Playground
Options Payoff Calculator
Build 1–4 leg options strategies: straddle, strangle, iron condor, spreads, butterfly. See payoff, break-evens, aggregated Greeks.
Runs in your browser. Nothing you enter is uploaded, and no account or API key is needed.
1. Market inputs
Black-Scholes volatility used to price every leg.
2. Legs
Max profit at expiry
Unlimited
Max loss at expiry
−$409.32
Break-even at $104.09. Net debit $409.32 paid up front.
Dollars per position (× 100 shares per contract). Premiums are theoretical Black-Scholes values, not market quotes.
Premium structure
Net premium
$409.32
Debit (you pay)
Break-even(s)
104.09
Underlying price at expiry
Reward to risk
—
Undefined with an unlimited side
3. Profit and loss at expiry
Solid line: net P&L at expiry. Dotted vertical: current spot. Dashed verticals: break-even points.
4. Position Greeks at current spot
Delta
53.36
share-equivalents
Gamma
4.035
delta change per $1
Theta / day
−$4.72
time decay
Vega
$13.93
per 1 vol point
Rho
$6.07
per 1% rate
Model
Each leg is priced with generalised Black-Scholes (European exercise, continuous dividend yield). Position Greeks sum each leg's Greeks with its sign (long +, short −), times contracts and shares per contract. The expiry payoff is piecewise linear with kinks at the strikes, so max profit, max loss and break-evens are solved exactly from the strikes and the slope beyond the highest strike; a net long call position has unlimited upside and a net short call position unlimited loss.
How to use it
- Set spot, implied volatility, days to expiry, rate, dividend yield and shares per contract (100 for US equity options).
- Start from a preset (long call, straddle, strangle, bull call spread, bear put spread, iron condor, call butterfly) or edit up to four legs: long or short, call or put, strike, contracts.
- Read max profit and max loss at expiry. A net long call position shows unlimited upside and a net short call position unlimited loss.
- Check the break-even prices, the net debit or credit and the reward-to-risk ratio, then the P&L chart across ±50% of spot.
- Use the position Greeks (delta in share-equivalents, gamma, theta, vega, rho) for today's exposure before expiry.
Questions people ask
What payoffs can the builder construct?
Any combination of up to four long or short calls and puts at any strikes and contract counts, from seven presets (long call, straddle, strangle, bull call spread, bear put spread, iron condor, call butterfly) or by hand. All legs share one expiry, so calendar and diagonal spreads and stock legs are not supported.
What does the builder NOT show?
P&L before expiry (the chart is the expiry payoff), changes in implied volatility, early exercise or assignment of American options, commissions and margin. Premiums are theoretical Black-Scholes values from the volatility you enter, not market quotes. The position Greeks describe today's exposure; the Options Greeks Calculator explores one option in detail.
Why does the breakeven count differ between strategies?
The expiry payoff is a straight line between strikes, and every sign change is a break-even. A long call or a vertical spread has one; a straddle, strangle, iron condor or butterfly has two. The builder solves them exactly from the strikes, including the stretch beyond the highest strike, rather than scanning a grid, and unequal wings give break-evens that are not symmetric.
Are commissions included?
No. Every figure is before commissions and fees. For a multi-leg position, subtract your broker's per-contract fee times the contracts opened and closed; on small positions that can be a large share of the max profit.
What happens at expiration if the spread expires in-the-money?
The payoff assumes every leg settles at its intrinsic value at expiry. In practice brokers auto-exercise long legs that finish in the money and assign short ones, which can leave a stock position when only some legs finish in the money; the tool does not model that.
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Articles
- 10 min read Options Greeks for LLM-Driven Trading
Options Greeks for LLM-driven trading: delta, gamma, theta, vega, rho — what each costs, three rules, plus a prompt template for multi-leg positions.
- 10 min read Why LLMs Fail Options Greeks
LLMs misfire on theta sign, vega-vs-gamma conflation, and ITM-vs-ATM gamma ranking. The three reproducible error categories, plus a verifier fix.
- 11 min read Options Greeks: 30-DTE OTM Call, Worked End to End
Engine returns delta 0.301, gamma 0.0217, theta −$0.10/day, vega $0.20/IV-point for a 30-DTE 5% OTM call on $200 spot at 28% IV — the LLM-confounder case.
Workflows that use this tool
- Workflow Explore market structure
Inspect order books, options payoffs, and cross-venue arb in a sandbox before going live.
Use it from code
The same calculation as a JavaScript module you can import. It runs where you import it, with no request, key or rate limit.
import { compute } from "https://aifinhub.io/engines/options-payoff-builder.js";