Options Probability Calculator
Calculate the probability of profit for any options trade. See exact odds of success, ITM probability, and expected move to make smarter trading decisions.
What is Options Probability Calculator?
Options Probability Calculator is a tool that calculates the statistical probability of an option expiring in-the-money, reaching profit targets, or achieving specific price levels.
Probability calculators use implied volatility and time to expiration to estimate win rates, helping traders understand their odds before entering a trade.
How the Probability Calculator Works
The calculator prices the option with the Black-Scholes model and reads the probability of finishing in-the-money directly off it: P(ITM) = N(d2) for a call and N(−d2) for a put, where d2 = [ln(S/K) + (r − σ²/2)T] / (σ√T) — S is the stock price, K the strike, σ the implied volatility, T the time to expiration in years, r the risk-free rate, and N() the standard normal cumulative distribution function.
Example: a $100 stock, a $105 call, 30 days to expiration, 30% implied volatility and a 5% risk-free rate gives d2 = −0.56, so N(d2) = 28.7%. That call has roughly a 28.7% chance of expiring in-the-money and a 71.3% chance of expiring worthless (out-of-the-money).
A common shortcut is to read an option's delta as an approximate probability of finishing in-the-money. It is close to N(d2) but not identical — delta is technically N(d1), a related but distinct term — so use N(d2) directly when you need a precise probability rather than a quick estimate.
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