Current Price
-
Strike Price
-
Breakeven
-
Expiration Date
-
Days to Expiration
-
IV
-
Delta
-
Gamma
-
Theta
-
Vega
-
when - days left to expiration, and at a Stock price of
$-,
and an IV of -% at that time, Your outcome, estimated by Monte
Carlo, could be:
P/L
$0.00
0.00%
Scenario Price
-
-
Chance of Profit
-
Total Cost
-
Delta & Gamma Range
Delta (Blue Line): Shows how much the option price
moves for each $1 move in the stock.
Delta is usually Near 0.5 at-the-money, and approaches 1 deep In the money
Gamma (Yellow Line): Shows how fast Delta changes. Peaks at-the-money and near expiration.
High Gamma = Delta changes rapidly
Risk zone: High Gamma near expiration
Using the Sliders:
Stock Price: "If stock moves to $X, what would Delta/Gamma be and how much will my option price change?" The green line shows your scenario price on the curves.
Days to Exp: "As time passes, how do my Greeks change and how much value do I lose to time decay?" Watch Gamma spike and Delta steepen as expiration approaches, meaning a small move can cause big changes in your option's price.
IV: "If volatility spikes or crashes, how does my option value and Greeks change?" Higher IV means option will be worth more, curves become wider and flatter. Lower IV means option will be worth less. Use this to simulate IV crush after earnings.
Delta is usually Near 0.5 at-the-money, and approaches 1 deep In the money
Gamma (Yellow Line): Shows how fast Delta changes. Peaks at-the-money and near expiration.
High Gamma = Delta changes rapidly
Risk zone: High Gamma near expiration
Using the Sliders:
Stock Price: "If stock moves to $X, what would Delta/Gamma be and how much will my option price change?" The green line shows your scenario price on the curves.
Days to Exp: "As time passes, how do my Greeks change and how much value do I lose to time decay?" Watch Gamma spike and Delta steepen as expiration approaches, meaning a small move can cause big changes in your option's price.
IV: "If volatility spikes or crashes, how does my option value and Greeks change?" Higher IV means option will be worth more, curves become wider and flatter. Lower IV means option will be worth less. Use this to simulate IV crush after earnings.
IV
20%
Stock
$0.00
DTE
0
Select a strike price to see how Delta and Gamma change
across different stock prices
Theta Decay
What am I looking at?
Shows how the option's value erodes over time due to theta decay, holding stock price and IV constant.
The blue line is the option's theoretical value at each day. The gray dashed line is the intrinsic value (what the option is worth at expiration).
The shaded area between them is the time value being lost. Notice how decay accelerates as expiration approaches.
Shows how the option's value erodes over time due to theta decay, holding stock price and IV constant.
The blue line is the option's theoretical value at each day. The gray dashed line is the intrinsic value (what the option is worth at expiration).
The shaded area between them is the time value being lost. Notice how decay accelerates as expiration approaches.
Select a strike price to see how time decay erodes
the option's value from now to expiration
Profit Probability Cloud (Monte Carlo)
How is this calculated?
Monte Carlo Simulation (5,000 scenarios):
1. Simulate Stock Price: Projects the stock price from now until expiration using random price movements based on the implied volatility.
2. Calculate Payoff: At expiration, determines the option's intrinsic value (Call: Max(0, Stock - Strike), Put: Max(0, Strike - Stock)).
3. Calculate Profit: Subtracts your cost basis from the payoff.
4. Probability: Shows what % of the 5,000 simulations resulted in a profit at expiration.
Note: This assumes you hold until expiration and does not account for selling early.
Monte Carlo Simulation (5,000 scenarios):
1. Simulate Stock Price: Projects the stock price from now until expiration using random price movements based on the implied volatility.
2. Calculate Payoff: At expiration, determines the option's intrinsic value (Call: Max(0, Stock - Strike), Put: Max(0, Strike - Stock)).
3. Calculate Profit: Subtracts your cost basis from the payoff.
4. Probability: Shows what % of the 5,000 simulations resulted in a profit at expiration.
Note: This assumes you hold until expiration and does not account for selling early.
Select a strike price to see the probability of profit
using Monte Carlo simulation
Profit/Loss Table
What am I looking at?
This table answers: "How much money will I make or lose if the stock moves to X price by Y date?"
Shows how your position's P/L changes over time as you get closer to expiration. The last date is always expiration day. Scroll up and down to see all the available stock prices. Scroll left and right to see all the available dates.
Tip: Move the implied volatility slider to see how uncertainty affects your potential profits. Move the time slider to see different timeframes.
This table answers: "How much money will I make or lose if the stock moves to X price by Y date?"
Shows how your position's P/L changes over time as you get closer to expiration. The last date is always expiration day. Scroll up and down to see all the available stock prices. Scroll left and right to see all the available dates.
Tip: Move the implied volatility slider to see how uncertainty affects your potential profits. Move the time slider to see different timeframes.
Select a strike price to see how your profit/loss
changes across different stock prices and timeframes