Options Probability of Profit Calculator
From volatility, derive the premium and breakeven, then estimate the probability the option is profitable at expiry under a log-normal approximation (estimate).
Results
Fill in the inputs and click Calculate.
- Premium
- Breakeven
- –
- Expiry POP
- –
Risk disclaimer
A model estimate — no return promise or price forecast; paths before expiry vary widely.
What is probability of profit at expiry?
Profit at expiry depends on whether the price crosses the breakeven: calls need spot > strike + premium, puts need spot < strike − premium.
This page assumes approximately log-normal, zero-drift returns — an intuition aid, not a price forecast.
How to use
- Choose the option type and enter spot, strike and days to expiry.
- Enter the annualized implied volatility.
- Optionally enter the risk-free rate (default 0).
- Click Calculate for premium, breakeven and the expiry profit probability.
Formula
- Premium = Black-Scholes(spot, strike, days, IV, rate)
- Breakeven: call = strike + premium; put = strike − premium
- POP = probability expiry price is past the breakeven (normal approx.)
Example
Assume a call: spot 100, strike 100, 30 days, IV 40%, 5% rate → premium ≈ 4.77, breakeven ≈ 104.77, POP ≈ 34.2%.
Higher IV raises the premium and breakeven while widening the possible moves.
FAQ
Seller's view?
Both sides share the breakeven; the seller's expiry POP is 1 minus the buyer's.
Why “estimate”?
Real prices jump and have fat tails, and drift assumptions matter; this is a zero-drift log-normal approximation.