Naked Options Analyzer

Naked Options EV Analyzer

Multi-horizon EV modeling for directional calls & puts - The way hedge funds do it

Option Setup
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Override implied volatility
Expected Path & Strike Efficiency
Pre-Trade Analysis

Click "Analyze Option" to see strike efficiency and optimal timing

How to Evaluate a Naked Options Trade

Naked options—single-leg calls or puts—are the simplest options trades but also the most sensitive to price, timing, and volatility. Unlike spreads that cap both risk and reward, naked options offer unlimited upside (for calls) but lose 100% of premium if the underlying doesn't move enough in your direction before expiration.

Most traders underestimate how much the stock needs to move and how quickly. A 5% OTM call might seem cheap, but if the expected move over your timeframe is only 3%, you're buying a lottery ticket, not a calculated bet. This analyzer quantifies exactly what needs to happen for your trade to profit.

Why Expected Value Matters for Naked Options

Most naked options have negative base expected value. Option premiums include time value and volatility risk premium, which means buyers pay more than the probability-weighted payout. This is why options sellers often profit systematically.

However, edge-adjusted EV can differ from base EV. If you have conviction about direction, magnitude, or timing that the market hasn't priced in, your personal EV may be positive even when base EV is negative. This analyzer separates these perspectives so you can make informed decisions.

Critically, timing matters as much as direction. Being right about a stock going up doesn't help if it happens after your option expires. The required move vs expected move comparison reveals whether your thesis is realistic within your timeframe.

How the OptionEV Naked Options Analyzer Works

This tool evaluates your naked option trade across multiple dimensions:

  • Required move vs expected move: Calculates how much the stock needs to move for you to break even, compared to the statistically expected move based on implied volatility.
  • Strike efficiency: Measures how much directional exposure you're getting per dollar of premium paid. Higher efficiency means better leverage on your thesis.
  • Delta per dollar: Shows bang-for-buck in terms of delta exposure relative to cost.
  • Volatility and timing risk: Assesses whether IV conditions favor buyers or sellers and how theta decay will impact your position.
  • Trade readiness scoring: Synthesizes all factors into an actionable quality assessment.

For spread-based strategies with defined risk, use our options expected value calculator. To find higher-probability options trades, explore the AI Trade Finder.

Who This Tool Is For

The Naked Options Analyzer is designed for:

  • Directional speculators: Traders who want to bet on a stock moving up or down and want to validate whether the trade offers edge.
  • Single-leg option buyers: Those considering long calls or puts who need to understand the probability of profit before committing capital.
  • Pre-entry evaluation: Traders who want to know whether a trade is worth taking before entering, not after.

Already in a trade? Use the when to hold or exit an options trade analyzer for position management. For full access to all analysis tools, explore our advanced options analysis tools.

Frequently Asked Questions

Are naked options high risk?

Yes. Naked options (long calls or puts) can lose 100% of the premium paid if the underlying doesn't move enough in your direction before expiration. Unlike spreads that cap losses, naked options have no protection against total loss. The trade-off is unlimited profit potential on the upside for calls.

Does positive EV mean a naked option will win?

No. Positive expected value means the trade is statistically favorable over many repetitions, not that any single trade will profit. Even +EV trades can and do lose. The goal is to consistently take trades with positive edge and let probability work over time.

How do I know if an option's required move is realistic?

Compare the required move (what the stock needs to do for you to break even) against the expected move (what IV implies the stock is likely to do). If your required move exceeds the expected move, the market is pricing your trade as unlikely to succeed. This analyzer shows both metrics side-by-side for clear comparison.