Options Strategy Calculator

How the strategy math works

Each leg is a buy or a sell of a call, a put or the stock. At expiry an option is worth its intrinsic value: a call pays the price above its strike, a put pays the price below. The position's profit at any price is the sum of every leg's value minus what was paid for it, times 100 shares per contract.

Before expiry

The “today” line prices every leg with the Black-Scholes model at the implied vol and days you enter, so it shows what the position would be worth if the underlying moved there now. The gap between today’s line and the expiry line is the time value still in the position, the part theta takes away day by day.

Max profit, max loss and breakevens

Max profit and max loss are read off the expiry line across every price from zero up. A position that keeps gaining as the price rises (a long call) has unlimited upside; one that keeps losing as it rises (a short call) has unlimited risk, and the calculator says so instead of printing a number. Breakevens are the prices where the expiry line crosses zero.

Chance of profit

The chance of profit is the probability, under a lognormal price at the implied vol you enter, that the underlying finishes the nearest expiry in a range where the position makes money. It is a model reading, only as good as the vol behind it, and it says nothing about direction.

The Greeks

Delta is the position’s exposure in shares, gamma how fast that delta changes per dollar, theta what a day of time costs or pays, and vega what one point of implied vol does to the value. Add them up across legs and you can see a spread’s real exposure at a glance. More in Options basics & the Greeks.

Common questions

How do you calculate the profit of an options spread?

Add up every leg. At expiry each option is worth its intrinsic value (a call: price minus strike, a put: strike minus price, never below zero). Subtract what each leg cost, or add what it collected, and multiply by 100 shares per contract. This calculator does that at every price and draws the result.

What is the max loss on an iron condor?

The width of the wider spread minus the net credit collected, times 100 per contract. Pick the Iron condor preset to see it priced on your own strikes; the calculator reads the max loss off the expiry line.

Why are the today and expiry lines different?

Before expiry an option still carries time value, which the Black-Scholes model prices from the implied vol and the days left. The today line includes it; the expiry line is intrinsic value only. Theta is the daily rate at which the first line moves toward the second.

Can it price a calendar or diagonal spread?

Yes. Give each leg its own days to expiry. The expiry line is drawn at the nearest expiry, with any longer-dated legs valued at the time they have left, which is how a calendar’s tent shape appears.

How is the chance of profit calculated?

It is the probability, under a lognormal distribution at the implied vol entered, that the underlying finishes the nearest expiry where the position is profitable. It is a model estimate, not a forecast of direction.