Pricing options and futures strategies on live market data
This is a modelling tool for multi-leg options and futures positions. You build a position leg by leg — or pick one of the twenty-six structures below — and it returns the payoff at expiry, the profit and loss across price and time, the full Greek profile and the probability of finishing profitable, priced from live option chains rather than from typed-in assumptions.
What the numbers come from
Quotes, strikes, implied volatilities and open interest come from a live option chain, and every chain carries the time it was fetched. The freshness chip beside it reads LIVE under a minute old and DELAYED with an as-of time after that — a distinction worth respecting, because a stale chain prices a position that no longer exists at those levels.
Pricing runs on a native C++ engine rather than in the browser. European options are priced by Black–Scholes with closed-form Greeks; American and Bermudan exercise use binomial and trinomial trees; path-dependent structures use Monte Carlo. Futures carry, margin and basis are computed from the term structure of the contract you select, not from a flat rate.
How to read the outputs
- Payoff at expiry is the arithmetic result — the straight-line diagram most people picture. It is exact, and it only applies on the expiry date.
- The P&L matrix is the one that matters before then. It shows the position revalued across a grid of prices and dates, which is where time decay and volatility changes appear and where a payoff diagram tells you nothing.
- The probability curve is derived from the implied volatility of the chain you are pricing against. It is the market’s distribution, not a forecast, and it is only as good as the assumption that returns are lognormal — which is least true in exactly the tails people use it to assess.
- The Greeks describe the position’s sensitivity right now. Delta and gamma move fastest near a short strike close to expiry, which is where most defined-risk income strategies actually go wrong.
What it does not model
Commissions, exchange fees, financing and the bid/ask spread are excluded from every figure. On a four-legged position crossed twice, the spread is normally the largest cost in the trade and can exceed the credit collected. Early assignment on American-style short legs is not simulated, dividends are handled as a discrete yield rather than as dated payments, and margin figures are indicative — your broker’s requirement is the one that matters.
Strategy guides
Each guide below explains one structure: how it is built, the closed-form maximum profit, maximum loss and breakeven, how it behaves before expiry, and the specific ways it goes wrong. Every one links through to the calculator, so you can price the structure on live quotes once you have read how it behaves.
Directional
A view on where the price goes, with the risk bounded by what you paid or by a strike you chose.
Income
Selling premium against a level you expect to hold. Positive time decay, and a loss that is larger than the credit.
Neutral and range-bound
Structures that pay for the underlying staying put, with defined risk on both sides.
Volatility
Direction-agnostic positions that profit from movement, or from the price of movement changing.
Hedging
Protecting a holding you intend to keep, and what that protection costs.
Futures
Linear, margined exposure — and the spread structures that trade one contract against another.
- Futures OutrightDirectional — leveraged, linear
- Futures SpreadRelative value — non-directional
- Futures Calendar SpreadTerm structure — non-directional
- Futures Inter-Commodity SpreadRelative value — processing margin
- Futures Basis TradeArbitrage — carry capture
- Covered Futures CallNeutral to mildly bullish — futures income
Educational only. Nothing on this site is a recommendation to trade. Options and futures carry substantial risk, and short and leveraged positions can lose more than the amount originally invested.