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)