Max profit
$34.94
Options expected value calculator
Expected value is what a trade makes on average if you could place it many times. Enter a trade and the stock's realized volatility to see it per contract, next to the payoff, the odds and the max loss.
Leave the price empty to estimate it from implied volatility. Results are per contract (100 shares), held to expiration.
Estimated credit: $34.94 per contract (from implied volatility; type your real price above)
Max loss
−$465.06
Breakeven
$91.65
Profit chance ?
88.1%
Expected value ?
+$18.40
Reward to risk
0.08 to 1
Get the full verdict on this trade
Free, no account. The app adds volatility skew, exit plans, position sizing and a plain-English verdict.
How expected value works for options
Expected value = profit chance × average win − loss chance × average loss. It weighs every possible result at expiration by how likely it is, so a trade that wins often but loses big can still come out negative.
The likelihoods are where people go wrong. If you price outcomes with the same implied volatility the options are priced at, every fairly priced trade comes out at about zero before fees. That's the market's own view. To get a number worth looking at, you need a separate view of how much the stock is likely to move. This calculator uses the stock's realized volatility: how much it has actually been moving.
Example: one put credit spread, five realized volatilities
A $100 stock, 30 days to expiration, 25% implied volatility. The 87 / 92 put credit spread collects about $34.94 per contract. Here's its expected value as realized volatility changes:
| Realized vol | Profit chance (realized) | Expected value |
|---|---|---|
| 15% | 97.8% | +$30.89 |
| 20% | 93.2% | +$18.40 |
| 25% (= implied) | 88.1% | +$0.00 |
| 30% | 83.4% | −$20.03 |
| 35% | 79.4% | −$39.27 |
The trade and its price never change. Only the stock's real movement does. When the stock moves less than implied, the seller comes out ahead on average. When it moves more, the same trade loses on average. That's why Options Verdict checks the gap between implied and realized volatility before anything else. More on implied vs realized volatility.
What this calculator leaves out
- Skew: real options are priced at a different implied volatility at each strike. The full app models it.
- Exits: it assumes you hold to expiration. Taking profits or stopping out early changes the average.
- Fees and fills: the price you actually get matters, especially on cheap spreads.
- Forecast error: realized volatility looks backward, and the future can differ.
Questions
What is a good expected value for an options trade?
Anything above zero after fees means the trade makes money on average under your assumptions. But it's only as good as the realized volatility you entered, so treat a small positive number as roughly zero.
Why is my expected value zero when realized equals implied volatility?
Because the options are then priced exactly at the odds you're using. A fair price has no edge for either side; fees make it slightly negative.
Is expected value the same as profit chance?
No. Profit chance is how often a trade wins. Expected value also counts how much it wins and loses. Here's how a high profit chance can still mean negative expected value.
Where do I find realized volatility?
Many brokers show historical volatility (HV) for 10, 20 or 30 days on the stock's volatility or analysis page. Use a lookback close to the trade's length.