What Is ‘Delta’ in Options Trading and How Does the Black-Scholes Model Calculate It?

Delta is one of the 'Greeks' and measures an option's sensitivity to a change in the underlying asset's price. Specifically, it estimates the change in the option's price for a one-unit change in the underlying asset's price.

The Black-Scholes model calculates delta as the cumulative distribution function of a standardized normal variable, which is a complex function of all five model inputs, reflecting the probability of the option expiring in-the-money.