Buying an option is a bet that the underlying will move far enough, fast enough. This tool is built around that exact principle. You set your target profit, and it scans the full option chain to show how often that target has been reached historically.
Each contract returns a single clear metric: the probability of hitting your target return at any point before expiration.
Required movement: early exit vs. expiration
What it takes to double one SPY call. The green line is the move you need, and it climbs every day you hold. The shaded band is how far the stock usually moves in the same time.
The common misconception
A widespread myth among option traders is that a stock must reach the strike price to turn a profit. As shown in the SPY example above (with SPY at $748.52 and an out-of-the-money $780 call with 40 days to expiration):
Day-1 target: doubling your money on the day of purchase required a price move of just +1.39% (to $758.92), leaving the stock $21.08 short of the $780 strike.
Expiration target: holding the contract until expiration required a much larger move of +4.81% just to achieve the same result.
Why time value (extrinsic value) changes the math
Options with weeks or months remaining until expiration derive most of their price from time value (extrinsic value). Because extrinsic value is highly sensitive to price movement in the underlying asset, the contract value inflates rapidly long before the strike price is ever reached.
Key Takeaway for Traders
Strike prices dictate where an option settles at expiration. Price movement dictates how an option pays you before expiration. This tool evaluates probability based on real price movement rather than static strike targets.
Two core user settings drive the entire calculation engine. Both parameters are adjusted via the control panel to filter and evaluate trade opportunities across the option chain.
Key input parameters
1. Target Return (%)
This setting defines your desired return on capital (ROC) relative to the premium paid.
Default setting (100%): represents doubling your initial investment.
Lower targets (e.g., 50%): require smaller underlying price moves, resulting in higher probability scores across all contracts.
Higher targets (e.g., 300%): require significantly larger price moves, causing probability scores to drop.
Important Distinction
Target Return measures return on the option premium, not the underlying stock. A 100% target on a call option purchased at $2.23 means aiming to exit the trade at $4.46.
2. Maximum Contract Price (Max $ per Option)
This setting acts as a capital allocation filter, setting the upper limit for per-share option pricing.
Default setting ($5.00/share): filters out any contract costing more than $500 total cash (since 1 contract = 100 shares). A $2.23 option ($223 total) passes, while a $7.00 option ($700 total) is excluded.
Strategic impact: lower price caps force the list toward cheaper, out-of-the-money contracts that require larger moves. Higher caps allow in-the-money or longer-dated contracts that require smaller moves.
Dual filtering & directional bias
Only contracts that satisfy both your Target Return and Maximum Contract Price criteria are displayed. Any option whose required price target has never historically been achieved by the stock is automatically dropped, regardless of how cheap it is.
Both filters have to pass, and one more rule sits behind them: a contract whose target the stock has never once reached is dropped no matter how cheap it is. What survives is the list you sort and read.
Calls vs. puts (directional toggle)
The Direction toggle switches the board between bullish and bearish setups:
Long calls: evaluates the historical probability of downside-to-upside price surges.
Long puts: evaluates the historical probability of upside-to-downside price drops.
The probability algorithms function identically in both directions; only the directional move required to achieve the target is inverted.
How Probabilities Are Derived (Historical Backtesting)
The probability metric is not a theoretical forecasting formula or a Black-Scholes estimate, it is an empirical calculation based on actual historical asset performance.
The 2-step backtesting process
The target is not a single number. It is a curve that climbs every day the option loses to time decay. Step two then replays past windows of the same length and asks how often the stock reached the target on any day inside the window. That share is the probability.
1. Daily target price curve
The system calculates the exact stock price required to hit your Target Return for every single day between the entry date and expiration.
This target price is dynamic, not static.
As time decay (theta) reduces the option's extrinsic value over time, the underlying stock must make a progressively larger move to achieve the exact same return target on Day 15 than on Day 1.
2. Rolling historical simulation
The engine takes all historical timeframes for this specific stock equal to the contract's duration (e.g., 30-day windows) and simulates the trade forward day-by-day:
It tests whether the stock reached or surpassed the required daily target price on any day during each historical window.
Winning window: if the stock hit the target price on any single day within that window, that historical stretch is logged as a success.
The final metric: the Probability of Profit is simply the percentage of total historical windows that achieved a successful payout.
Key methodology standards
To ensure backtest integrity, the calculation engine applies three strict execution rules:
Intraday extreme execution (resting orders): the backtest assumes you place a limit order at your profit target upon opening the position. It evaluates the intraday High for calls and intraday Low for puts. You do not need the stock to close at the target, hitting it briefly during trading hours triggers a fill.
Entry day high/low exclusion: trades are assumed to execute at the market Close on Day 0. Intraday highs or lows that occurred earlier during that initial entry session are discarded, as they were not achievable after market entry.
Base model calibration (spread neutralization): the target return is calculated directly from the Ask price (the price you actually pay to open). The pricing model calibrates the contract's base value to equal that Ask price at entry. This prevents wide bid-ask spreads from distorting the probability math by forcing the position to "earn back" the spread before tracking your target return.
Bottom Line
Read this metric for what it truly is: a strict historical hit-rate of comparable past timeframes, not a subjective market forecast.
Chapter 4
Time Decay & The Required Movement Curve
The dynamic chart at the top of the interface visualizes the core concept behind this tool: the required underlying move changes every day you hold the position. Clicking any contract on the board automatically renders its specific movement curve.
The required movement line (call/put target curve)
The primary line on the chart plots the exact percentage move required to hit your target return for every single day of the contract's life cycle.
Upward slope: the curve slopes upward on every contract without exception. This upward slope represents the direct financial cost of time decay (theta).
Color coding: green for long calls (requiring upside moves) and red for long puts (requiring downside moves).
Example breakdown: SPY $780 call (40 days to expiration)
SPY at $748.52 | purchase price: $2.23 per share ($223 total) | target return: 100%
Time horizon
Required move (%)
Target SPY price
Option value mechanism
Day 1 (immediate)
+1.39%
$758.92
Driven almost entirely by extrinsic value
Day 20 (midpoint)
+2.87%
$770.00
Mix of intrinsic & extrinsic value
Day 40 (expiration)
+4.81%
$784.52
Driven purely by intrinsic value
Expiration math verification
At expiration, an option retains zero extrinsic (time) value. To double a $2.23 purchase price ($4.46 target value) purely at expiration, the call must be $4.46 in-the-money above its $780 strike price:
Target Price at Expiration = $780.00 + $4.46 = $784.46
The chart calculates $784.52 (+4.81%), verifying that the mathematical model calculates precise arithmetic rather than rough approximations.
Historical movement bands: evaluating feasibility
Behind the required movement curve, the chart overlays shaded historical bands representing how far the underlying asset has historically moved over identical time windows:
On day one the double needs only +1.39%, less than the stock's own typical 40-day move, so it sits inside the shaded range. Held to expiration, the same double needs +4.81%, which lands well above anything the stock usually does. The move you need does not change; the time you give it does.
Shaded bands: display normal historical distribution (inner band) and extended historical volatility (outer band).
Center line: represents the historical median move for that timeframe.
Interpretation: if the required move line sits safely inside the shaded bands, the trade asks for routine price action. If it sits above the bands, it requires an atypical statistical outlier.
The strategic takeaway: timing vs. direction
For the SPY contract above:
The median 40-day move: historically +1.75%.
The Day-1 required move: just +1.39%.
The expiration required move:+4.81%.
An ordinary price move (+1.75%) arriving early in the trade cycle comfortably doubles your money. That exact same move arriving at expiration results in a complete loss, because the expiration bar climbed to +4.81%.
Key Conclusion
This trade resulted in a 55.8% probability score (roughly a coin flip) because buying an option is a simultaneous bet on both timing and direction.
Earnings event marker
When an Earnings Release falls prior to expiration, a dashed vertical line marks the date on the chart. An earnings catalyst can deliver the sharp volatility needed to hit an early target, but it carries equal risk of driving an aggressive move in the wrong direction.
Every options contract that successfully clears both your Target Return and Maximum Cost filters will populate in the active data table. Every column is sortable, and clicking any individual row automatically renders its specific movement curve in the chart above.
Data column breakdown
Column
Definition & utility
Type
Directional structure: Buy Call (bullish) or Buy Put (bearish).
Strike
The contract's strike price. Includes an ER Badge if an earnings report falls prior to expiration.
Expiry & DTE
The exact expiration date and the total days to expiration (DTE).
Cost
The current Ask price per share. (Multiply by 100 to calculate the total cash capital required.)
% OTM
Percentage out-of-the-money; exactly how far the strike price sits from the current stock price.
Probability of X% Profit
The historical chance of hitting your specific target return before expiration.
The gearing effect: a counterintuitive comparison
Traders are often surprised when comparing near-the-money and deep out-of-the-money (OTM) contracts. Consider these two SPY call options from the same expiration cycle (31 August), measured with SPY at $747.86 on 22 July 2026:
Strike price
Contract cost
% OTM
Probability of doubling
$770
$4.74
2.9%
56.0%
$800
$0.39
6.9%
54.5%
The insight: the $800 call sits significantly further away and costs a twelfth as much as the $770 call, yet its historical probability of doubling in value is nearly identical.
This is not a pricing error. It demonstrates gearing (leverage). Because the $800 contract is so cheap, it requires only a fractional absolute price increase in the premium to achieve a 100% relative gain. A modest directional move in the underlying stock can easily double a cheap contract's extrinsic value long before the strike is ever threatened.
What the probability column does NOT say
Critical Distinction
The probability column strictly measures the likelihood of touching your target return at some point prior to expiration. It does not measure the likelihood of the option retaining value at expiration.
In the example above, the $800 call requires a massive 6.9% underlying move just to hold a single penny of intrinsic value at expiration, compared to only a 2.9% move for the $770 call.
The tool does not tell you which contract is the "better buy." It strictly reports how often your desired exit target has historically presented itself, leaving you to weigh the risk of holding deep-OTM contracts that are highly likely to expire worthless if you fail to take profits early.
Chapter 6
Regime Filtering & Market Context
Located under the Show Advanced Options panel are four market regime filters. These controls allow you to filter historical backtests, ensuring your probability scores are calculated exclusively using past periods that match current market conditions.
The four market regime filters
Each filter you switch on removes past days that do not look like today. The probability and the shaded bands are then rebuilt from only the days that remain, which sharpens the context but leaves a smaller sample to measure against.
Filter
Classifications
Strategic purpose
VIX Regime
Under 20 (low vol), 20 to 30 (elevated), over 30 (extreme)
Matches macro market volatility on entry.
Moving Average
Above vs. below 5-day SMA
Isolates short-term trend direction and momentum.
RSI (14)
Above vs. below the 50 neutral line
Distinguishes overbought/bullish from oversold/bearish regimes.
30-Day Range
Above vs. below historical average
Filters by historical price dispersion and range expansion.
Sample Size Trade-Off
Leaving all filters set to "All" maximizes historical sample size. Applying multiple filters narrows the backtest window to highly specific market environments, improving context relevance, but reducing the overall statistical sample size.
One-click context calibration
The "Reset to Current Filters" button
Instead of manually checking current technical indicators, clicking Reset to Current Filters automatically scans live market data and applies the exact regime settings matching today's conditions. If VIX is currently trading at 17.5 and the underlying stock sits above its 5-day moving average, a single click isolates past market environments where those exact conditions held true.
What changes (and what remains constant)
Applying regime filters alters your historical analytical baseline without changing the execution mechanics of the contract:
What changes:
Probability of Profit column: recalculated using only the filtered historical windows.
Shaded historical bands: redrawn to reflect asset behavior specifically during matching regime periods.
What stays constant:
Contract cost & pricing: options premiums are dictated by live exchange order books.
Required movement curve: the physical price path required to double or reach your target remains mathematically identical.