Delta

Delta is one of the options Greeks. Two practical interpretations: as a hedge ratio, a 0.30-delta option moves approximately $0.30 for every $1 move in the underlying. As a probability approximation, a 0.30-delta option has approximately a 30% chance of finishing in-the-money at expiration (70% chance of expiring worthless). ACondor uses delta as a probability filter at entry. For the contraction engine, 16-delta shorts place the strikes at approximately one standard deviation OTM, with roughly 84% probability of expiring worthless.