A host of European clubs are said to be chasing the services of the 24-year-old striker and Celtic appear to have joined the race.
Delia was quoted as saying on Sky Sports: "We are looking for a bigger striker and he is one of the options.
"We are looking for a target man who can be good with crosses.
"We have good strikers but they are similar. We need different things."
Scepovic's nomadic career has seen him play in Serbia, Italy, Belgium, Israel and Spain in recent years.
The Serbia international was prolific for Sporting Gijon last term, scoring 23 league goals in 41 second-tier appearances.