Risk Reversal Calculator
Model a bullish risk reversal before you place it. Sell an out-of-the-money put to finance an out-of-the-money call and instantly see your breakeven, downside exposure, Greeks, and probability of profit on a full P&L chart.
How to Use This Calculator
Enter your short put and long call and the calculator handles the rest. Results update instantly as you type.
Pull current market data (optional)
Type a ticker like AAPL and click Get Price. The calculator fills in the current stock price, dividend yield, and the risk-free rate from the 13-week T-bill, then loads the option chain so you can pick actual strikes and premiums.
Set up your risk reversal legs
The risk reversal legs are preloaded for you: a short put below the stock price and a long call above it. Pick each strike, expiration, and premium straight from the option chain, or type your own numbers. The calculator works out implied volatility from the premium you enter, and you can still edit it.
Calculate and read the results
Click Calculate P&L to see max profit, max loss, breakeven, return on risk, and probability of profit, plus position Greeks: delta, gamma, theta, vega, and rho.
Stress test before you trade
Drag the view-date slider to see your P&L curve on any day before expiration, shift implied volatility up or down 50 points, and scan the price-by-date P&L table to see how the trade behaves across scenarios.
This risk reversal calculator prices each leg with your choice of an American-style binomial model (the default for US equity options) or European Black-Scholes-Merton, and accounts for dividend yield. You can set a per-contract commission, copy a shareable link to your exact setup, download the chart as a PNG, and switch to dark mode.
Understanding the Risk Reversal
Key numbers every risk reversal trader needs to know before entering the position.
A bullish risk reversal sells an out-of-the-money put and uses the premium to buy an out-of-the-money call with the same expiration. When the premiums roughly offset, you get bullish exposure for little or no cash outlay: the trade behaves like long stock above the call strike and like long stock below the put strike, with a flat zone in between.
The name comes from the options skew. Out-of-the-money puts usually trade at higher implied volatility than out-of-the-money calls, so a risk reversal sells the expensive side and buys the cheap side. The calculator solves each leg’s IV from the premiums you enter, so you can see that skew directly in the per-leg Greeks table.
The catch is the downside. The short put carries the same obligation as a cash-secured put: if the stock collapses, you own the loss below the strike all the way to zero. Brokers margin it accordingly. Treat a risk reversal as a leveraged bullish bet you would be comfortable converting into share ownership at the put strike, not as a free lunch.
Use the option chain above to test how far out of the money you can place each leg and still enter for a credit. The view-date slider shows how the flat zone between strikes behaves before expiration, and the IV slider shows what a volatility spike does to a position that is short the put side of the skew.
Risk Reversal Example Trade
XYZ is at $100. Sell 1 $95 put for $2.40 and buy 1 $105 call for $2.20. Net credit: $0.20 per share ($20).
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Risk reversal — frequently asked questions
A bullish risk reversal sells an out-of-the-money put and buys an out-of-the-money call with the same expiration. The put premium finances the call, so the trade is often entered for near zero cost. It profits like long stock above the call strike and loses like long stock below the put strike.
The name comes from the volatility skew. Out-of-the-money puts usually carry higher implied volatility than equivalent calls, so the structure sells the expensive side of the skew and buys the cheap side, reversing the risk premium most hedgers pay.
Below the put strike you lose like a stockholder, all the way to zero. In the example above, a $95 short put means up to $9,480 of loss if the stock goes to zero (put strike × 100 minus the $20 credit). Brokers margin the short put accordingly.
Often, yes. Because of the put-call skew, selling a put the same distance out of the money as the call you buy usually collects more than the call costs. Use the option chain pickers above to test strike combinations until the net entry shows a credit.
A synthetic long uses the same strike for both legs, which makes the position track the stock one for one everywhere. A risk reversal uses out-of-the-money strikes, creating a flat zone between them where neither option is in the money at expiration.
When you are confident in the upside, comfortable owning the stock at the put strike, and want to deploy little or no capital up front. It is common around catalysts where skew is steep. Check the probability of profit and per-leg Greeks above, and remember the downside is substantial, not defined.