So the first picture here is a diagram of the profit and loss profile of this position when the contracts expire on Friday. Basically, if the S&P 500 closes below 1125 on Friday, I keep my maximum profit. If the close of the S&P 500 at expiration is above 1125, my position slides down that line to a maximum loss.
The second picture shows a probability distribution with the position profit and loss profile. Essentially, according to a normally distributed model of S&P action over the past little while, there is roughly an 11% chance of hitting the 1125 level. Now, in real life, nothing follows a normal distribution, but the expiration is so near that it usually works close enough. And given the recent weakness, highly improbable events are more likely to be to the downside.
