Scenario Simulator

Backtest Your Scenarios

🚀 Scenario Simulator – Data-Driven Options Intelligence
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‍The Scenario Simulator leverages advanced historical analysis to backtest how changes in price and implied volatility (IV) would impact a specific strike—as if history were to repeat itself.

Using powerful computational techniques, the simulator evaluates millions of historical combinations of entry and exit points to identify similar scenarios — where price, IV, moneyness and moneyness evolved along comparable paths.
It then constructs realistic probability curves, offering a rich visual forecast of potential outcomes.

Unlike traditional option pricing frameworks like Black-Scholes, binomial trees, or Monte Carlo simulations, which rely on theoretical assumptions and often fail to reflect real-world supply and demand dynamics on high volatility stocks, this approach is entirely data-driven. It overcomes the limitations of tehoretical model-based systems by incorporating true historical behavior, grounded in actual market activity — where volatility isn't just an input, but a reflection of collective sentiment and positioning.

By automating what would otherwise require hours of manual data exploration, the Scenario Simulator empowers you to uncover edge cases, stress-test trades, and make more informed decisions—faster.

Select an Option contract

Symbol

Type

Backtesting Period

Strike

Expiration (M-D-Y)

Strike/Expiration

Simulation Settings

Expected Price

Expected Price = the price you expect the underlying to reach in the future.

Expected IV

Expected IV = the IV you expect the selected contract to reach in the future.

Similarity

📈 Similarity Settings Explained

‍When running a backtest simulation, you can control how strict the algorithm is when selecting similar historical trades:

‍Similarity Level:
- Set a high similarity to select only very close matches to your input conditions.
- Set a lower similarity to include a broader range of past trades.

You can either:
1) Set one general similarity level (applied to all variables), or
2) Use Advanced Similarity Settings to customize similarity individually for each variable listed below.

🛠 Advanced Similarity Settings: How Each Field Works

‍When using Advanced Similarity Settings, you can adjust similarity percentages specifically for:

‍Price % Change: Past trades are selected based on how closely the percentage change in price between entry and exit matches your simulated trade.

‍Moneyness Entry/Exit: Past trades are filtered based on how similar the moneyness (distance between underlying price and strike price) was at entry or exit compared to your trade.

‍Days to Expiration Entry/Exit: Past trades are selected based on how similar the number of days remaining until expiration was at entry or exit, relative to your trade.

‍Future IV (Implied Volatility): Past trades are filtered based on future implied volatility levels at entry, matching your scenario.

‍IV % Change: Past trades are selected based on how similar the change in implied volatility was between entry and exit.

Advanced similarity settings

Choose similarity for each variable

Price % Change Similarity

Moneyness Entry

Moneyness Exit

Days to Expiration Entry

Days to Expiration Exit

Future IV

IV % Change

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