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Probability Calculator for SPY

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SPDR TRUST SR 1 ETF 243.25 -0.72   Tue, Jun 6

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
43.1572%   12.0365% 44.8063%

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  243.29
Std Deviation  1.65
Option Price  0.659
Implied Vol  0.092
Delta  0.501
Gamma  0.242
Rho  0.007
Theta  -0.165
Vega  0.072
Lower Bound (Put)
Option Price  0.541
Implied Vol  0.092
Delta  -0.438
Gamma  0.239
Rho  -0.006
Theta  -0.163
Vega  0.071
Upper Bound (Call)
Option Price  0.541
Implied Vol  0.092
Delta  0.441
Gamma  0.239
Rho  0.006
Theta  -0.163
Vega  0.071
Calculator Help
Data Provided by HistoricalOptionData.com
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