Suppose I have a bull call spread where I am long on an ATM Call (+ 0.509 delta) and short OTM call (- 0.220 delta).

What will be my probability of success in this trade?

  • I don't believe there is enough information given to answer this question. But I'll wait to see what our member who is an options expert has to say. – JoeTaxpayer Mar 22 at 13:26
  • @JoeTaxpayer - I too am curious as to what his opinion is. – Bob Baerker Mar 22 at 14:01
  • 1
    Ok. That was a little scary. Considering I did not 'at' you.... glad you know the hat you've earned. – JoeTaxpayer Mar 22 at 14:04
  • 1
    Hey Joe (wailed Hendrix), I'm just a retail guy trying to earn a buck :->) – Bob Baerker Mar 22 at 14:08

Your otherwise interesting question is one that may not have enough detail. I just pulled up the probability graph for a trade I entered into a few months ago.

You can see that it required a current price, prices for both strikes, as well as the stock volatility, interest rate, and days until expiration. In my case, 'success' wasn't quite yes/no, as there's the range where the price is within the spread prices and while profitable above the spread cost, it won't provide the maximum trade return.

Disclaimer - this is not 'investing', it's a form of gambling. In effect, would you bet $1 for a 25% chance of getting back $10? (It was 25% when the position was first entered)

enter image description here


As Joe Taxpayer stated, there isn't enough information to answer this question.

In nearly 40 years of using options, I have never had the slightest interest in what the probability of a trade is because my decisions have always been made from price and indirectly, implied volatility. So while I can contribute some info, I have no definitive answer for you.

Some use delta as a proxy for the probability that an option will expire in the money. Your OTM short call has a delta of 0.220 so the probability of your spread achieving maximum profit would be 22%. Take this proxy with a grain of salt because delta varies as implied volatility changes.

Tom Sosnoff of ThinkOrSwim fame uses the following formula (for a vertical spread) to calculate Probability of Profit where POP is the chance of making at least $0.01 on a trade. Unlike him, I'm not an expert but I don't think it's accurate or useful other than to indicate the spread's P&L ratio. It doesn't take IV into account or the distance of strikes from current price:

100 - [(the credit received / strike price width) x 100]

I think that Lawrence McMillan who wrote one of the 'bibles' of option trading is a reliable source of information. At his website, there's a free probability calculator:


I'd bet that the results from it would be reasonably close to the delta estimate.

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.