Pin Probability

Pin probability measures the likelihood that a stock's price will "pin" to a specific strike price at expiration. The conventional explanation is hedging: a short-options book buys shares as the stock rises above a strike and sells as it drops below, and that back-and-forth creates a gravitational effect near the strike. What we actually measure is where open interest concentrates and how price has behaved around it — the identity and side of the holders is not publicly reported.

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.