POP Model Calibration

Our iron-condor and iron-butterfly sweepers estimate probability-of-profit (POP) using a lognormal price-distribution model with implied volatility input. This page compares predicted POP against realized win rate from backtested trades. A well-calibrated model has bars where the cyan (predicted) and green (actual) line up.

Predicted POP vs Realized Win Rate

Predicted POP Realized win rate

Calibration ≠ accuracy. Even a well-calibrated 65% POP setup can lose 35% of the time. Use POP as one of several inputs, not a guarantee.