How Does High Volatility Affect the Delta of an At-the-Money Option?
High volatility causes the delta of an at-the-money (ATM) option to move closer to 0.50. This is because high volatility increases the probability that the option will finish both in-the-money and out-of-the-money, making its price less sensitive to small changes in the underlying asset's price and more sensitive to time and volatility.
