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Probability Calculator for SPY

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SPDR TRUST SR 1 ETF 290.68 +0.88   Thu, Sep 27

Price    Rate %
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
38.1325%   16.0574% 45.8101%

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  290.75
Std Deviation  2.46
Option Price  0.981
Implied Vol  0.093
Delta  0.502
Gamma  0.162
Rho  0.012
Theta  -0.163
Vega  0.105
Lower Bound (Put)
Option Price  0.676
Implied Vol  0.093
Delta  -0.389
Gamma  0.156
Rho  -0.009
Theta  -0.157
Vega  0.101
Upper Bound (Call)
Option Price  0.829
Implied Vol  0.093
Delta  0.450
Gamma  0.161
Rho  0.011
Theta  -0.162
Vega  0.104
Calculator Help
Data Provided by HistoricalOptionData.com
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