Options Spread Analysis
Analyze debit and credit spreads with delta-based probability modeling
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Fetching options data and calculating spreads...
Current Price
$0.00
Expected Range
$0 - $0
Total Spreads
0
Best EV ROI
$0.00
Click on any row to view detailed analysis with profit/loss chart and complete trade metrics.
Available Trades
| ✅ Chance of Winning | 💵 Cost to Enter | 📈 Potential Profit | ⚖️ Risk/Reward | 💰 EV Edge % | 🎯 LCB Score | 📋 Trade Details |
|---|
Advanced Trading Metrics
| Strategy Type | Strike Prices | Breakeven Price | Expected Value | EV ROI % | Delta Spread | Max Loss |
|---|
Analysis Results
Expected Value
$0.00
Edge
0.00%
Profit Chance
0.00%
Max Profit
$0
Financial Details
Cost Basis:
$0.00
Max Loss:
$0.00
Risk/Reward:
1.00
Breakeven:
$0.00
Market Data
Current Price:
$0.00
Expected Move:
0.00%
Days to Expiry:
0
Symbol:
-
LCB Risk-Adjusted Metrics
LCB EV
$0.00
Risk-adjusted expected value
LCB EV/Day
$0.00
Expected value per day
LCB (Lower Confidence Bound) metrics use conservative estimates to account for uncertainty. LCB EV is the risk-adjusted expected value after applying confidence bounds.
Technical Analysis
7/10
Market Sentiment
• Price above key moving averages (Bullish)
• RSI showing bullish momentum
• MACD showing bullish crossover
NEUTRAL this spread - Technical sentiment aligns but edge is negative
Paper trade this spread
Profit/Loss Chart
Calculation Methodology
Enhanced Delta-Based Probability Modeling
This analysis uses sophisticated statistical modeling with the following approach:
- Implied Volatility Integration: Estimates IV from ATM options to calculate realistic expected moves
- Normal Distribution Theory: Uses scipy.stats norm.cdf for probabilistic break-even analysis
- Delta Spread Foundation: Option delta differences provide base probability strength
- IV-Aware Expected Move: Combines user input (5.5%) with IV-based expected moves
- Statistical Risk Adjustment: Exponential decay for strikes beyond expected move range
Spread Types
- Debit Call Spreads: Buy lower strike, sell higher strike (bullish strategy)
- Debit Put Spreads: Buy higher strike, sell lower strike (bearish strategy)
- Credit Call Spreads: Sell lower strike, buy higher strike (neutral/bearish strategy)
- Credit Put Spreads: Sell higher strike, buy lower strike (neutral/bullish strategy)
Key Metrics
- Expected Value: (Chance of Profit × Max Profit) - ((1 - Chance of Profit) × Risk Amount)
- EV ROI: (Expected Value / Risk Amount) × 100 - risk-adjusted return percentage
- Chance of Profit: Statistically-adjusted probability using delta spreads, IV, and normal distribution
- Net Debit/Credit: Amount paid (debit) or received (credit) to enter the position
- Estimated IV: Implied volatility derived from ATM option pricing (displayed in logs)
Disclaimer: This analysis is for educational purposes only. Past performance does not guarantee future results. Please consult with a financial advisor before making investment decisions.