What it means
Delta measures the sensitivity of an option's price to a $1 change in the underlying. Calls have positive delta (0 to 1); puts have negative delta (-1 to 0). At-the-money options have delta around 0.5.
Why it matters
Delta is also a rough proxy for the probability the option will expire in-the-money. A 0.30-delta call has roughly a 30% chance of finishing ITM. It's the first-order Greek every options trader uses to size positions.
How to use it
Use delta to express directional views with capital efficiency. A 50-delta call gives you ~50% of the underlying's move per dollar invested in premium - but with exponentially decaying time premium.
Take it further
Want a worked example or a deeper dive? Ask Rocky how this concept applies to your specific watchlist or trade idea.
Ask Rocky