Definition · updated 2026-10-21
Probability of profit
Probability of profit is the model-estimated chance that a position makes at least $1 at expiration: the probability the underlying finishes beyond the breakeven, not beyond the strike. OptionScout computes it under a lognormal model with zero drift from the structure's own implied volatility and days to expiry.
See it live: /tools/options-profit-calculator.
Why not delta
Delta approximates the chance of finishing in the money. A long call still loses if it finishes in the money by less than the premium paid, so its POP is lower than its delta; a short put's POP is higher than its delta suggests because it keeps the premium down to the breakeven.
Using it
POP times max profit minus (1 − POP) times max loss is the expected value, which is the number that decides whether a trade exists. A 35% POP with 3-to-1 reward-to-risk is positive expectancy; a 70% POP with 1-to-5 is not.
Frequently asked questions
- Is probability of profit accurate?
- It is as accurate as the implied volatility it is built on, which is the market's best guess. It systematically ignores drift and fat tails, so treat it as a comparison between structures rather than a promise.
- Where does OptionScout show POP?
- On every play the scanner ranks and on the advisor's trade cards, computed by the screener from the real breakeven.