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How the ladder works

The ladder lists every strike for one expiry. Each row tells you how likely the market thinks it is that the underlying finishes above that strike, and what it costs to take either side.

A rung is one strike

Strikes run down the ladder from high to low. The dashed line marks the current price: rungs above it pay only if the price rises past them, rungs below it pay if the price stays above them.

Rungs without a valid quote on either side are drawn faded and can’t be selected. We never fill a gap with a guess.

SPY582.41Expires Oct 23

Sample · 15-min delayed · rounded

  1. 584, P(above) 45%, above price 0.47, below price 0.57
  2. 583, P(above) 48%, above price 0.50, below price 0.54
  3. 582, P(above) 52%, above price 0.54, below price 0.50
  4. 581, P(above) 55%, above price 0.57, below price 0.47

P(SPY above 584 at the Oct 23 close) = 45%

Above 0.47Below 0.57As of 3:05 pm ET, Oct 16

P(above) is the market’s probability

The bar and the percentage show the probability that the underlying closes above the strike at expiry, read from option prices people are paying right now. It is the market’s number, not ours: there is no model of where SPY should go and no opinion stored anywhere.

It is a risk-neutral probability, which is a price, not a forecast. It moves every time the quotes do.

SPY582.41Expires Oct 23

Sample · 15-min delayed · rounded

  1. 584, P(above) 45%, above price 0.47, below price 0.57
  2. 583, P(above) 48%, above price 0.50, below price 0.54
  3. 582, P(above) 52%, above price 0.54, below price 0.50
  4. 581, P(above) 55%, above price 0.57, below price 0.47

P(SPY above 584 at the Oct 23 close) = 45%

Above 0.47Below 0.57As of 3:05 pm ET, Oct 16

Above and below are prices you can pay

The above price is the ask of a call vertical with the rung as its lower strike, divided by its width. It costs that much to receive $1 if the underlying finishes above the strike. The below price is the same from the put vertical.

Both are on a 0 to 1 scale. Above plus below is a little more than 1; the difference is the bid–ask spread.

SPY582.41Expires Oct 23

Sample · 15-min delayed · rounded

  1. 584, P(above) 45%, above price 0.47, below price 0.57
  2. 583, P(above) 48%, above price 0.50, below price 0.54
  3. 582, P(above) 52%, above price 0.54, below price 0.50
  4. 581, P(above) 55%, above price 0.57, below price 0.47

P(SPY above 584 at the Oct 23 close) = 45%

Above 0.47Below 0.57As of 3:05 pm ET, Oct 16

The math, in one paragraph

For each expiry we take the mid of every valid call and put quote, find the forward from put–call parity, compute implied volatility from out-of-the-money options, and fit a smooth, arbitrage-free curve across strikes. The probability of finishing above a strike is minus the slope of the fitted call price with respect to strike, which a tight call spread approximates:

P(ST>K)=−∂C(K)∂K≈C(K−w/2)−C(K+w/2)wP(S_T > K) = -\frac{\partial C(K)}{\partial K} \approx \frac{C(K - w/2) - C(K + w/2)}{w}

Here C(K) is the price of a call struck at K, ST is the price at expiry, and w is the spread width. A fit that admits arbitrage is rejected and the previous good fit is kept, marked stale if it ages.

What this is not

  • No signals. We don’t publish ideas, picks, alerts or ranked trades. The ladder shows market prices and your own positions.
  • No advice. strike.trading is software, not an investment adviser. Whether a trade suits you is your call.
  • No custody. We never hold, receive or move your money or securities.
  • Tradier is the broker of record. Your account, your orders and your fills live at Tradier Brokerage Inc.; we send the orders you place, under limits you set.

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