You go to delete a piece of content but there is no Delete option in the menu. This can happen if a piece of content has been checked out for editing but has not been checked back in.
You can check the the status of content in the Content tab - if it is a O then it is Checked Out and can not be removed.
In order to delete the content, you'll need to check it in. To do so, edit the content and click the Check-In button, highlighted in Red inside the image.
Once clicked, you can then delete the content.