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Hey. There's something that does not add up for my math. Neither on paper, nor on the trading platform. I've read multiple posts, watched around 100 hrs of material on Youtube, constantly learning about option trading, yet I still consider myself a newbie in this field. Already maxed out a couple papertrade accounts, all of them were providing the expected (reasonable) outcome according to the assumed risk. But that's about me. My problem is the following: If I calculate the profitability of an individual trade and assume that I'm going to do it 1000 times (just to align with the deltas and with the calculated probability of profit) I can't find a single trade which would be profitable. How do I do my math, will be presented through a simple calculation on SPX: Checking on SPX, which is currently at 5566. (08 July 2024) 46 DTE, Selling put at 5310, for 20.00 (mid price), delta at 0.14 (86% probability of profit) Buying put at 5300 for 19.15 (mid price) delta at 0.13 (87% probability of profit) My calculated probability of profit on the platform I'm using is 88% (would be more at 86.5, but let's move on) The credit received will be at 85$, max loss is 915$ So if I make my calculations, and I do this trade 1000 times, on average I will lose on each trade 35 $. (85 (max win)*88 (probability of win) - 915 (max loss) * 12(probability of loss) / 100 = -35 Checked multiple expiration dates, multiple different cases, each time, the mid price is always lower than my calculated break even point Break even point for me is calculated the following way: Spread width * 100 * (100 - Probability of profit) / 100 So for a spread width of 10 and POP at 88% that would be 120 $. This means if I'm getting exactly 120 $ for each and every trade and I do it 1000 times, I loose 12% of the time and win 88% of the time, chances are good that I'll be exactly at zero. I've checked the same calculation both on put and call side, with iron condor, with butterflies, On QQQ, IWM, AMZN, GOOG, TSLA, and lots of others. Still haven't found the one... And I haven't taken in consideration the transaction cost, or to make a bracket (stop loss + take profit at 50%) or managing the positions. Usually even the max credit I can theoretically get for this trade is lower than my break even point. And those trades surely won't be filled. So my question is : What am I missing? How can this be even profitable (on paper at least)? I try to be non-directional, limited risk, around 10-20 delta.