Delta

how much an option tracks the stock · Options & probability — the math of “what are the odds?”

How much an option’s price moves for each $1 the stock moves — and, loosely, the market’s rough odds the option finishes in the money. A 0.55-delta option gains about 55 cents per $1 the stock rises.

Delta overstates the true probability for long-dated, high-volatility options, so the app also shows the cleaner Black–Scholes probability (the N(d2) figure) next to it — the honest chance of finishing above the strike or breakeven.

delta ≈ change in option price ÷ change in stock price   (per $1 move)
in Black–Scholes:  delta = N(d₁)

delta

— the option’s sensitivity to the stock, from 0 to 1 (for calls)

N(d₁)

— the normal-distribution value that gives delta in the model

• The Balance — what is delta in options ↗