CallCulator

Stock Ticker:

Company: ... | Ticker: ...

Price: $... | FIGI: ...

Search Parameters i
Configure the parameters for the option strategy search. These settings determine how thoroughly the algorithm will search for the optimal spread (combination of options) to maximize expected profit while meeting your risk tolerance.

Search algorithm: i

Grid Search Gradient Descent

Brute force

Mathematical construction

Starting at optimally placed (Sobol) starting points/seeds, the algorithm performs gradient descent ("hill-climbing") in all directions (high-dimensional space), walking downhill with the right step size (Powell-Wolfe) to find the optimal strategy. Does this in parallel for all starting seeds and compares the results to find the best strategy.

Number of legs: i

Dynamic

Number of seeds: i

Include calls i

Include puts i

Include Risk Tolerance i

Allow Shorting i

Dynamic IV i

Enable dynamic Implied Volatility for the Black-Scholes table. By default, the Black-Scholes model uses a constant (static) IV per option leg, calibrated from market prices. With Dynamic IV enabled, each leg's IV changes as the stock price moves away from the current price, controlled by the IV Skew parameter.

IV Skew is a dimensionless sensitivity factor. The formula is:
dynamicIV = baseIV × (1 + skew × Δprice)
where Δprice = (stockPrice − currentPrice) / currentPrice.

Example: With skew = −1, if the stock drops 10%, each leg's IV increases by 10% of its base value (e.g. 30% → 33%). This models the typical equity "volatility smile" where IV rises when stocks fall.

Common values: −2 to −0.5 for equities (IV rises on drops), 0 = no skew (same as static). Positive values would mean IV rises when the stock goes up (unusual for equities).

Fractional Shares i

Use Monte-Carlo Median as objective function i

Estimated calculation time: -

ETA: - Cost: - Strategies to compare: -

Found Option Strategy i
This shows the optimal option strategy found by the algorithm. Each line represents one leg of the strategy, showing the weight (percentage allocation), option type (call/put), strike price, and the price to pay for that option.

Strategy Performance Analysis i
This chart displays the potential profit/loss of the calculated options strategy. For any stock price on the X-axis, the chart shows the profit/loss performance by the selected expiration date of the strategy in percent on the Y-axis. These values are without uncertainty. The only uncertainty is which stock price will be reached by the selected expiration date.

Black-Scholes Valuation i
The Black-Scholes valuation is a PDE (Partial Differential Equation)-based, nobel-prize winning method to predict the price of the option before its expiration date. Each cell represents the performance of the strategy for a specific share price (rows) on a specific time before expiration (columns). This is a theoretical performance and the actual performance may vary. The last column shows the performance of the strategy at expiration date and is the same as the above performance chart (rotated 90 degrees clockwise) and without uncertainty. The Black-Scholes valuation has flaws by the nature of idealized assumptions the real market does not follow but it is a good and widely used starting point for option pricing.

Risk Profile Comparison i
This chart compares your specified risk tolerance (red) with the actual risk profile achieved by the found strategy (blue). If you have set to include the Risk Tolerance in the Search Parameters, the achieved profile should always be above your minimum requirements as that represents your risk tolerance being met. The green line shows the Monte-Carlo Risk Profile: a simulation of 10,000 successively and repeated investments into the found strategy. In each simulation the found investment is reinvested 20 times and the end result is stored. The 10,000 simulations are sorted from best to worst and displayed here.

Stock Ticker:

Manual mode

Company: ... | Ticker: ...

Price: $... | FIGI: ...

Spread Selector i
Define your option spread by adding legs. Choose between Allocation (%) (each leg's share of total capital, must sum to 100%) or Contract Amount (directly specify the number of contracts per leg). Select the option type (Call/Put/Stock), strike price, and price for each leg.

Leg Sizing:

Allocation (%) Contract Amount

Long/Short

Allocation (%)

Option Type

Strike Price

Price

Total allocation: 0.0%

Dynamic IV i

CallCulator

Search Parameters i
Configure the parameters for the option strategy search. These settings determine how thoroughly the algorithm will search for the optimal spread (combination of options) to maximize expected profit while meeting your risk tolerance.

Found Option Strategy i
This shows the optimal option strategy found by the algorithm. Each line represents one leg of the strategy, showing the weight (percentage allocation), option type (call/put), strike price, and the price to pay for that option.

Monte-Carlo CAGR Statistics N:

Monte-Carlo CAGR Risk Profiles

Probability Distribution i
Define your assumed stock-price probability distribution. Drag points to adjust, left-click to add points, right-click (or double tap on touch) to remove points.

Spread Selector i
Define your option spread by adding legs. Choose between Allocation (%) (each leg's share of total capital, must sum to 100%) or Contract Amount (directly specify the number of contracts per leg). Select the option type (Call/Put/Stock), strike price, and price for each leg.

Found Option Strategy i
Displays the calculated option spread and its performance analysis.

Monte-Carlo CAGR Statistics N:

Monte-Carlo CAGR Risk Profiles

Strategy Performance Analysis i
Shows the profit/loss of the strategy across different stock prices at expiration.

Black-Scholes Valuation i
Shows the theoretical performance of the strategy over time and at different stock prices, based on the Black-Scholes model.

Risk Profile Comparison i
Compares the achieved strategy risk profile, the underlying stock risk profile, and the morphed FFT CAGR risk profile.

Selected Stocks

Probability Distribution i
Define your assumed stock-price probability distribution. Drag points to adjust, left-click to add points, right-click (or double tap on touch) to remove points.

Search Parameters i
Configure optimization search settings for Max Min Single.

Search Parameters i
Configure optimization search settings for Max Min Multi.

Multi-Ticker Results

CallCulator

Search Parameters i Configure the parameters for the option strategy search. These settings determine how thoroughly the algorithm will search for the optimal spread (combination of options) to maximize expected profit while meeting your risk tolerance.

Found Option Strategy i This shows the optimal option strategy found by the algorithm. Each line represents one leg of the strategy, showing the weight (percentage allocation), option type (call/put), strike price, and the price to pay for that option.

Monte-Carlo CAGR Statistics N:

Monte-Carlo CAGR Risk Profiles

Probability Distribution i Define your assumed stock-price probability distribution. Drag points to adjust, left-click to add points, right-click (or double tap on touch) to remove points.

Spread Selector i Define your option spread by adding legs. Choose between Allocation (%) (each leg's share of total capital, must sum to 100%) or Contract Amount (directly specify the number of contracts per leg). Select the option type (Call/Put/Stock), strike price, and price for each leg.

Found Option Strategy i Displays the calculated option spread and its performance analysis.

Monte-Carlo CAGR Statistics N:

Monte-Carlo CAGR Risk Profiles

Strategy Performance Analysis i Shows the profit/loss of the strategy across different stock prices at expiration.

Black-Scholes Valuation i Shows the theoretical performance of the strategy over time and at different stock prices, based on the Black-Scholes model.

Risk Profile Comparison i Compares the achieved strategy risk profile, the underlying stock risk profile, and the morphed FFT CAGR risk profile.

Selected Stocks

Probability Distribution i Define your assumed stock-price probability distribution. Drag points to adjust, left-click to add points, right-click (or double tap on touch) to remove points.

Search Parameters i Configure optimization search settings for Max Min Single.

Search Parameters i Configure optimization search settings for Max Min Multi.

Multi-Ticker Results

Login

Feature Cost Structure

Search Parameters i
Configure the parameters for the option strategy search. These settings determine how thoroughly the algorithm will search for the optimal spread (combination of options) to maximize expected profit while meeting your risk tolerance.

Found Option Strategy i
This shows the optimal option strategy found by the algorithm. Each line represents one leg of the strategy, showing the weight (percentage allocation), option type (call/put), strike price, and the price to pay for that option.

Probability Distribution i
Define your assumed stock-price probability distribution. Drag points to adjust, left-click to add points, right-click (or double tap on touch) to remove points.

Spread Selector i
Define your option spread by adding legs. Choose between Allocation (%) (each leg's share of total capital, must sum to 100%) or Contract Amount (directly specify the number of contracts per leg). Select the option type (Call/Put/Stock), strike price, and price for each leg.

Found Option Strategy i
Displays the calculated option spread and its performance analysis.

Strategy Performance Analysis i
Shows the profit/loss of the strategy across different stock prices at expiration.

Black-Scholes Valuation i
Shows the theoretical performance of the strategy over time and at different stock prices, based on the Black-Scholes model.

Risk Profile Comparison i
Compares the achieved strategy risk profile, the underlying stock risk profile, and the morphed FFT CAGR risk profile.

Probability Distribution i
Define your assumed stock-price probability distribution. Drag points to adjust, left-click to add points, right-click (or double tap on touch) to remove points.

Search Parameters i
Configure optimization search settings for Max Min Single.

Search Parameters i
Configure optimization search settings for Max Min Multi.