Glossary term
Delta
The options Greek measuring directional exposure; ranges -1 to 1, and roughly approximates the probability of finishing in-the-money.
Delta is the options Greek measuring how much an option's price changes per $1 move in the underlying, ranging from 0 to 1 for calls and 0 to -1 for puts. It doubles as a rough probability estimate — a 0.20 delta option has approximately a 20% chance of finishing in-the-money. Delta also expresses share-equivalent exposure, so 100 contracts at 0.20 delta behave like 2,000 shares. See Greeks 101 and related Gamma and Theta.