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

The price you sold the option for, as quoted. If you sold 10 contracts at 1.15 ($1,150 total), the input would be 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 and Ex-Dividend Date

Optional. The next dividend per share and its ex-date, both shown on your broker's quote page. A call is only worth exercising early at the close before the ex-date, to collect the dividend. A put is held back until the dividend has passed.

Implied volatility

How much the market expects the stock to move. The tool tries different volatilities in its pricing model until the model's price matches your mark. Every other figure depends on it, and no quote shows it directly.

Assignment probability

The chance you're assigned, early or at expiration. A Cox-Ross-Rubinstein binomial tree splits the time left into 300 steps where the stock moves up or down. This suits American options, which can be exercised any day. At each point it checks whether exercising beats holding. Paths that reach such a point, or finish at least $0.01 in the money (exercised automatically), count as assigned.

Critical price (S*)

The stock price where exercising becomes worth more than holding. Found by narrowing in on the price where the tree's two values meet. It shows how far the stock must move before early assignment is a real risk.

Buyer's incentive

What the holder gains by exercising today instead of waiting. For a put: interest earned by collecting the strike early, minus the matching call they give up and any dividends missed. For a call: dividends captured, minus the matching put they give up and interest lost by paying early. Positive means exercising beats holding to expiration. For a call, the holder may still do better waiting until just before the ex-dividend date.

Probability in the money

The chance the option ends in the money at expiration. The Black-Scholes model measures how many standard deviations the strike sits from the stock's expected price, then converts that to a probability with the normal distribution. It matches the "probability ITM" brokers show and is a reference point for the assignment probability.

• Stock prices, expirations, strikes and bid/ask quotes come from CBOE's delayed option data, typically 15 minutes behind the market.
• The mark is the bid-ask midpoint. Contracts with no quote are left blank for you to fill in.
• Non-standard contracts, such as those adjusted after a split, are left out.
• Risk-free rate and dividends are not loaded. Set them under More Details.
• If a ticker has no chain, enter the contract by hand.
• This site is not affiliated with or endorsed by CBOE.

• 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.
• Only the next dividend is modelled. If more than one ex-date falls before expiration, later ones are left out.
• Real holders exercise early less often than the model's optimum.
• Option chain data is delayed and may be incomplete or wrong.