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How does a delta signify the probability of expiring in the money
Just for clarification, delta and probability of expiring in the money are not the same thing. What the guy meant was that delta is usually a close enough approximation to the probability. One way to think about it is to look at the probabilities and deltas of In the Money, Out of the Money, and At the Money options. In these cases, the delta and probabilities are about the same. In fact if you look at an options chain with delta and probabilities, you can see that they are all about the same. In other words, there is a linear relationship between delta and probability. Here are a couple links to other answers around the web: Hope this answer helps!