What Is the Relationship between the Option’s Delta and Its Probability of Expiring In-the-Money?

The delta of an option is often used as a rough proxy for the probability that the option will expire in-the-money (ITM). For a standard option, a delta of 0.70 suggests a 70% chance of expiring ITM, assuming a log-normal distribution of prices.

While not a precise probability, this relationship is a useful heuristic for traders to quickly gauge the likelihood of a payoff.