OptionWitOption Evaluation Board
Options glossary · how much an option's price moves per $1 move in the stock
Delta is the first thing most traders learn to watch: it estimates how much an option's price changes when the underlying stock moves $1. A call has a delta between 0 and 1; a put between -1 and 0. A delta of 0.40 means the option gains about $0.40 when the stock rises $1, and loses about the same when it falls $1.
Delta is only exact for a tiny move. As the stock travels, delta itself shifts (that rate of change is gamma), so a delta read today drifts for the larger move you actually care about. That is why the projection board reprices the whole option rather than extrapolating from delta.
Delta also doubles as a rough probability the option finishes in the money, and it tells you how many shares one contract behaves like (a 0.40-delta contract acts like 40 shares).
Roughly. A call's delta approximates the risk-neutral probability it finishes in the money, so a 0.40 delta is loosely a 40% chance. It is an approximation, not an exact probability, because it ignores the full shape of the distribution.