Probability Of Profit, Options Strategy, Python Programming, Black Scholes Model.
S1<S2, the probability of profit P of this strategy at expiration could be estimated by: That is, the PoP of this options strategy is the difference in the CDF of Black-Scholes’ d2 for S1 and S2. We can calculate the PoP using d2 by using the get_d1_d2() function from the black_scholes module