How Does the Concept of “Skew” Affect the Interpretation of Delta as Probability?

Volatility skew, where options with different strike prices have different implied volatilities, means the Black-Scholes model's assumption of uniform volatility is violated. Since Delta is derived from this model, the skew introduces an error, making Delta a less accurate probability estimate, especially for deep OTM or ITM options.

Traders must adjust their interpretation based on the observed skew.