Definition
Delta is an options Greek that measures how much an option's price is expected to change when the underlying stock moves $1 — a call with a 0.50 delta should gain roughly $0.50 if the stock rises $1.
Example
“I wanted the option to move like the stock, so I bought a 0.75 delta call instead of the cheaper out-of-the-money one. Cost more upfront, but it tracked the move almost dollar-for-dollar.”
Detailed Explanation
Delta ranges from 0 to 1 for calls and -1 to 0 for puts. An at-the-money option typically has a delta near 0.50. Deep in-the-money options have deltas approaching 1.0 (or -1.0 for puts) and behave almost identically to the underlying stock. Far out-of-the-money options have tiny deltas near zero and barely move with the stock — which is why they're cheap and why buying them for direction is usually a losing game unless you expect a massive move quickly.
Delta isn't static — it changes as the stock price moves, as time passes, and as implied volatility shifts. The rate at which delta changes is called gamma. A high-gamma option (typically near-term, near-the-money) can see its delta shift dramatically on a big move. This is why 0DTE options can go from almost worthless to highly valuable so quickly — gamma is amplified in short-dated options, making them hyper-sensitive to price movement near expiration.
Traders also use delta as a rough proxy for the probability that an option expires in-the-money. A 0.30 delta call implies roughly a 30% chance of expiring in-the-money at expiration (all else equal). This isn't technically precise but is a useful mental shortcut. Delta is fundamental to understanding options risk and is one of the first Greeks every options trader needs to genuinely understand before sizing up.