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.
You can build a risk-neutral probability distribution from option prices/vols. There's an older thread that discusses the various issues involved.
Do a search on STRANGLE or STRANGLE PROBABILITY on Hoadley's web site. Good chance you'll find something useful there: http://www.hoadley.net/options/options.htm