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I want to reiterate that the “textbook definition” of delta has nothing to do with the probability of options finishing in- or out-of-the-money. Again, delta is simply the amount an option price will move based on a $1 change in the underlying stock. But looking at delta as the probability an option will finish in-the-money is a pretty nifty way to think about it. And if there’s one thing I want to encourage in this playbook, it’s nifty ways of thinking about options.
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Brian Overby (The Options Playbook: Featuring 40 strategies for bulls, bears, rookies, all-stars and everyone in between.)
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and loss plotted against different expiry prices for the Nifty index for this trade.
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Roji Abraham (The Ultimate Options Trading Strategy Guide for Beginners: The Fundamental Basics of Options Trading and Six Profitable Strategies Simplified like Never Before)