How Does the Delta of an Option Change as It Moves Deeper In-the-Money?
As an option moves deeper In-the-Money (ITM), its Delta approaches its maximum absolute value. For a call option, Delta moves closer to +1.
For a put option, Delta moves closer to -1. This is because the option starts behaving almost exactly like the underlying asset itself.
Its value changes nearly dollar-for-dollar with the underlying, as its intrinsic value dominates the premium. This means the option is highly likely to be exercised.
