire ITM, making its price move nearly one-for-one with the underlying asset.

The closer to expiration, the more the ITM option behaves like the underlying asset itself.

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Define In-The-Money (ITM) for Both a Call and a Put Option

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