What Is “Delta” in Options Trading and How Does It Relate to Moneyness?

Delta is an options Greek that measures the expected change in an option's price for a $1 change in the underlying asset's price. It is often used as a proxy for the probability of an option expiring in-the-money.

Delta is directly related to moneyness: deep in-the-money options have deltas approaching 1.00 (for calls) or -1.00 (for puts), at-the-money options have deltas around 0.50 or -0.50, and out-of-the-money options have deltas approaching zero.