San Francisco, CA
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Delta can under certain assumptions be seen as the probability or likelihood that an option will expire in-the-money. So a 20% delta call could be thought to have a 20% chance of expiring in-the-money.
This probability is highly theoretical. It is not a FACT about the options that will always be true. All it means is that if every assumption in the pricing model that has been used to formulate the delta turns out to be true, then the delta can be interpreted as the probability of expiring in-the-money, in some cases.
This is very unlikely to be the case consistently or even frequently. Volatility can be higher or lower than expected. Interest rates can move. Indeed, for some options where cost of carry or dividends are relevant, this interpretation of delta is even more precarious. Nevertheless, as a rule of thumb, option delta as the probability of expiring in-the-money is undoubtedly useful to know.
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