What Is the Relationship between Delta and ITM Status for a Call Option?
As a Call Option moves deeper In-the-Money (ITM), its Delta approaches 1.0. A Delta of 1.0 means the option price moves nearly dollar-for-dollar with the underlying asset price.
Conversely, as the option moves Out-of-the-Money (OTM), its Delta approaches 0.50 (At-the-Money) and then 0, reflecting a lower probability of exercise.
