This is the market's picture of where TSLA could land by expiration. The scale never moves, so you can watch the shape. Grab the strike line and drag it left or right: the shaded area above the strike is the model odds the call finishes in the money. Lock any variable to hold it still and isolate one effect.
Where TSLA could land at expiration
Outcome distribution Finishes in the money Strike (drag me)
Delta (N of d1)
0.00
Per $1 of TSLA, the call moves about this much per share.
Chance of finishing ITM
~0%
Model odds the call pays off (N of d2), the shaded area.
Delta
0.00
N(d1), from 0 to 1
Prob ITM
0%
N(d2), the shaded area
Call premium (illustrative, r = 0)
$0.00per share
Breakeven at expiration = strike + premium = $0.
Plain English
Three things to know about delta as a probability:
Delta does two jobs. In practice it is both how much your option moves per dollar of stock and a rough read on the chance it finishes in the money.
Moneyness moves the odds. Push the strike out of the money and delta and the odds both fall; pull it in the money and they climb toward one.
It is a close read, not a guarantee. Delta stands in for the probability well enough to be useful; more time or higher IV pulls the odds back toward a coin flip.
Taxes are not shown here. Options and the underlying stock are taxed differently, and it depends on your holding period and account type. None of this is tax advice.