What is the probability my option expires in the money based on its delta?

Calculates the approximate probability that an option expires in the money at expiration, using the absolute value of delta as the estimate.

How is this calculated?

This calculator uses the absolute value of delta as an estimate of the probability the option finishes in the money at expiration. This is a shortcut many options traders use straight off the option chain, not a separate calculation. Delta is not actually a probability. It measures how much an option's price moves for a $1 move in the underlying stock. In the Black-Scholes model, delta corresponds to a value called N(d1), while the more precise probability of finishing in the money corresponds to a related but different value called N(d2). The two numbers are close for many typical, moderate-volatility setups, and drift further apart as volatility rises or time to expiration stretches out. Probability of expiring out of the money is shown as the simple complement: 100% minus the probability of expiring in the money. Delta changes as the stock price, time to expiration, and implied volatility change, so this result reflects a single snapshot from the number you entered, not a fixed forecast for the life of the option. Expiring in the money does not by itself mean the trade was profitable. That depends on the premium paid and where the stock lands relative to the break-even price.

What's My Probability of Expiring ITM?

Enter Your Option

Your Result

Fill in the fields on the left and click Calculate to see the estimated probability this option expires in the money.

How this is calculated

This calculator uses the absolute value of delta as an estimate of the probability the option finishes in the money at expiration. This is a shortcut many options traders use straight off the option chain, not a separate calculation.
Delta is not actually a probability. It measures how much an option's price moves for a $1 move in the underlying stock. In the Black-Scholes model, delta corresponds to a value called N(d1), while the more precise probability of finishing in the money corresponds to a related but different value called N(d2). The two numbers are close for many typical, moderate-volatility setups, and drift further apart as volatility rises or time to expiration stretches out.
Probability of expiring out of the money is shown as the simple complement: 100% minus the probability of expiring in the money.
Delta changes as the stock price, time to expiration, and implied volatility change, so this result reflects a single snapshot from the number you entered, not a fixed forecast for the life of the option.
Expiring in the money does not by itself mean the trade was profitable. That depends on the premium paid and where the stock lands relative to the break-even price.

Risk & liability disclaimer: This calculator produces a rough, widely used approximation based on the delta value you enter at a single point in time. It is not a certified statistical probability, not financial advice, and not a guarantee of any trading outcome. Actual results can differ as market conditions change, and options trading involves risk of loss, including the loss of the entire premium paid. Trading Habits is not a broker-dealer, registered investment adviser, or tax professional, and is not affiliated with any broker, exchange, or data provider. We do not guarantee this tool is error-free or suitable for your situation. Always verify results independently and consult a licensed professional before making any trading or financial decision. You could lose some or all of the capital you trade with.

What is the probability my option expires in the money based on its delta?

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How this is calculated

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