Probability of Profit Calculator
Two different numbers that get used interchangeably and should not be: the chance an option finishes in the money, and the chance it actually makes money.
At a premium of $2.18, the option finishes in the money about 31% of the time but only actually pays about 24% of the time — the gap is the premium you have to earn back before a win is a win.
Probability of profit, explained
Why are the two percentages different?
Finishing in the money only means the option has some value at expiry — it can be worth a cent and still be a loss against what you paid. Probability of profit measures against break-even, which sits a full premium beyond the strike. On a short-dated out-of-the-money option the gap between the two is routinely 10 to 20 percentage points.
Isn’t delta the probability of finishing in the money?
It is a widely used approximation and it is close, but it is not the same quantity: delta is N(d1) and the risk-neutral probability is N(d2). The two diverge as volatility and time increase. This calculator uses N(d2).
Is this a real probability?
It is a risk-neutral probability — the one embedded in option prices, which is not the same as the real-world chance of the move. It also assumes a lognormal distribution and constant volatility, neither of which is true. Treat it as a consistent way to compare two trades, not as a forecast.
What about spreads and multi-leg positions?
This handles a single long leg. For a defined-risk structure, run Trade Check, which prices the whole position against the current chain and the gamma walls rather than a model in isolation.
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Educational, not investment advice. These are standard models applied to the numbers you enter — they describe what the maths implies, not what the market will do.