Delta measures how much an option moves per $1 in the stock — but for premium sellers, it doubles as a rough probability of the option expiring worthless.
What Is Delta?
Delta ranges from 0 to 1 for calls and 0 to -1 for puts. A put with a delta of -0.30 roughly implies a 30% chance of finishing in-the-money — meaning about a 70% chance the put expires worthless and you keep the premium.
Delta as Probability
When you sell a put, a lower absolute delta means a higher probability of keeping the premium — but a smaller premium. A higher delta pays more but carries more assignment risk. Delta lets you choose that trade-off deliberately.
Choosing a Delta
- Around 0.30 — a common starting point balancing premium and probability.
- Around 0.20 — safer, smaller premium, higher win rate.
- Around 0.16 — conservative, one standard deviation from the money.
Key Takeaways
- Delta approximates the probability of expiring worthless.
- Lower delta = higher probability, smaller premium.
- Combine delta with support levels for stronger strike selection.