Strikes
Trade
No price yet? Estimate fills in a theoretical price from the implied volatility. For 0DTE, set days to 0 and enter the hours left until the 4:00 p.m. ET close.
Expected move (1 SD)Price now
Short-term gains are taxed at your regular income tax rate. Long-term rates are 0%, 15% or 20% depending on your income; choosing a bracket fills in the usual long-term rate, which you can change. Not sure of your bracket? See the IRS's federal income tax rates and brackets.
Not tax advice. This comparison is a simplified estimate for educational purposes only. It is not tax, legal or financial advice, and Tradebrary is not a tax advisor. It applies the rates you choose to your whole gain and ignores your other income, deductions, credits, the alternative minimum tax, loss carryback and carryforward rules, wash-sale and straddle rules, and state-specific rules. Tax laws change. Talk to a qualified tax professional about your own situation before making any decision based on these numbers.
Results are estimates from a simplified model, for education only. They are not predictions and not a recommendation to trade.
How to use the calculator
- Choose SPX or XSP and a strategy. Switching between SPX and XSP converts the prices for you.
- Enter your strikes, the credit or debit per spread and how many spreads you're trading. No price yet? Click Estimate for a theoretical one.
- Enter the index price, implied volatility and time left from your broker. For 0DTE, set days to 0 and enter the hours left.
- Read the results, then hover over or tap the risk graph to see the profit or loss at any price at expiration.
- Click Copy link to this setup to save it or share it.
New to credit spreads? Read SPX credit spreads: how they work, with examples.
How the numbers are calculated
- Max profit and max loss: for a credit spread, max profit is the credit × $100 × the number of spreads, and max loss is the distance between the strikes minus the credit, × $100 × the number of spreads. Debit spreads work the other way around, and an iron condor's max loss comes from its wider side. Commissions are subtracted from both.
- Breakeven: the index price at expiration where the trade neither makes nor loses money after commissions. For a put credit spread that's about the short put strike minus the credit; for a call credit spread, the short call strike plus the credit. An iron condor has one on each side.
- Probabilities: the index price at expiration is modeled as log-normal, using the implied volatility and time you enter. Probability of profit is the chance the index finishes where the trade makes money after commissions. The chances of max profit and max loss work the same way.
- Expected move: index price × implied volatility × √(time ÷ 365 days), the common one-standard-deviation estimate. In the model, the index finishes inside it roughly 68% of the time.
- Buying power: the most the trade can lose before commissions, which is what most brokers set aside for a defined-risk spread. Your broker may require more.
- Estimated prices: the Estimate button uses the Black-Scholes model with the same implied volatility at every strike and no interest or dividends. Real option prices include volatility skew, so use your broker's prices when you have them.
These are model estimates for education only. Real markets have volatility skew, sudden moves and gaps, and a trade closed before expiration will have a different result. Nothing here is a recommendation to trade.
SPX or XSP?
SPX and XSP options work the same way, but XSP is one tenth the size: an XSP strike, price and dollar result are each a tenth of the SPX equivalent. Switch the index at the top and the calculator converts your numbers. Under the results, it shows the matching trade in the other index and how much the commissions differ, which is usually the deciding factor for smaller positions.
For the full comparison, including settlement, liquidity and taxes, read SPX vs XSP: differences, taxes and which to trade.
About the 60/40 tax comparison
In the US, SPX and XSP options are Section 1256 contracts. However long you hold them, 60% of a gain is taxed at long-term capital gains rates and 40% at short-term rates. Options on SPY and on stocks held a year or less are taxed entirely at short-term rates, which are the same as ordinary income rates. The tax tab applies the rates you choose to a gain you enter, so you can see the difference in dollars. For more background, see the tax section of SPX vs XSP.
Not tax advice. The tax tab is a simplified estimate for educational purposes only, not tax, legal or financial advice. Your actual tax depends on your whole situation, so talk to a qualified tax professional before acting on it.
Frequently asked questions
How is the probability of profit calculated?
The calculator models the index price at expiration as log-normal, using the implied volatility and time to expiration you enter. It finds the price ranges where the trade makes money after commissions and adds up the chance of the index finishing in them. Real markets have skew and sudden moves, so treat the result as an estimate.
What implied volatility should I enter?
Use the implied volatility of the options you're trading, from your broker's option chain. For a spread, the IV at the short strike or the average of the legs is a reasonable input. The VIX index is a rough guide for SPX options about 30 days out.
Does it include commissions?
Yes. Enter your commission and fees per contract, and every result subtracts them for each leg when the trade is opened. If you close the trade before expiration, you'll pay commissions again.
Can I use it for 0DTE trades?
Yes. Set days left to 0 and enter the hours left until the 4:00 p.m. ET close. The expected move and probabilities use that shorter time.
How many XSP spreads equal one SPX spread?
Ten. XSP is one tenth the size of SPX, so ten XSP spreads with the strikes divided by 10 match one SPX spread. Under the results, the calculator shows the matching trade and the commission difference.
Is the 60/40 tax comparison tax advice?
No. It's a simplified estimate for education only, not tax, legal or financial advice. It applies the rates you choose to the whole gain and ignores your other income, deductions, credits and many other rules. Talk to a qualified tax professional about your situation.
Combine SPX and XSP on one risk graph
This calculator handles one position at a time. The SPX-XSP Risk Graph Visualizer plots SPX and XSP positions together with their combined profit and loss, uses live prices from Tastytrade or Interactive Brokers, and adds expected value and a strategy optimizer.
Sources
- IRS, About Form 6781: Section 1256 contracts and the 60/40 rule.
- IRS, Topic No. 409, Capital Gains and Losses: capital gains tax rates and the net investment income tax.
- IRS, Federal income tax rates and brackets: current tax brackets.
- Cboe, SPX Options Product Specifications and XSP Options Product Specifications: contract size and strikes.
This calculator is for education only. Its results are estimates from a simplified model, not predictions, and nothing on this page is financial, tax or legal advice or a recommendation to trade. Options involve substantial risk and aren't suitable for every investor. See our Risk Disclaimer.