Free options calculators
The arithmetic behind GammaPulse's expected moves and levels, as standalone tools. Each result has its own link, so you can share a calculation.
Expected move calculator: price, implied volatility and days
The one-standard-deviation expected move is price x implied volatility x the square root of (days / 365). A $500 stock with 20% implied volatility has an expected move of about +/-$13.85 (2.77%) over 7 days. The at-the-money straddle prices the average move, about 0.8 x one standard deviation, so dividing it by 0.8 gives the one-SD move. Enter a price, IV and days to get the range.
Options probability calculator: chance of finishing above, below or touching a strike
With the Black-Scholes model (no interest or dividends), the chance a stock finishes above a strike at expiry is N(d2), where d2 = [ln(price / strike) - IV^2 x t / 2] / (IV x sqrt t). At $100 with 20% IV and 30 days, the chance of finishing above $110 is about 4.5%, and the chance of touching $110 before expiry is roughly double, about 9%.
Options breakeven and profit calculator for calls and puts
A long call breaks even at expiry at strike + premium; a long put at strike - premium. The most you can lose is the premium paid (premium x 100 x contracts). A $100 call bought for $2.50 breaks even at $102.50 and loses at most $250 per contract; at $105 at expiry it makes $250.
Explainers: Learn · Today's walls: Gamma walls. Arithmetic and model estimates, not investment advice.