Expectancy Desk · Put Credit Spread v1.2.0
Pick a stock — the desk models the spread
Free delayed spot price, then a Black-Scholes engine builds the strikes, deltas and theoretical credit from your IV and DTE. Screening estimate only — confirm the real fill in your broker.
The Ticket
What’s delta, and which to pick?
Delta measures how much the option’s price moves for a $1 move in the stock — but for selling spreads the useful read is this: a short put’s delta is roughly the chance it finishes in the money (i.e. gets breached). A 25-delta put has about a 25% chance of landing ITM, so about a 75% chance you keep the credit.
Higher delta sits closer to the stock price: more premium, but a lower win rate and bigger losses when it goes against you. Lower delta sits further out: safer, but thinner credit. The trap — pushing delta up pumps the headline ROC while the actual expected value often falls.
| Delta | ≈ Win rate | Profile |
|---|---|---|
| ~16Δ | ~84% | Conservative — ~1 std dev out, small credit |
| 20–30Δ | ~70–80% | Balanced — the sweet spot for income |
| 35–45Δ | ~55–65% | Aggressive — fat credit, often tested |
Rule of thumb: choose by the room you want above your short strike. Want a wide cushion? Drop toward 16–20Δ. Need more income and will manage actively? Drift toward 30Δ — rarely past it for a “balanced” book.
The Read
(probability-weighted, 3-zone) —
| Win probabilityshort stays out of the money | 0% |
| Break-even win ratewhat you need to scratch | 0% |
| EdgeEV as % of capital at risk | 0% |
| Take profit @ 50%lock the win | $0 |
| Cut loss @ 2× creditget out | $0 |
Payoff at Expiration
Theoretical, not live. Strikes, deltas and credit are modelled with Black-Scholes from your IV input and a delayed spot price — they ignore real skew and bid/ask, so use them to screen, then confirm the actual fill in your broker. Educational only — not financial advice. Build v1.2.0