Options Pricer Live

Options Pricer Live CRR 100-step American binomial · reprice on every keystroke

Inputs

Ticker

Spot

Rate %

Div Yield %

Eval Date

Steps

Legs

Tag	Side	Type	Strike	Qty	Mkt IV %	IV %	Expiry	Mid $	Live Mid $	Entry $	Δ	Γ	Θ $/d	Vega $/pt	ρ	Value $	P&L $

Book Metrics

Forward Surface — Spot × Date P&L

Spot Low

Spot High

Spot Steps

Date End

Compare Date

Date Steps

Vol Shift ±pts

Settlement

Marginal Trigger Map — Remaining Multiple vs Spot × Date Each cell = max_payoff ÷ value(spot, date). Red cells = below threshold = "marginal" zone. Edge of red = trigger boundary.

Marginal Threshold (×)

Spot Low

Spot High

Spot Cells

Date Cells

Marginal (multiple < threshold) Healthy upside (multiple ≥ threshold) current spot X = trading days forward to expiry. Y = spot. Strikes drawn as dashed horizontal lines.

Gamma & Delta Profile — Position $ vs Spot Where does net gamma flip negative? When does short-leg convexity start hurting?

Net Γ (shares-eq per $1) — left axis Net Δ ($ per $1) — right axis current spot ▲ leg strikes (long ↑ / short ↓) Range mirrors the Forward Surface's Spot Low/High.

Prob / Exit Model — historical odds + delta-vs-time exit detector

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Percentile Forecast — Lookback / Forward distribution from 5yr history

Lookback Days

Forward Days

Set Lookback / Forward and click Recalc, or click a leg-expiry chip above to set Forward to that leg's trading-days-to-expiry.

Conditional Percentile Cone — empirical forward distribution (conditioned on today's momentum percentile) mapped onto position P&L

Horizon N (days)

β vol (ΔIV / +1%)

Momentum-conditional cone

Event cone N date

Forward cone driven by upcoming earnings + macro releases, repriced onto this position. Click Build.

empirical distributions — descriptive, thin samples flagged. Left: conditioned on today's momentum percentile. Right: additive-variance over scheduled events (median at 0, direction not predicted).