Strategy calculator
Building an options position from 48 named strategies or leg by leg, and reading its profit and loss, breakevens, chance of profit, and greeks across prices and dates.
The strategy calculator (/SPX/strategy) prices any options position, with or without shares, at the current quotes, and shows what it's worth at any price on any date up to expiration.
Start from a strategy
The strategy button at the left of the toolbar opens the library: 48 named strategies grouped from novice to expert, each with its outlook, a short explanation, its legs, and a sketch of its payoff. Pick one and it's built on the front expiration around spot.
Credit strategies (short verticals, the iron condor, strangles, and the like) place their short strikes by one of three rules:
- Expected move (the default): the short strikes nearest the edges of the expected move.
- Target delta: the chip in the toolbar ("20Δ") offers six presets from 10Δ, far out of the money, to 50Δ, near it.
- Smart Range: the chip offers bands for the expiration: the IV move, the historical 1σ move, the gamma walls, and their confluence, each with its put and call strike. Nearest snaps a level to the closest strike, Outward to the first strike beyond it.
The rulers
Under the toolbar, the expiration bar lists the listed dates by month, and the strike ruler lays out the front expiration's strikes, with call and put open interest as small green and red ticks above it. Each leg is a flag on its strike: long legs above the ruler, short legs below, coloured by expiration.
- Drag a flag to move the leg. A named strategy moves as one: drag an iron condor's short call and the short put moves the same distance the other way; drag a wing and the width changes on both sides.
- Shift-drag moves every leg together.
- Press a flag for its card: quantity, the price you'd enter at (the mid by default, editable), the quote and greeks, switch call and put, move it to another expiration, exclude it, or remove it.
- + Shares adds a stock leg in lots of 100, with your cost.
An edit that would stop a named strategy being itself is refused with a reason ("That would stop it being an Iron Condor."). Adding or removing a leg makes the position Custom, where each edit moves one leg.
The summary
| Figure | Meaning |
|---|---|
| Net credit or debit | What opening the position takes in or pays, at the entry prices |
| ROIC | Credit ÷ the capital it ties up, for credit positions without uncovered calls |
| Max loss, max profit | At the selected date; "Unlimited" when a side is open-ended |
| Chance of profit | The chance price finishes where the position makes money at the selected date, using the legs' implied volatility |
| Breakevens | Where profit and loss crosses zero ("Between $a − $b", "Above $X") |
| Estimated margin | When there are uncovered shorts |
Graph and table
The chart panel shows profit and loss against price at the selected date, profit shaded green and loss red, with breakevens as dashed rules and spot dotted. When the date is before expiration, the payoff at expiration is drawn dashed beside it. Drag the indigo target rule to read the result at a price.
Switch the panel to Table for prices down the side and dates across (now, then each expiration), each cell tinted by profit or loss.
The value modes in the header show P&L $, P&L % (of the collateral), contract value, % of collateral, or the position's greeks.
Under the chart, three sliders set the date (now through the last expiration), the range of prices (±5% to ±92% of spot, or Auto), and IV (shift every leg's implied volatility to see what a volatility change does). Prices between now and expiration use Black-Scholes with each leg's own implied volatility.
Contract stats
View stats on a leg's card opens that contract's history: its trading over the last 1 to 90 sessions in 15-minute to daily intervals, volume split by whether each trade printed at the ask, the mid, or the bid, with the premium traded and the average fill. It opens on the last 14 sessions in 4-hour bars, enough to see volume build toward an expiration. Intraday bars start at the 9:30 open: 4-hour bars at 9:30 and 1:30, hourly bars at 9:30, 10:30, and so on; Lookback and Interval change either. Trades at the ask lean toward buyers and trades at the bid toward sellers.
The same history opens from a row on options flow, from History on an option chain contract, and from a chip on the strike selector's price ladder. The address remembers the open contract, so Back closes it and a link opens it again. Inside the history, Strategy calculator opens the contract here. On a phone the history fills the screen.
Where positions come from
A contract from the option chain, a strike from the strike selector, or a pick from wheel and income opens here as a position you can edit. Athena and your AI app can build and price the same named strategies.
Free opens the calculator on SPX, SPY, QQQ, and IWM. Pro opens any ticker.