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Probability Calculator for SPY

Data is delayed from December 21, 2016. You must subscribe to get the latest data.
Symbol

SPDR TRUST SR 1 ETF 225.79 -0.59   Wed, Dec 21

Price    Rate %
Expiration   
Days  Next Div Date 
NTM Volatility Next Amt
 
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
44.3471%   7.3432% 48.3097%

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
Price225.79
Expected Price  225.90
Std Deviation  2.71
Option Price  1.082
Implied Vol  0.094
Delta  0.503
Gamma  0.147
Rho  0.018
Theta  -0.090
Vega  0.115
 
Lower Bound (Put)
Option Price  0.941
Implied Vol  0.094
Delta  -0.455
Gamma  0.146
Rho  -0.017
Theta  -0.089
Vega  0.115
 
Upper Bound (Call)
Option Price  0.981
Implied Vol  0.094
Delta  0.472
Gamma  0.147
Rho  0.017
Theta  -0.090
Vega  0.115
Calculator Help
Data Provided by HistoricalOptionData.com
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