Options Strategy Analyzer
Build any multi-leg options strategy and read its expiry payoff, max gain and loss, break-evens, required move and reward-to-risk — instantly.
Educational tool, not investment advice. Payoffs are at a single expiry; Black-Scholes (Mode B) is a European approximation. Figures ignore commissions, early assignment and financing, and the probability of profit is a model estimate under a lognormal law, not a forecast. Premiums you enter are your own responsibility.
This free options strategy builder turns a list of legs into a full risk picture. Add calls, puts and stock — or start from a preset like a bull call spread, iron condor, straddle or butterfly — and the payoff diagram, break-evens, maximum profit and maximum loss update as you type.
One engine, every strategy
There is no per-strategy formula anywhere. A strategy is just a set of legs, and the profit-and-loss at expiry is piecewise-linear in the underlying, so a single algorithm reads off the maximum gain, the maximum loss (finite, or unlimited when a tail is left open), the break-even points and the profit zone. Change a strike, a quantity or a side and the whole picture re-derives — the presets only pre-fill the legs.
Type prices, or let the model quote them
In Mode A you enter the real premium of each leg and get a model-free payoff — the honest picture of what you would lock in at those prices. In Mode B the tool prices each leg with Black-Scholes from your spot, maturity, volatility, rate and yield, and adds a model estimate of the probability of profit. For the closed-form single-option baseline, open the Vanilla pricer; for the volatility intuition behind these trades, see Volatility Models; and for the interview angle on payoffs and Greeks, the Interview Coach.
What to read off the chart
Green is profit, red is loss, the dots mark the break-evens and the vertical line is today's spot. For a range strategy the profit zone and its width tell you how much room you have; for a directional one the required move shows how far the underlying has to travel just to break even. Reward-to-risk is deterministic; the probability of profit is a model estimate — the two answer different questions and the tool keeps them apart.
Frequently asked questions
How are max gain, max loss and break-evens computed?
The payoff at expiry is piecewise-linear in the underlying, so the tool evaluates the position at every strike (plus S=0) and reads the slope in the tails. Extrema sit at those kinks or run to infinity when a naked long/short leg leaves the position open-ended; break-evens are the points where total P&L crosses zero. One generic algorithm handles every strategy — nothing is hard-coded per preset.
What is the difference between Mode A and Mode B?
In Mode A you type the real market premium of each leg, so the payoff is model-free — exactly what you would lock in at those prices. In Mode B you enter spot, days to expiry, volatility, rate and yield, and each leg is priced by Black-Scholes; this also unlocks a model estimate of the probability of profit under a lognormal law.
Is the probability of profit reliable?
Treat it as a model estimate, not a forecast. It assumes the underlying is lognormal with the volatility you entered and no skew, and it measures the risk-neutral mass sitting in the profitable price range at expiry. Reward-to-risk, by contrast, is deterministic — it follows only from the payoff.
Does it handle calendars and diagonals?
Not yet. This version prices a single expiry, so it covers verticals, straddles, strangles, butterflies, condors, ratios and combos. Multi-expiry structures (calendars, diagonals) need the residual leg valued mid-life and will arrive as a separate curve mode.