Option Assignment Probability Calculator
Estimate the chance a short option finishes in the money — and is assigned — directly from its delta, with the probability it expires worthless.
How it works
P(in the money) ≈ |delta| · P(expires worthless) ≈ 1 − |delta|
The magnitude of an option’s delta is a widely used shortcut for the probability it finishes in the money — and therefore, for a short position, the probability of assignment. A 0.30-delta option is treated as roughly a 30% chance of assignment. It slightly overstates the true risk-neutral probability, which is N(d2) rather than the delta N(d1), but for quick position sizing the delta estimate is close enough.
Worked example
You sell a call with a 0.30 delta. The approximate chance it finishes in the money and is assigned is about 30%, leaving a 70% chance it expires worthless and you keep the full premium — roughly 1-in-3 odds of assignment.
Sources: Greeks (finance) — Wikipedia
Frequently asked questions
Is delta really the probability of assignment?
It is a close proxy, not exact. The true probability of finishing in the money is N(d2), which sits a little below the delta. Delta also ignores early assignment on American options, which is most likely just before an ex-dividend date for in-the-money calls.
Does a lower delta mean a safer short option?
Lower delta means a lower chance of assignment and a higher chance of keeping the premium, but it also means collecting less premium. Selling far out-of-the-money options wins more often for smaller amounts — with occasional large losses.
What about early assignment?
This estimate is for expiry. American options can be assigned early, especially in-the-money calls before a dividend and deep in-the-money puts. Monitor short options that drift in the money well before expiration.
Related calculators
Educational estimate using a simplified Black–Scholes / options model — no dividends, no early-exercise, no fees or slippage. Options are high-risk. Not investment advice.