This might only confuse you but an option's delta relates to the behavior of the option at one point in time, not anything related to a trading system or market forecast. The likelihood of a market move is related to the delta, not the likelihood of a specific event happening. You keep saying that "risking $25 to make $75" is a good trade. Not so. What's the chance of either extreme occuring? Actually, you can earn up to $75 and lose up to $25. It's a distribution of outcomes, not two extremes. As it is now, the Dow-Diamonds would have to move from 112.75 to below 111.75, at expiration, to exceed your break-even point on the trade. Because movement has to take place for the trade to be a winner, it's not a 50/50 proposition. I don't have an option calculator but let's assume, using round numbers, that the delta on the 111-call is 65 and the 112-call is 55. The market believes there's a 65% chance of the market remaining above 111 and a 55% chance of remaining above 112, today, right now. Therefore, there's a 10% chance, (65-55=10), that the market will be in-between 111 and 112. There's a (100-65=35) 35% chance of the market going below 111. You can apply those probabilities to the potential outcomes to get a better idea of the overall potential of the trade. Because it's a spread position, you'll probably have to hold onto it closer to expiration in order to get most of the premium out of that 111-call. It can be exasperating, especially when the market is stuck near that strike price. It's something to think about.