Interactive Tool — Last reviewed 2026-05-08
Options Assignment Probability Calculator
Estimate the probability of being assigned on a short option position. Calculate probability of finishing in-the-money (ITM), probability of touching the strike during the cycle, and approximate delta-based assignment risk for covered calls and cash-secured puts.
Inputs
Probability Analysis
Probability of finishing ITM at expiration (risk-neutral)
Probability strike is breached before expiration
Greek-based directional exposure
Risk-neutral expected value
Probability premium expires worthless to writer
How to Use the Assignment Probability Calculator
Enter the underlying price, short strike, days to expiration, implied volatility (from broker), and risk-free rate (current Treasury constant-maturity yield from home.treasury.gov). Toggle between short call (covered call) and short put (cash-secured put). The calculator outputs probability of assignment, probability of touch, delta approximation, expected underlying value, and probability of premium expiring worthless.
Probability Concepts Explained
Probability of finishing ITMuses the Black-Scholes risk-neutral measure: P(S_T > K) for calls = N(d2), where d2 is the standard Black-Scholes term. This is the headline assignment probability at expiration.
Probability of touch uses the reflection principle: the probability of breaching the strike at any point during the option's life is approximately twice the probability of finishing ITM. Useful for traders who manage positions actively before expiration.
Delta approximation: |delta| closely approximates the risk-neutral probability of finishing ITM. A 0.30 delta short call has approximately 30% assignment probability. Most retail option traders rely on this approximation.
Strike Selection by Probability
Conservative covered call writers target 0.20-0.25 delta strikes (20-25% assignment probability), preserving more underlying upside. Income-focused writers target 0.30-0.40 delta strikes (30-40% probability), capturing more premium with higher assignment risk. The right balance depends on whether the writer prefers premium income or capital appreciation.
American-Style Early Exercise
This calculator estimates expiration-day assignment under European-style assumptions. American-style options can be exercised early. Two scenarios produce material early exercise risk: (a) ITM calls before ex-dividend dates when time value falls below the dividend amount; (b) deep-ITM American puts when the strike provides interest advantage. Add 1-3% to assignment probability during these windows.
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- Cash-Secured vs Margin Puts 2026
- Dividend Capture via Covered Calls 2026
Frequently Asked Questions
What is probability of assignment?
Probability of assignment is the likelihood that a short option will be assigned at expiration. Approximated by the probability of finishing in-the-money (ITM) under the Black-Scholes risk-neutral measure. For American-style options, early-exercise risk adds additional assignment probability.
What is probability of touch?
Probability of touch is the likelihood that the underlying price will breach the strike at any point during the option's life. Approximately twice the probability of finishing ITM (reflection principle). Useful for traders who actively manage positions before expiration.
Why use delta to approximate assignment probability?
Delta closely approximates the risk-neutral probability of finishing ITM. A 0.30 delta short call has approximately 30% probability of being assigned at expiration. The approximation breaks down for deep ITM/OTM options or near expiration.
What is risk-neutral probability?
Risk-neutral probability is the probability used in option pricing under the Black-Scholes framework. It uses the risk-free rate as drift instead of the actual expected return. Real-world probabilities can differ if you have a directional view on the underlying.
Does this account for early exercise on dividends?
No. American-style calls can be exercised early on the day before ex-dividend if the call's time value is less than the dividend amount. This calculator estimates expiration-day assignment only. Add 1-3% to the assignment probability for ITM calls during ex-dividend windows.
Is this calculator investment advice?
No. Educational only. Mustafa Bilgic is not a licensed broker, CPA, or registered investment advisor. Real assignment patterns depend on broker-specific allocation algorithms, market conditions, and counterparty behavior.
Educational only. NOT investment advice. Mustafa Bilgic is not a licensed broker, CPA, or registered investment advisor. Real assignment patterns depend on broker allocation algorithms and market conditions.