A circle change is a kind of change-up or off-speed pitch. Like all change-ups, the circle change is thrown with the same arm action as a fastball but less speed. Unlike other change-ups, it is thrown with some spin and has a sideways motion similar to a screwball that batters often find hard to hit.
To throw a circle change, the pitcher starts by holding his thumb and index finger in a circle, much like an "OK" sign or the letter "F" in American Sign Language. The pitcher then holds the ball in his palm, with the thumb and index finger on one side and the other three fingers over the top. When he releases the ball, it rolls off the hand on the pinky side, giving it sideways spin.
The sideways spin of the circle change gives it a motion similar to that of a screwball, breaking inward to same handed batters and away from opposite handed batters. Like the screwball, the circle change is effective against opposite handed batters, but it is much easier on the pitcher's arm than the screwball. Because it is so much less damaging, the circle change has largely supplanted the screwball in modern pitchers' arsenals.