Probability of Finishing ITM
The market-implied likelihood, under risk-neutral pricing, that an option will have any intrinsic value at expiration. Delta on a call approximates this probability directly: a 0.30-delta call is roughly a 30 percent chance of finishing above strike, a 0.70-delta call is roughly a 70 percent chance. The mapping is approximate (it ignores volatility skew and small higher-order terms) but it is the single most useful reading of delta for a retail investor sizing a directional bet -- read the column as odds, then ask whether the premium is fair given those odds.
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Related terms
American Option · Asian Option · Barrier Option · Basket Option · Butterfly Spread · Calendar Spread
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