Why Is the Delta of a Deep OTM Option Close to Zero?

A deep out-of-the-money (OTM) option has a strike price far from the current underlying price, making it highly unlikely to finish in-the-money. The delta, which measures the option's sensitivity to the underlying price, approaches zero because even a small move in the underlying price will have a negligible effect on the option's value.

This reflects the low probability of the option having any intrinsic value at expiration.