greek
Delta (Δ)
How much the option price moves per $1 move in the underlying.
Delta measures the rate of change in an option's price relative to the underlying. A call with 0.40 delta gains roughly $0.40 when the stock moves up $1. Delta also approximates the probability the option finishes in-the-money at expiry (so a 30-delta call has ~30% chance of expiring ITM).