What Is the Approximate Delta of a Deep Out-of-the-Money Option?

The approximate Delta of a deep Out-of-the-Money (OTM) option is close to zero. For a call option, Delta is near +0, and for a put option, Delta is near -0.

This indicates that the option is highly unlikely to expire In-the-Money. Therefore, small changes in the underlying price have a negligible impact on the option's value, as its premium is mostly composed of time value (extrinsic value).