Delta (Δ) represents several different indications depending on the context:
1: Directional bias: Negative delta means the is Positive delta means the position is
2: The theoretical probability of an For example, an option with a delta of + or - .45 would theoretically have a 45% probability of expiring ITM.
3: The theoretical rate of change of value per dollar movement in the For example, a .30 delta option would theoretically gain around $0.30 per for every $1 increase in the underlying price. It would also lose about $0.30 per share for every $1 decrease.