Delta

Delta estimates a price change "all else equal". What is being held still?

• The underlying's price
• Time to expiry and implied volatility
• The option's strike and the number of contracts

You sell an option with a delta of 0.30. Does that mean you have a 70% chance of winning?

• Yes, 1 − 0.30 = 0.70 is the chance of profit
• No; delta is at best a rough guide to finishing in the money, not a probability of profit
• Yes, as long as you hold it to expiry