Kresmion / Tools

Risk-Neutral Implied Probability

Decoding live US options chains into the probability distribution the market is currently pricing. For each ticker/expiry we fit a smooth call-price curve, take its second derivative (Breeden-Litzenberger), and discount to get the risk-neutral probability density. The cumulative tail probabilities show what the market charges for upside / downside scenarios.

Important: These are risk-neutral probabilities, which bake in the risk premium investors demand. They are NOT predictions or the market's "real-world" expectations. Real-world probabilities differ systematically (e.g. options markets price tail risk higher than its historical frequency).