Probability of Profit Calculator
Estimate the chance that a position is profitable at expiration, plus the probability that the stock finishes above, below, or between any two prices. Uses a lognormal model based on implied volatility.
How to use
- Pick the position type and enter the stock price, IV, and days to expiration.
- Enter strikes and the net premium per share (paid for debit trades, received for credit trades).
- Optionally set a price range to see the chance of finishing above, below, or between those prices.
- Leave drift at 0% for a neutral view, or enter the risk-free rate to match risk-neutral pricing.
Formulas explained
Breakevens: long call K + debit; long put K − debit; short put K − credit; short call K + credit; bull call spread K1 + debit; bull put spread K2 − credit; bear call spread K1 + credit; bear put spread K2 − debit.
Worked example Hypothetical
Hypothetical: stock $100, IV 30%, 30 days, zero drift. A $100 long call bought for $3.40 breaks even at $103.40. P(S_T > 103.40) ≈ 33%. Selling that same call has a POP of about 67%. The probabilities are mirror images, but the payoffs are very different.
FAQ
Is a high POP always better?
No. High-POP trades usually have small gains and larger potential losses. Expected value depends on both probability and payoff size.
Is this the same as delta?
Delta is often used as a rough proxy for the probability of finishing ITM, but it is not the same as POP, which uses the breakeven rather than the strike.
Does it consider early exits?
No. It only measures the outcome at expiration. Managing a trade early changes the real probabilities.
Why lognormal?
Prices cannot go below zero, and percentage moves compound, so a lognormal model is the standard simple assumption behind Black-Scholes.
Probability of profit calculator explained for beginners
What this tool does
It estimates the chance that an option position finishes with a profit at expiration, based on implied volatility and a simple statistical model of stock prices.
What each input means
- Position
- The trade you are modeling, such as a long call or a credit spread.
- Stock price
- The price the stock trades at right now. Use the last price from your broker or a quote site.
- Implied volatility (IV)
- How much the options market expects the stock to move over a year, written as a percent. 30% means the market is pricing roughly a 30% one-standard-deviation move over a year. Your broker shows IV for each option; higher IV means pricier options.
- Days to expiration
- Calendar days until the option expires. Count from today to the expiration date on the contract.
- Drift / expected return
- An optional yearly return you assume for the stock. Leaving it at 0 keeps the estimate neutral.
- Strikes
- The strike price or prices of the options in the position. Strike 1 is the lower one.
- Net premium per share
- What you paid (debit) or received (credit) per share for the whole position.
- Range low / high
- For range-based questions, the price band you want the odds for.
How to read the results
The main number is the estimated probability the stock finishes past your breakeven at expiration. A higher probability usually comes with a smaller potential profit or a larger potential loss, so always read it next to the max profit and max loss.
A short worked example (hypothetical)
You buy a $100 call for $3.00 with the stock at $100. Breakeven is $103. The tool estimates the odds the stock ends above $103 at expiration. With IV 30% and 30 days, that is well under 50%, because the stock has to rise more than $3 just to break even.
Common mistakes
- Treating the probability as a guarantee or as the chance of your best case.
- Ignoring that it only looks at expiration, not whether you close early.
- Entering the premium per contract instead of per share.
Related tools
Learn the strategy
Iron Condor · Long Straddle · Long Strangle · Long Call · Long Put · Protective Put · Collar · Bull Call Spread · Bear Put Spread