Delta

Delta measures how much an option's price changes for a $1 move in the underlying stock. A 0.40-delta call gains about $0.40 when the stock rises $1; puts carry negative deltas, so a -0.40 put gains about $0.40 when the stock falls $1.

Delta doubles as share-equivalent exposure: one 0.40-delta contract behaves like 40 shares. Traders also lean on it as a rough probability proxy — a 0.25-delta option finishes in the money roughly a quarter of the time, an approximation that holds well enough for strike selection. Delta runs from 0 to 1.00 for calls (0 to -1.00 for puts), passing through about 0.50 at the money.