Free calculator
Probability & breakeven explorer
See how far a strike and breakeven sit from the current price, how many expected moves that is, and how delta behaves as a rough probability proxy.
Inputs
Positioning
- Strike distance from spot
- -$5.00
- Strike distance %
- -5.00%
- Breakeven distance from spot
- -$6.80
- Breakeven distance %
- -6.80%
- Strike in expected moves
- 0.78
- Breakeven in expected moves
- 1.06
- Delta (proxy)
- -0.28
- |Delta| as a rough proxy
- 28%
Delta is often used as a rough proxy for probability, but the relationship is not exact and changes with volatility, time and model assumptions.
Assumptions and limits
- The expected move is entered directly from the expected-move calculator or a research page.
- Delta is a model output, not an observed probability.
Delta is not a probability
Delta is the sensitivity of an option's price to the underlying, and it is often used as a rough proxy for the chance of finishing in the money. The relationship is approximate and changes with volatility, time and the model used.
Expressing a strike or breakeven in expected moves gives a more intuitive sense of positioning than a single probability-like number.
FAQ
- Can I treat delta as the probability of profit?
- No. Delta is a price sensitivity that is only loosely related to probability and ignores the premium paid.
- What does 'in expected moves' mean?
- The distance between spot and a level divided by the priced expected move; above 1 means the level sits outside one expected move.