Go to your iTerm preferences select “profiles” then “key” and change your presets in “Natural Text Editing”
It should work immediately after.
It works with iTerm version 3.3.12
Edit:
In version 3.4, there’s a slight UI change.
So you need to go specifically to your iTerm preferences select Profiles
> Keys
> Key Mappings
> Presets
> Nature Text Editing