In-the-money probability
Definition · Level 5 · Greeks & volatility
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The model’s chance that an option expires in the money: N(d2) in Black–Scholes. For a call it is a little below delta, which is N(d1). It comes from option prices, so it is market-implied, not a forecast.
Example
A one-month 20-delta call at 25% implied volatility: delta 0.20, in-the-money chance about 18%.
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “Delta as odds, and the put’s delta”: A rough chance of finishing in the money, the 25-delta reference, and how a put’s delta follows from the call’s.
Related terms
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- Black–Scholes inputsSpot price, strike, time to expiry, interest rate, dividends and volatility.