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Probability Calculator for SPY

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SPDR TRUST SR 1 ETF 281.46 -1.84   Fri, Jul 27

Price    Rate %
Days  Next Div Date 
NTM Volatility Next Amt (est)
Enter a Lower and Upper bound:
Select strike  Select strike 
Lower Bound 

 Upper Bound 

Probability that the future price is

Below Lower Bound Between Bounds Above Upper Bound
39.7679%   10.2391% 49.9930%

The probability calculations are approximations and are subject to data errors, computation error, variations in prices, bid and ask spreads, interest rates, and future undeclared dividends.

This calculator estimates the probability of future prices based on current market conditions or user entered data. Factors used as a basis for the probability computations are subject to change. Read the full disclaimer.

ATM Call
Expected Price  281.51
Std Deviation  1.93
Option Price  0.769
Implied Vol  0.093
Delta  0.501
Gamma  0.207
Rho  0.008
Theta  -0.192
Vega  0.083
Lower Bound (Put)
Option Price  0.560
Implied Vol  0.093
Delta  -0.404
Gamma  0.201
Rho  -0.006
Theta  -0.187
Vega  0.081
Upper Bound (Call)
Option Price  0.749
Implied Vol  0.093
Delta  0.493
Gamma  0.207
Rho  0.008
Theta  -0.192
Vega  0.083
Calculator Help
Data Provided by HistoricalOptionData.com
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