Options Structure Lab
Build a defined-risk options structure from the prices you type, and read exactly what you can make, lose and break even at — before you place it.
Unlocked by: Professional Options Trading (POTM) — Options tools
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Worked example — the numbers below are illustrative.
Example data — a worked AAPL bull call spread. Replace with your own structure.
Manual entry — prices are what you type; there is no live options chain here. The payoff at expiry is exact from your numbers. The greeks and what-if grid are Black-Scholes model estimates, educational, not quotes.
1. Choose a structure
Bullish; buy a lower call, sell a higher call. Loss capped at the debit.
2. Enter your prices
| Type | Side | Strike | Premium | Contracts | DTE | IV % | |
|---|---|---|---|---|---|---|---|
3. Results
Payoff at expiry
Gold line is the exact payoff at expiry from your prices. The dashed green line, when shown, is the structure's model estimate (Black-Scholes) value today — educational, not a quote.
Net greeks (model estimate (Black-Scholes))
What-if
model estimate (Black-Scholes)Model profit / loss (£) if the underlying moves (across) and implied volatility shifts (down), with no time elapsed.
| IV \ Spot | -10% | -5% | 0% | +5% | +10% |
|---|---|---|---|---|---|
| -5 pts | -£668 | -£668 | £139 | £808 | £825 |
| 0 pts | -£668 | -£636 | £0 | £678 | £816 |
| +5 pts | -£664 | -£547 | -£60 | £502 | £757 |
Time decay at unchanged price and volatility:
| Now | ⅓ elapsed | ⅔ elapsed | At expiry |
|---|---|---|---|
| £0 | £19 | £40 | £32 |
Build a defined-risk options structure from the prices you actually see, then read exactly what you can make, what you can lose, and where it breaks even — before you place it.
Steps
- 1
Pick a structure to start from — a preset like a bull call spread or an iron condor, or Custom to build your own legs. Whatever you choose runs through the same defined-risk check.
- 2
Type the underlying price, then the legs: for each one set call or put, buy or sell, the strike, the premium you would actually pay or receive, the number of contracts, and days to expiry.
- 3
If you know a leg's implied volatility, type it; if not, enter a risk-free rate and press "Solve IV" to back it out of the premium you typed. The rate only affects the model estimates, never the payoff.
- 4
Read the results: net debit or credit, max loss, max gain, breakeven(s), reward-to-risk and return on capital, plus the net greeks. Every number has an "i" you can open for what it is and is not.
- 5
Look at the payoff chart to see the shape at expiry, then use the what-if grid to see how the model values change if the price moves, volatility shifts, or time passes.
- 6
When the structure is yours, capture it on a Plan Card before you trade — that is what makes your review honest later.
What the numbers mean
- net debit credit
What: The net premium of the option legs: a debit is what you pay to open, a credit is what you receive.
How to read it: A debit is your cash out the door; a credit is cash in, which you keep if the structure expires worthless.
What it is not: It is not the most you can lose — read max loss for that. With a stock holding (a collar) this figure is the options only, not the stock.
- max loss
What: The worst the whole structure can lose at expiry, in pounds, across every possible ending price.
How to read it: This is your defined risk — the number to size against. For a debit structure it is usually the debit; for a credit spread it is the width minus the credit.
What it is not: It is not a margin figure and not a stop; it is the mathematical worst case at expiry, before any commissions.
- max gain
What: The most the structure can make at expiry across every ending price.
How to read it: Read it against max loss to judge whether the payoff is worth the risk. "Unlimited" means a long option with no ceiling on the upside.
What it is not: It is not a forecast or a target — it is the best the shape can pay, not what it will pay.
- breakeven
What: The underlying price(s) at which the structure ends at exactly zero profit or loss at expiry.
How to read it: Above (or below) breakeven you are in profit at expiry; a two-sided structure has two breakevens you need to stay between or outside.
What it is not: It ignores time value before expiry — the model value can be positive or negative around it earlier. It is not a prediction that price will get there.
- risk reward
What: Reward-to-risk: max gain divided by max loss.
How to read it: A ratio above 1 means the most you can make exceeds the most you can lose. Weigh it against how likely each outcome is.
What it is not: It is not a probability and not an expected value — a high ratio can still be a low-probability payoff.
- roc
What: Return on capital: max gain as a percentage of the net cash you put up.
How to read it: It tells you the best-case return on the capital committed. For a collar the capital includes the stock, so the percentage is naturally smaller.
What it is not: It is best case, not expected — do not read it as a likely return.
- net delta
What: The structure's net delta, in share-equivalents: roughly how many shares of the underlying it behaves like right now.
How to read it: Positive means it gains as the underlying rises; negative means it gains as it falls. A stock leg adds one share of delta per share held.
What it is not: It is a Black-Scholes model estimate at your inputs, not a broker figure, and it changes as price, vol and time move.
- net theta
What: Net theta: the model estimate of how much value the structure gains or loses per calendar day from time passing, all else equal.
How to read it: Negative theta means time decay works against you (you paid for time); positive means it works for you (you sold time).
What it is not: A model estimate at today's inputs, not a guaranteed daily amount — it changes as the other inputs change.
- net vega
What: Net vega: the model estimate of how much value changes for a one-point (1%) move in implied volatility.
How to read it: Positive vega gains if volatility rises; negative vega gains if it falls. It tells you which way changing volatility helps you.
What it is not: A model estimate, not a quote, and it assumes every leg's volatility moves together by the same amount.
- net gamma
What: Net gamma: how fast the net delta itself changes as the underlying moves.
How to read it: High positive gamma means your directional exposure grows quickly in your favour as price moves; negative gamma means it grows against you.
What it is not: A model estimate at your inputs, not a broker figure.
- net rho
What: Net rho: the model estimate of how much value changes for a one-point (1%) move in the risk-free interest rate.
How to read it: Usually the smallest greek for short-dated structures; it matters more the longer the time to expiry.
What it is not: A model estimate, not a quote.
- solved iv
What: The implied volatility backed out of the premium you typed, using Black-Scholes and the risk-free rate you entered.
How to read it: It is the volatility that makes the model price match your premium — a read on how "expensive" the option is in vol terms.
What it is not: It depends on the rate you entered and the model; it is an educational estimate, not your broker's quoted IV.
- what if
What: A grid of model estimates: how the structure's profit or loss would change if the price moved, volatility shifted, or time passed.
How to read it: Read across for price moves, down for volatility, and use the time row to see decay. It shows the shape of your risk before expiry.
What it is not: Every cell is a Black-Scholes model estimate, not a quote or a prediction. Real fills, dividends and vol skew will differ.
- defined risk rule
What: The rule this tool enforces: it will only build structures whose worst-case loss is capped up front — never a naked short call, an uncovered short put, or short stock.
How to read it: If you build an undefined-risk shape, the tool refuses it and tells you how to cap it (add the missing long option). That is the POTM discipline: define your risk before you take it.
What it is not: It is not a judgement about whether a trade is good — it is a floor on the kind of risk this tool will help you construct at all.
- manual entry
What: Every price here is what you type — the tool does not fetch a live options chain.
How to read it: Enter the premiums you actually see at your broker. The payoff is exact from your numbers; the greeks and what-if are Black-Scholes model estimates layered on top.
What it is not: These are not live quotes and not advice — they are an educational read on the structure you described.