Options Probability Calculator

Estimate probabilities above and below a target, including ITM and OTM outcomes.

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.