What Is the ‘Delta’ of an Option and How Does It Change as the Option Moves ITM?

Delta is a Greek letter that measures the sensitivity of an option's price to a $1 change in the underlying asset's price. It also represents the probability of the option expiring 'in-the-money' (ITM).

As a Call Option moves deeper ITM, its Delta approaches +1.0, meaning the option price moves almost dollar-for-dollar with the underlying asset. For a Put Option, Delta approaches -1.0 as it moves deeper ITM.

This change reflects the option behaving more like the underlying asset itself.