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By Options AI Screener · Last updated 2026-10-12 · 8 min read
Probability of profit is the number most options platforms put next to a trade to tell you how likely it is to work. It is genuinely useful and it is routinely misread, because it answers a narrower question than the one most people think they are asking. It tells you how often a position finishes in the green. It says nothing at all about whether the position is worth taking.
Probability of profit is the model's estimate of the chance that, at expiry, the underlying sits on the profitable side of your break-even price.
Two things follow from that definition and both matter.
It is a model output, not a measurement. Someone has to assume how much the stock will move. Almost always that assumption is the implied volatility of the option itself, pushed through a lognormal distribution. Change the volatility input and the probability changes with it. This is why the same spread can show 72% on one platform and 68% on another without either being broken.
It is about the ending, not the journey. The calculation asks where the stock is on one specific day. It has nothing to say about what happens in between, which matters more than it sounds and is covered below.
For a single short option, the shortcut most traders use is delta. A put with a delta of −0.25 has roughly a 25% chance of finishing in the money, so roughly a 75% chance of expiring worthless. That approximation is close enough to be useful and is where the "sell the 30-delta put" convention comes from, as discussed in the guide to cash-secured puts and strike selection.
Here is the part that changes how you read a screener.
Every defined-risk position has a break-even win rate — the probability it must achieve just to come out flat over many repetitions. It is not a model output. It is arithmetic:
break-even win rate = max loss ÷ (max loss + max profit)
That is it. A trade that risks $77 to make $23 must win 77 ÷ (77 + 23) = 77% of the time simply to break even. Win 76% and you lose money. Win 78% and you make a little.
Now put the two numbers side by side.
Illustrative figures, chosen to be round.
A bull put spread, $1 wide, collects $0.23 of credit. Max profit is $23, max loss is $77. The platform shows a probability of profit of 69.7%.
| Probability of profit | 69.7% |
| Break-even win rate | 77.0% |
| Gap | −7.3 points |
Expected value per spread is 0.697 × 23 − 0.303 × 77 = −$7.30.
A trade that wins seven times out of ten has a negative expectation, because the three losses are more than three times the size of the seven wins. Nothing about the 69.7% is wrong. It simply is not the whole calculation, and on its own it is reassuring in a way the trade does not deserve.
This is the structural reason high-probability credit strategies feel good and can still lose money over time. You are trading frequency for severity. That is a legitimate choice — but only if the frequency is high enough to pay for the severity, and the only way to know is to subtract.
Selling premium produces a distinctive pattern: a long run of small wins broken by occasional large losses. Most months look like success. The arithmetic is decided by the months that do not.
This is the same shape as the break-even calculation above, just experienced over time rather than computed in advance. It is also why a track record measured over a few months can look excellent and mean very little — the losses that determine the outcome are, by construction, rare.
A credit spread's probability of profit asks where the stock closes on expiry day. In practice very few people hold a losing short spread to expiry. They stop out.
Consider a stock that finishes a 30-day window up 6%. The position "should" have won. But if the stock fell 10% at some point in between, a short put struck below the money goes in-the-money on the way, the mark moves hard against you, and most risk rules close the position there. The endpoint says win. The path says stopped out.
Probability of profit cannot see this, because it only evaluates one day. Any realistic assessment of a short-premium trade needs a second question beside it: how far can this move against me before I am forced out, and how often does the underlying move that far?
Three habits make the number much more useful.
The Cash-Secured Put screener and the Iron Condor screener both show probability alongside capital at risk and return on that capital, so the two halves stay visible together. None of this is advice about a specific position — but the subtraction above takes five seconds and will change which trades look attractive.
Not quite, though they are close for a single short option. The absolute delta of an option approximates the chance it finishes in the money, so one minus that delta approximates the chance a short option expires worthless. Probability of profit on a multi-leg position accounts for the credit received, so the break-even sits past the strike and the figure is slightly higher.
Because they feed different volatility into the same model. Implied volatility from the option itself, a blended surface, and recent realised volatility all give different answers, and none of them is wrong. Treat the number as a comparison between trades priced the same way, not as a physical constant.
On its own, no. Probability tells you how often you win, not how much you win or lose. A position that wins 90% of the time and loses ten times the premium when it fails can be a losing proposition. Both numbers have to be read together.
There is no universal answer, because the right probability depends entirely on the payoff beside it. The useful discipline is not picking a target but checking every trade against its own break-even win rate, which is fixed by the max profit and max loss and takes one line of arithmetic.