How Is the Probability of Exercise Related to Delta?

In the context of the Black-Scholes model, Delta is often used as a rough approximation of the probability that an option will expire in-the-money (ITM). A Delta of 0.70 suggests an approximately 70% chance of the option finishing ITM.

This relationship is more accurate for European-style options and is a useful heuristic for traders assessing risk and potential payoff.