How Does the Concept of “Delta” in Options Trading Measure the Derivative’s Sensitivity to the Underlying Asset Price?

Delta is one of the "Greeks" and measures the expected change in an option's price for a one-unit change in the price of the underlying asset. For example, a call option with a Delta of 0.60 means the option price is expected to increase by $0.60 if the underlying asset price increases by $1.00.

Delta also represents the approximate probability of the option expiring in-the-money.