Delta has three common readings: the rate an option moves per $1 of the underlying, the hedge ratio, and — the one traders lean on — a rough probability of expiring in-the-money. A 0.30-delta call is often treated as “about a 30% chance of finishing ITM.” Useful, but worth understanding before you rely on it.
Where the shortcut comes from
In the option-pricing math, delta is closely related to the model's risk-neutral probability that the option finishes in-the-money. So the approximation isn't made up — it falls out of the same equations that price the contract. For quick mental math, a 0.16-delta option (~1 standard deviation out) really does behave like a low-probability lottery, and a 0.50-delta option is a coin flip at the strike.
Where it breaks
Three caveats. First, it's a risk-neutral probability, not the real-world one — it bakes in the market's risk pricing, not an honest forecast. Second, volatility skew means puts and calls at the same distance carry different deltas, so the “probability” is tilted. Third, ITM at expiration is not the same as profitable — you still have to cover the premium you paid, so probability of profit sits below delta.
Delta is a fine back-of-the-envelope probability. Just don't confuse “finishes ITM” with “makes money” — the premium sits between them.
How to use it
Treat delta-as-probability as a quick gut-check on how much of a long shot a strike is, not a precise odds quote. For a 0DTE scalp it's a helpful filter: chasing 0.05-delta far-OTM lottery tickets means you're taking ~19-in-20 odds against, before costs. Nearer-the-money deltas give the move a fighting chance to overcome the premium and the spread.