Probability of Profit & Expected Move

By the OptionProfit Editorial Team · Updated June 2026 · 2 min read · Risk disclaimer

Probability of profit (POP) is the chance a trade finishes at breakeven or better. Expected move is how far the stock is likely to travel over a given period. Both are derived from implied volatility, and used together they help you judge whether a trade’s odds justify its risk.

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How they are calculated

Using a lognormal model of the stock price at expiration — driven by implied volatility and time — you can calculate the probability mass that falls into the price range where a position is profitable.

The one-standard-deviation expected move is roughly price × IV × √(days/365), capturing about 68% of likely outcomes. Two standard deviations covers about 95%.

Why high POP is not the whole story

Selling a far out-of-the-money spread might show a 90% probability of profit, but the 10% loss can be many times larger than the small credit collected. Probability and payoff must always be weighed together.

A trade with 60% POP but a 2:1 reward-to-risk ratio can be far better than a 90% POP trade that risks $9 to make $1. The math of expected value matters more than the headline probability.

Using POP in practice

Premium sellers tend to target high-POP, defined-risk trades and manage them before expiration. Directional buyers accept lower POP in exchange for larger payoffs.

OptionProfit’s strategy finder scores candidates on POP, expected return at your target price and reward-to-risk together, so a balanced trade rises to the top rather than a deceptively safe one.

Worked example. A stock at $100 with 30% IV has a 30-day expected move of about $8.6. A put credit spread with its short strike a full standard deviation below ($91.4) might show roughly an 84% probability of profit — but if it risks $400 to make $60, you need that high hit-rate just to break even over time.

Key takeaways

POP = chance of finishing at breakeven or better, from IV and time.
Expected move ≈ price × IV × √(days/365), ~68% within 1σ.
High POP often comes with a poor reward-to-risk ratio.
Judge POP, payoff and risk together, not in isolation.

Frequently asked questions

Is POP the same as delta?

They are close: a short option’s delta is a rough proxy for the probability it expires in the money, and POP builds on the same volatility-based model.

Why do two sites show different POP?

Because they may use different volatility inputs or models (some use delta, some a full lognormal integral). Treat POP as an estimate, not a precise figure.

Does a 70% POP mean I will win 70% of the time?

Over many independent trades, roughly — but variance is large, and a few outsized losses can still leave you unprofitable if your risk per trade is too high.

Related strategies:
Bull Put Credit Spread Iron Condor Long Call

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