ES Options Payoff

The need

Most retail payoff calculators are built around equity options and use Black-Scholes. ES mini futures options need futures-style pricing (Black-76 model), where the underlying is the futures price itself rather than spot — not a small difference once you start layering in theta, vega, and term structure.

Brokerage platforms that do support futures options usually treat the analytics as a side panel: payoff at expiry, maybe one greek, one expiration at a time. Anything multi-leg or multi-expiration is awkward to lay out and clunky to iterate on. This tool is the opposite — a fast scratchpad designed for trying ten variations of the same trade in two minutes.

What it does

• Multi-leg positions — add 10+ legs across calls, puts, and underlying futures, long or short.
• Multiple expirations in the same position — model calendar and diagonal spreads as first-class shapes.
• Real-time payoff curves — P&L plotted against price, redrawn instantly as you change strikes, sizes, or time-to-expiry.
• Theta and vega curves — not just P&L at one moment but how the position evolves as time passes and IV moves.
• Greeks rolled up — delta, gamma, theta, vega for the whole structure at any chosen price/time slice.
• Presets bar — common structures (vertical, straddle, strangle, iron condor, calendar) drop in instantly.
• Correct ES contract math — 1 point = $50 per contract, baked in. P&L is shown in actual USD, not abstract points.

Tech stack

• Vanilla JS, single HTML fileNo build step, no framework, no bundler. Page loads as one document and runs entirely client-side.
• Black-76 pricing modelFutures-options pricing implemented inline in JS — the same model exchanges use to settle these contracts — rather than approximating with Black-Scholes.
• Chart.js 4.4Loaded from CDN. Drives the payoff and greeks plots with imperative dataset swaps, not framework reactivity.
• VIX-based IV defaultsCurrent VIX is used as the base implied vol input, with per-leg overrides for skew and term-structure experiments.
• Jekyll-rendered shellLives in the same site as the rest of the portfolio — uses the shared nav, design tokens, and typography from _sass/styles.scss.

What the design buys you

• No backend — nothing to deploy, nothing to maintain, no data leaves the browser. The tool will keep working as long as the static page is hosted.
• Snappy iteration — everything recomputes on the same tick as the input change, so dragging a strike feels live.
• Honest pricing — Black-76 instead of equity-options heuristics. Numbers line up with what the CME actually uses.
• Free forever — no auth, no paywall, no per-seat pricing. Static HTML doesn’t have an opex line.

Status

Live on this site as a free tool. The chart and Black-76 implementation are mature; preset library will keep growing as common ES structures get added.

Disclaimer

Not investment advice. Pricing uses the standard Black-76 model with the inputs you provide — results are only as good as those inputs. Trade your own capital.

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