Pin Probability

Pin probability measures the likelihood that a stock's price will "pin" to a specific strike price at expiration. Pinning occurs because of the hedging dynamics of market makers who are short options. As expiration approaches, dealers must buy shares as the stock rises above a strike (hedging short calls) and sell as it drops below (hedging short puts). This back-and-forth buying and selling near the strike creates a gravitational effect that can hold the stock near that price.

Pinning is most pronounced when open interest is heavily concentrated at a single strike, expiration is imminent (within 1-2 days), and the stock is already near that strike. Stocks with massive options volume (like AAPL, TSLA, or SPY) show the strongest pinning tendencies. The pin probability is highest on monthly expiration Fridays when the most open interest expires, though weekly expirations can also exhibit pinning behavior.

Options Pilot calculates pin probability in the Timing pillar's Level 2 analysis, specifically within the Max Pain section. When pin probability is rated "high" or "very high," it suggests that the stock is likely to close near the max pain strike. This is valuable for sellers who can position strikes near the expected pin, and for buyers who should be aware that their options may expire frustratingly close to but not at their strike.