What Is the Relationship between Delta and the Probability of an Option Expiring In-the-Money?

Delta is often used as a rough proxy for the probability that an option will expire in-the-money (ITM). For a European option, a Delta of 0.70 suggests a 70% chance of the option finishing ITM.

This interpretation is an approximation derived from the mathematics of the Black-Scholes model, assuming a log-normal distribution of asset prices. While not a precise probability, it is a useful quick gauge for traders.