Structure
Direction
Type
Strike width ($)
5.0
Distance from spot (sigma)
1.00
Days to expiration
30
Implied volatility (%)
20.0%
Net premium
—
per contract
Max profit
—
at expiry
Max loss
—
capital at risk
Breakeven(s)
—
spot at expiry
POP
—
lognormal

Underlying fixed at $100. Black-Scholes pricing for the leg premiums; payoff line is at expiry. POP is the lognormal probability of finishing in the profit zone. Max loss is shown as a positive number.