Options Implied Probability & Expected Move Intelligence Actor

Institutional-grade quantitative options analytics actor for calculating Risk-Neutral Probabilities, ATM Straddle Implied Moves, Standard Deviation Confidence Intervals (16-Delta / 30-Delta), and Full Strike-by-Strike Distribution Densities across any US equity, index, or ETF.

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🚀 Key Features

• Options Market Implied Move: Calculates exact implied moves ($\pm $$ and $\pm %$) directly from At-The-Money (ATM) Straddle prices ($C_{\text{mid}} + P_{\text{mid}}$).
• Probability of Staying Inside Move: Computes the exact risk-neutral probability of the underlying asset finishing within the upper and lower expected boundaries ($P \in [\text{Lower}, \text{Upper}]$).
• Delta Thresholds & Confidence Intervals:
  • 16-Delta (1-Sigma / 68% Confidence Interval): Risk-neutral $+1\sigma$ and $-1\sigma$ target boundaries.
  • 30-Delta (0.5-Sigma / 40% Confidence Interval): Intermediate quantitative target boundaries.
  • 50-Delta: Risk-neutral median strike ($d_2 = 0$).
• 13-Tier Target Probability Matrix: Maps exact theoretical & nearest market strikes for target probabilities: 10%, 16%, 20%, 25%, 30%, 40%, 50%, 60%, 70%, 75%, 80%, 84%, 90%.
• Strike-by-Strike Risk-Neutral Density: Computes Breeden-Litzenberger risk-neutral PDF density $f(K) = \frac{\phi(d_2)}{K \sigma \sqrt{T}}$, Black-Scholes $P(S_T > K) = N(d_2)$, touch probabilities $P_{\text{touch}}$, and option Deltas.

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📥 Input Parameters

Parameter	Type	Default	Description
symbols	Array / String	["SPY", "QQQ", "AAPL", "NVDA", "TSLA"]	List of ticker symbols to analyze.
riskFreeRate	Float	0.045 (4.5%)	Annualized risk-free interest rate ($r$).
includeFullDistribution	Boolean	true	Include full strike-by-strike probability table.
includeProbabilityMatrix	Boolean	true	Include 13-tier probability level matrix.
maxExpirationsPerSymbol	Integer	4	Maximum number of upcoming expiration cycles to evaluate per symbol.

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📤 Output Structure

1. Default Dataset (Tabular Overview)

Each row represents a specific expiration cycle for an underlying asset:

{
  "symbol": "SPY",
  "spotPrice": 585.20,
  "expirationDate": "2026-10-16",
  "daysToExpiration": 18,
  "atmStrike": 585.00,
  "atmImpliedVolatilityPct": 14.25,
  "atmStraddlePrice": 12.80,
  "impliedMoveUsd": 12.80,
  "impliedMovePct": 2.19,
  "lowerImpliedBound": 572.40,
  "upperImpliedBound": 598.00,
  "probInsideMovePct": 68.35,
  "delta16LowerStrike": 568.50,
  "delta16UpperStrike": 601.20,
  "delta30LowerStrike": 576.80,
  "delta30UpperStrike": 593.40,
  "riskNeutralMedianStrike": 585.35,
  "updatedAt": "2026-09-28T13:30:00Z"
}

2. Key-Value Store (OUTPUT)

Contains the full hierarchical JSON structure including:

• targetProbabilityMatrix: Detailed distance, nearest strike, and directional bias across 13 probability thresholds.
• strikeDistribution: Full chain strikes with Delta, IV, $P(\text{Above})$, $P(\text{Below})$, $P(\text{Touch})$, and Risk-Neutral Density.

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🎯 Use Cases

• Options Selling & Premium Harvesting: Determine mathematically optimal strike selection for Iron Condors, Credit Spreads, and Short Strangles based on 16-Delta ($1\sigma$) or 10-Delta wings.
• Earnings Implied Move Analysis: Gauge market-expected binary move magnitude vs historical realized moves before quarterly earnings announcements.
• Risk Management & Hedging: Set quantitative stop-loss thresholds and dynamic tail-risk hedges outside the 68% or 90% confidence bands.
• Systematic Trading Algorithms: Integrate institutional probability distributions into quantitative execution bots.