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Probability Calculator for SPY

Data is delayed from March 3, 2017. You must subscribe to get the latest data.
Symbol

SPDR TRUST SR 1 ETF 238.43 +0.13   Fri, Mar 3

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
39.5097%   10.4704% 50.0199%

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
Price238.43
Expected Price  238.51
Std Deviation  1.88
Option Price  0.752
Implied Vol  0.075
Delta  0.502
Gamma  0.212
Rho  0.013
Theta  -0.094
Vega  0.100
 
Lower Bound (Put)
Option Price  0.555
Implied Vol  0.075
Delta  -0.408
Gamma  0.206
Rho  -0.011
Theta  -0.091
Vega  0.097
 
Upper Bound (Call)
Option Price  0.718
Implied Vol  0.075
Delta  0.487
Gamma  0.212
Rho  0.013
Theta  -0.094
Vega  0.100
Calculator Help
Data Provided by HistoricalOptionData.com
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