What This Thing Actually Does
This tool shows if buying volatility (calls, puts, or straddles) makes sense based on what you think will happen — not what the market’s pricing. I was too lazy to do more strategies cause I don't use them.
It compares:
what the market implies (implied vol σ_imp)
what you expect to happen (realized vol σ_real or a post-event scenario) and tells you whether the trade has positive or negative EV (expected value).
In short:
If σ_real > σ_imp → long options make money (mostly).
If σ_real ≤ σ_imp → you’re donating your money to the market makers.
Get Started
Simple steps to use the option EV calculator.
Input Data
Basic Inputs
Spot (S)
Current price of the underlying.
If you’re trading SPY at $690, enter 690.
Expiry (days)
Days until the option expires.
You can use any number (e.g., 14, 21, 45, 90). I’m not your mom, I don’t care.
Structure
Choose one:
Call – single long call
Put – single long put
ATM Straddle – buy both an at-the-money call and put
Strike (K)
Option strike price. Usually same as spot for ATM. Adjust accordingly.
Implied Vol (σ_imp)
The current market volatility you pay for when buying the option.
You can pull this from your broker’s option chain (or eyeball from barchart, etc).
Expected Realized Vol (σ_real)
How much you think the stock will actually move.
Example: If you expect a big post-earnings move, set this higher than σ_imp. Or if current IV < average historic IV set it to average historic IV.
Optional: Manual Mid price (Not that optional)
If you can see the real mid price of the option from your broker,
you can override the Black–Scholes model and input it manually here.
That gives you more accurate EV since it uses your real entry. Tool’s not really built in for options that trade fast. This is why I recommend you don’t do 0-3dte, but I’m not your mom.
Quick Scenario Mode
Expander called: “Quick scenario (move + IV change, ignores probabilities)”
This is the fastest way to test a trade before losing money:
Choose direction (Up/Down)
Enter a move (%) (e.g., +5%)
Set how much IV you think will change after the move (in vol points, not %). This means if IV = 20% and you expect it to go to 70% you set the slider to +50.
Choose how many days you’ll hold (Hold Days)
It instantly tells you:
the fair value after that move
the EV (fair – entry price)
This is your “What happens if it pops 5% and IV goes up 10?” playground.
Event / Unwind Mode
For earnings or catalysts (where IV crush happens).
Check “Event/Unwind mode (crush & gap)” to simulate it.
Settings:
Unwind after (days) – how long you hold before selling
Gap up / down (%) – size of expected move after event
Prob up (%) – probability of the move being up
IV crush call/put (%) – how much vol collapses after event
The app averages the up/down outcomes weighted by probability → gives you a fair EV under your scenario.
You’ll see:
Premium paid (entry)
Fair under scenario (expected exit value)
EV (expected) and Expected ROI
If your EV is negative, I don’t need to tell you that it’s retarded.
Guardrails
The app yells at you if the math says you could be retarded:
σ_real ≤ σ_imp → long-vol EV ≤ 0 (buying overpriced options)
EV ≤ 0 → “Are you planning to lose money?”
σ_real ≥ 2×σ_imp → probably unrealistic; check if you’re overestimating movement
Tiny premium → high ROI %s may be misleading. Or it’s lottery option tickets, I don’t judge.
Breakeven Calculator
At the bottom:
Profit breakeven = how far price needs to move (in %) before EV = 0
(only in the logical direction: up for calls, down for puts)Optional loss breakeven (inside expander) = how far it can move against you before EV flips negative.
Example: Call profit breakeven: Up ≈ 8.2% means the stock needs to rise 8.2% before your call breaks even.
How to Actually Use This
Plug in current market numbers
Spot, strike, implied vol, expiry.
Enter your expectations
Expected realized vol, or post-event move + IV crush.
(Optional) Enter your real option mids from your broker. Not really optional.
Check EV
If EV > 0, you’re underpaying for volatility (good trade, maybe).
If EV < 0, you’re overpaying (bad trade, probably).
Use the Quick Scenario
to visualize how much a move + vol change affects your position.
TL;DR Monkey Logic
σ_real ≫ σ_imp = Long options win
σ_real ≈ σ_imp = Get fucked by theta
σ_real < σ_imp = Get fucked by market makers
IV crush after event = Get fucked unless direction gap > crush effect
Positive EV = Mathematically less likely to get fucked
Negative EV = Mathematically more likely to get fucked or options expensive.
Profit breakeven far away = Market expects fireworks; you need a fucking miracle
Some tips
If σ_real / σ_imp < 1, you’re probably better off selling options.
You can use Quick scenario as a delta/theta intuition builder.
“Manual mid” always wins — it reflects real world, not BS model copium.
Never assume event IV crush < 20%; usually it’s higher than you want to believe.
ROI % can look crazy because you’re paying a tiny premium — don’t get baited by 2000% screenshots. You will probably do it anyway.
Luck is more important anyway.