Free calculator · Options & volatility · free account
Option probability calculator
Most probability calculators report the chance an option expires worthless and call it the chance of profit, which leaves out the premium. This one includes it, adds the chance of the strike being touched before expiry, and states plainly the assumption every figure rests on.
These calculators do arithmetic on numbers you enter. They do not produce recommendations, do not connect to any market feed, and do not know what any instrument is worth — that is never advice, and it is not a substitute for your own judgement or a licensed professional's.
Free — no card needed
Create a free account
to use the option probability calculator — and the other 12: Position Size, Risk : Reward, Margin & Leverage, Drawdown, Options Payoff, Monte Carlo, Delta-Adjusted Sizing, Wheel Cycle, Theta Decay, IV Rank, Earnings Move, Candlestick Anatomy
Already have an account?
The account is free and takes a moment. Whatever you type into the calculators afterwards still stays in your browser — it is never sent to a server, stored, or logged.
How this is calculated
No hidden model and nothing fitted to data. Every figure on this page comes out of these lines, applied to the numbers you typed.
t = days ÷ 365
d2(L) = [ ln(S ÷ L) + ( r − σ² ÷ 2 ) × t ] ÷ ( σ × √t )
P(finish above L) = N( d2(L) )
break-even = strike ± premium
P(touch K) = reflection principle on ln(K ÷ S), drift r − σ² ÷ 2
1σ range = S × e^( ( r − σ² ÷ 2 ) × t ± σ × √t )
expected move ≈ S × σ × √tMore free calculators
Options Payoff
Where does this position break even, and what is the worst case?
Wheel Cycle
What does each way this cycle can end pay, or cost?
Theta Decay
How fast does this option's time value disappear?
IV Rank
Where does this volatility reading sit against its own history?
Earnings Move
What move is priced in, and what does the crush cost?
Position Size
How many units does my risk budget actually buy?
Frequently asked questions
- How is the probability of an option expiring in the money calculated?
- Under the Black-Scholes assumptions — a lognormal price with constant volatility — the probability that the price finishes above a level at expiry is N(d2), where d2 is computed from the price, the level, the volatility, the time and the interest rate. A call is in the money above its strike, so its probability is N(d2); a put's is one minus that.
- Is this the same as probability of profit?
- Not quite, and the difference is the premium. The figure often labelled probability of profit is just the chance an option finishes out of the money, which treats a sold option as ahead whenever the strike is not reached. A seller is actually ahead only past the break-even — the strike adjusted by the premium received — and a buyer only past the strike adjusted by the premium paid. This page shows both figures side by side so the gap is visible.
- What is the probability of touching the strike?
- The chance that the price trades at the strike at any point before expiry, not just at the end. It is always at least as large as the chance of finishing past the strike, and with no drift it is exactly twice that — the reflection principle. It matters to anyone who would act if the strike were reached before expiry, which an expiry-only figure cannot show.
- Are these real-world probabilities?
- No. They are model probabilities from a lognormal distribution with a constant volatility you supply and a drift equal to the interest rate you enter. Real price changes have fatter tails than the model, volatility does not stay still, and the true drift of any asset is unknown. Read every percentage as a statement about your volatility assumption, not as the chance of anything actually happening.
- What does the expected move mean?
- It is one standard deviation of the price at expiry under the model, in currency: the price multiplied by the volatility and by the square root of the time in years. Roughly 68% of the model's outcomes fall within one standard deviation and roughly 95% within two. The chart shades both bands on the distribution, with the strike and the break-even marked.
- Is my data sent anywhere?
- No. The model runs in your browser as JavaScript on this page. Prices, strikes, premiums and volatilities are never transmitted, never stored and never logged, and closing the tab discards them. A free account unlocks the calculator; it does not send anyone your numbers.
⚠ Important disclaimer
These calculators are provided strictly for educational and informational purposes. They perform arithmetic on figures you enter. Nothing on these pages is financial, investment, trading, legal or tax advice, nor a recommendation to buy, sell or hold any security, derivative, commodity or cryptocurrency.
The creator is not a registered investment adviser, research analyst or broker with the SEC, FINRA, CFTC, NFA, any U.S. state securities regulator, or SEBI (as an Investment Adviser or Research Analyst). Trading involves substantial risk of loss — you can lose some or all of your capital, and with leveraged instruments you can lose more than you deposit.
Contract specifications, lot sizes and margin rates shown here are seeded from published standards, are editable, and may be out of date or wrong for your broker. Exchanges revise lot sizes and margin requirements, and brokers routinely impose more than the regulatory minimum. Verify every figure against your own broker before acting on it. These tools carry no warranty of any kind and may contain errors.
You are solely responsible for your own decisions. Read the full legal disclaimer →