Estimate the current likelihood of being assigned on a short option. Enter a ticker, then choose the expiration and strike from CBOE's delayed option chain.
Enter a ticker to begin.
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d₂ = [ ln(S/K) + (r − q − σ²/2)·T ] / (σ√T)
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u = e^(σ√Δt), d = 1/u, p = (e^((r−q)Δt) − d) / (u − d)
A Cox-Ross-Rubinstein tree walked back from expiration in 300 steps. A node counts as assigned if exercise value beats continuation value there, or if the stock is at least $0.01 in the money at expiration — the OCC exercise-by-exception threshold. Every other node inherits the p-weighted average of its two successors. This combines both routes to assignment, which is why it sits slightly above the probability in the money.
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What the model assumes. Probabilities are risk-neutral — the same basis as the "probability ITM" your broker shows — not forecasts under your own view of the stock. Volatility is held at today's implied level, and dividends are modelled as a continuous yield rather than discrete dated payments, so a large dividend landing just before expiration is approximated rather than dated exactly. Observed early exercise runs below the model’s optimum, because exercising means taking a stock position while selling the contract does not. Not financial advice.
Why there is no single "probability of early assignment." The critical price converges on the strike as expiration approaches — with one day left it sits only a few percent away — so under a strict reading almost every in-the-money path becomes an early-exercise candidate in its final hours, which is really just expiration assignment. That figure swings by roughly fifty points depending on where you draw the line between "early" and "at expiration." The probability of reaching a fixed, stated level does not.