Glossary

Probability of Profit (POP)

By Rohan Fernandes, Founder · Updated 2026-08-21 · Educational reference, not investment advice

Probability of profit is the model-implied chance that a position finishes profitable at expiration, computed from the chain's own implied volatilities via N(d2) at the breakeven. It states odds under the market's distribution, not a promise, and ignores the size of wins and losses.

Careful implementations evaluate POP at the breakeven using that strike's own implied volatility rather than the at-the-money number, and correct for the volatility smile's local slope. The number is only as good as its calibration: bucketing closed trades by entry POP and comparing forecast odds against realized outcomes is the audit that keeps it honest. The full mechanics are in the POP article.

Educational reference. Options Scanner is a software tool. It is not a broker-dealer, an investment adviser, or a fiduciary, and nothing on this page is investment advice or a recommendation to buy or sell any security. Options involve risk and are not suitable for every investor; read the Characteristics and Risks of Standardized Options before trading. Examples use hypothetical numbers for illustration only.