Option Probability

This document discusses various methodologies for estimating the probability of options finishing in-the-money (ITM), highlighting limitations of standard approaches such as the standard deviation model and the Black-Scholes option pricing formula. It provides examples, calculations, and alternative methods including delta approximations and Monte Carlo simulations, emphasizing the importance of selecting the right volatility input. Additionally, it critiques the use of delta as an estimate of probability while recommending more precise probability calculations for options trading.