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Delta theoretically projects P&L caused by movement in the underlying asset price. Delta is defined as the theoretical dollar amount by which your option position will change per unit change in the stock price. Delta is generally interpreted as the change in the option price for each $1.00 change in the stock price. Positive Delta means you make money when the stock price goes up, but lose money when the stock price goes down. Negative Delta means you make money when the stock price falls, but lose money when the stock price goes up. Why Delta is Important Delta tells you the theoretical rate at which moves in the stock price will produce profits or losses in your position. See the graphs below. Some traders also interpret delta as the probability that the option will expire in-the-money.

The call option has a delta of 0.50. This tells us that we'll make/lose money at the theoretical rate of $0.50 per $1.00 increase/decrease in the stock price.	The stock price has gone up $1.00. The theoretical change of $0.50 in our option price is shown. Notice that our delta has increased to 0.75.	Another $1.00 increase in the stock price has occurred, and the theoretical increase of $0.75 in our option price is shown. The new delta is up to 0.90 now. As the option gets deeper in-the-money, the delta will approach 1.00 (or -1.00 for a short call). A delta of 1.00 or -1.00 means that the option price will move point-for-point with the stock price.