probability at expiration

Discussion in 'Options' started by osho67, Nov 14, 2011.

  1. Some times I sell strangle on SPY. IWM. and QQQ. e.g I sold Iwm strangle expiring on 16/12. 84 call gave me a premium of 20 and 60 put gave me a premium of 48. Margin reqd was about 250

    Is there any option greek/s which can give me an indication that probably the position can expire worthless at expiration. In future depending on that reading I can narrow the range or widen that range.

    Thanks for guidance.
  2. You can build a risk-neutral probability distribution from option prices/vols. There's an older thread that discusses the various issues involved.