About This Tool

1. Choose Short put or Short call.
2. Enter a ticker, then pick an expiration and strike. Stock price and mark fill in from CBOE's delayed option chain.
3. Open More Details to check or change any value, then press Submit.

Underlined symbols such as S* or σ can be hovered over (or tapped on mobile) for a short definition.

Stock Price

Today's share price. Its distance from the strike drives every figure.

Strike

The price you would buy (put) or sell (call) shares at if assigned.

Expiration

Sets time left. Less time means less time value, so early exercise gets more likely.

Mark

The option's bid-ask midpoint. Used to solve implied volatility, which sets how far the stock is expected to move.

Number of Contracts

Scales dollar totals only. Probabilities don't change.

Sold At

Optional. The price you sold the option for, as quoted. Sold 10 contracts at 1.15 ($1,150 total)? Enter 1.15. Adds your break-even and result if assigned today.

Risk-Free Rate

Higher rates make early exercise of puts more attractive: the holder collects the strike sooner and earns interest on it.

Dividend Yield

Higher yields make early exercise of calls more attractive: the holder exercises to capture the dividend.

Implied volatility

Solved from the mark with a Cox-Ross-Rubinstein binomial tree, which prices American options.

Assignment probability

The share of tree paths where exercising beats holding at some point, or the option ends at least $0.01 in the money.

Critical price (S*)

The stock price where exercising and holding are worth the same. Past it, early exercise is rational.

Buyer's incentive

Exercise value minus the value of holding, per share and across all contracts. Negative means holding is better.

Probability in the money

N(d₂) for a call, N(−d₂) for a put, from Black-Scholes.

• Probabilities are risk-neutral, like your broker's "probability ITM". They are not forecasts.
• Volatility is held at today's implied level for the whole period.
• Dividends are treated as a steady yield, so a large dividend just before expiration is only approximated.
• Real holders exercise early less often than the model's optimum.
• Option chain data is delayed and may be incomplete or wrong.