Delta
The rate of change of an option price with respect to a $1 change in the underlying asset price.
Explanation
Delta ranges from 0 to 1 for calls and 0 to -1 for puts. It serves three roles: (1) approximates the probability of expiring ITM, (2) represents the hedge ratio for delta-neutral strategies, and (3) measures directional exposure. ATM options have delta near 0.50; deep ITM options approach 1.0.
Example
A call with delta 0.40 will gain approximately $0.40 for every $1 increase in the underlying. If you hold 10 contracts (1000 shares equivalent), your position delta is 400.