Probability & Forecasting
Options Probability Calculator
Estimate probabilities above and below a target, including ITM and OTM outcomes.
Name the event being estimated
Finishing above a strike, touching that strike before expiration and closing a trade profitably are different events. A $100 call bought for $4 can finish at stock $102 and be in the money while losing $200 per standard contract. Its expiration profit event begins above $104 before costs.
A model can produce a 70% probability under its chosen distribution without establishing a 70% observed win rate in future trades. Interpret the displayed probability using the tool’s documented drift, volatility and horizon conventions. A pricing or risk-neutral probability is not automatically a real-world forecast.
Even a well-estimated high win probability does not establish positive expected value. A 90% chance of a $50 gain and 10% chance of a $600 loss gives 0.9 × $50 − 0.1 × $600 = −$15 before costs. The calculator’s probability output does not supply the missing payoff distribution.
Test sensitivity to IV and time, especially when an earnings jump violates a smooth-return assumption. Do not treat a rounded tail probability of zero as proof that an extreme outcome is impossible.
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Reviewed . Examples are illustrative; verify exact contract and broker terms.
References: OIC: Black–Scholes assumptions.
About this calculator
How to use this tool
This uses a lognormal terminal-price distribution with the annual arithmetic price drift you enter. The default is zero drift. It is not a historical forecast or a claim that option Delta is a physical probability.
The same target acts as strike for ITM/OTM. Call ITM means strictly above strike; put ITM means strictly below. With zero time or zero volatility, equality can have 100% probability and is neither strictly ITM nor OTM.
Constant volatility and drift ignore jumps and changing market conditions. These are model-derived probabilities, not confidence in a trade.
Worked example
With spot and target both $100, 20% IV, one year and zero drift, the modeled probability above target is about 46.02%, not 50%.
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Model references and conventions
365 calendar days per year. Continuous rates for theoretical pricing. All examples are illustrative.
