The accepted answer by Hagen von Eitzen is correct.
This is just to supply a proof.
The below proof uses only the basic trigonometric definitions of $cos$ and $sin$ as well as a very elementary theorem about isosceles triangles.
In the figure below points $A'$ and $B'$ have been renamed to $A$ and $B$ and the points $A$ and $B$ in the original drawing have been omitted as they are not necessary for the proof. In particular the angle $\theta$ of the original drawing (that was defined using points on the great circle) is the same as the angle $\theta$ of the new drawing that is defined using points on the latitude circle.
Refer to the figure below and observe the following elements:
- a great circle with center $O$ (therefore $O$ is also the center of the sphere)
- a latitude circle at latitude $\delta$ with center $O'$
- the straight line segment $AB$ (a line segment, not an arc) with point $\Gamma$ as its midpoint
- three right angles shaded grey and outlined red
- the right triangle $AO'O$ with the right angle being the one at point $O'$
- the right triangle $O'\Gamma{}A$ (which resides on the plane defined by the latitude circle) with the right angle being the one at point $\Gamma$
- the right triangle $A\Gamma{}O$ with the right angle being the one at point $\Gamma$
- angle $\phi$ is the angle $AOB$, the angle $AO\Gamma{}$ being exactly $\phi/2$
- angle $\theta$ is the angle $AO'B$, the angle $AO'\Gamma{}$ being exactly $\theta/2$
Observe that the angle $OAO'$ is identical to the angle $\delta$ and that $OA$ is a ray of the sphere, so we can write $OA=R$

We have the following equations:
- $O'A = R\cdot{}cos(\delta)$ ; since $OA$ is the hypotenuse and equal to $R$, and since $OAO'=\delta$ as already noted
- $A\Gamma{}=O'A\cdot{}sin(\theta/2)$
From $1$ and $2$ we obtain:
- $A\Gamma{}=R\cdot{}cos(\delta)\cdot{}sin(\theta/2)$
We also have (from the right triangle $A\Gamma{}O$):
- $A\Gamma{}=R\cdot{}sin(\phi/2)$ ; since $OA$ is the hypotenuse and equal to $R$
From $3$ and $4$ we have:
$$sin(\frac\phi2)=cos(\delta)\cdot{}sin(\frac\theta2) $$
$\blacksquare$
OA'andOB'that reside on the plane defined by pointsO,A'andB'. I.e. $\phi$ is an ordinary two-dimensional Euclidean geometry angle. – Marcus Junius Brutus Oct 10 '18 at 02:08A'B'orABand is in fact the angle $\theta$. What I am looking for is a way to express $\theta$ in terms of $\phi$ and $\delta$ – Marcus Junius Brutus Oct 10 '18 at 03:39