Delta Filter: The Most Important Knob on the Screener
Delta tells you the rough probability a contract ends in the money. Learn how to use the Delta filter for safer, repeatable wheel trades.
What delta really tells you
Delta has two interpretations and both are useful:
- Sensitivity — how much the option price changes when the stock moves $1. A 0.30 delta call gains $0.30 on a $1 stock rally.
- Probability proxy — roughly the chance the contract ends in the money at expiration. A 0.30 delta put has a ~30% probability of being assigned.
For wheel traders, the probability view is what matters most. Lower delta = lower chance of assignment = lower premium.
Convention on the screener
- Calls have delta from 0 to +1.
- Puts have delta from 0 to −1 (negative).
The screener slider matches the convention. On the put screener, "−0.30 to −0.20" is the typical wheel range.
Where to find it
In the filter sidebar of either screener:
Recommended delta ranges
| Style | Put delta | Call delta | Notes |
|---|---|---|---|
| Very conservative | −0.10 to −0.05 | 0.05 to 0.10 | Rarely assigned, low premium |
| Standard wheel | −0.30 to −0.15 | 0.15 to 0.30 | The textbook sweet spot |
| Aggressive | −0.45 to −0.30 | 0.30 to 0.45 | Big premium, frequent assignment |
| Cash-or-shares lottery | −0.60+ | 0.60+ | Effectively buying/selling stock |
The 0.20–0.30 band is famous for a reason — it balances meaningful credit with manageable assignment frequency.
A worked example
You want CSPs that get assigned roughly 1 in 4 times.
- Open the Put screener.
- Set Delta to −0.30 to −0.20.
- Set DTE to 28–45 and Volume ≥ 100.
- Sort by Annualized Return descending.
Out of 100 trades you'd expect ~25 assignments. You'll buy stocks you wanted at a discount and keep premium on the other 75.
Delta vs Probability of Profit
Delta approximates probability of assignment. The screener also exposes a Probability of Profit column which is the inverse for sellers:
Probability of Profit ≈ 1 − |delta|
So a −0.25 delta put has roughly a 75% probability of expiring worthless (your goal as a seller). Either lens works — most traders set Delta to control entry, then check Probability of Profit on the row before clicking.
Common delta mistakes
1. "Higher delta = more money" thinking. Yes, but also higher loss when the position moves against you. Don't size up just because delta did.
2. Comparing delta across very different DTEs. A 0.30 delta on a 7-DTE option is much more volatile than 0.30 delta on a 60-DTE option. Pair Delta with DTE when comparing.
3. Ignoring earnings. Delta assumes "normal" volatility. An earnings event can move a stock 10%+ overnight, blowing the delta-implied probability out of the water. Use Exclude Earnings.
Power user tip — adjusting for skew
Put deltas tend to "skew" higher than call deltas at the same strike distance because markets pay up for downside protection. If you want to compare puts and calls at the same probability, set put delta to ~−0.25 and call delta to ~0.20. The screener column shows the actual delta so you can verify.
Where to go next
- Try Low Delta Put for a one-click conservative screen.
- Read Probability of Profit filter — same idea, flipped.
- Use the Delta-to-POP Converter for quick math.
Frequently Asked Questions
What delta should I sell for cash-secured puts?
The textbook wheel range is −0.30 to −0.15 delta. That gives roughly a 70–85% probability the put expires worthless while still collecting meaningful premium.
Is delta exactly the probability of assignment?
It's a useful approximation, not an exact value. Real probability of assignment depends on volatility, dividends, and time. Treat delta as a directional guide, not a precise probability.
How does delta change as expiration approaches?
Delta accelerates toward 1 (or 0) as expiration nears. An OTM 0.20 delta option a week out can quickly become 0.05 if it stays OTM, or 0.50+ if the stock moves against you. This is gamma at work.