What Is the ‘Delta’ of an Option?

Delta is one of the "Greeks" and measures the sensitivity of an option's price to a one-unit change in the price of the underlying asset. It is a value between 0 and 1 for Call options and between -1 and 0 for Put options.

A Delta of 0.50 means the option price is expected to move 50 cents for every $1 change in the underlying asset's price. It is also an approximation of the probability of the option expiring In-the-Money.