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Probability Calculator for SPY

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SPDR TRUST SR 1 ETF 272.84 -0.53   Thu, May 24

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
43.2295%   8.0911% 48.6793%

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  272.93
Std Deviation  2.46
Option Price  0.980
Implied Vol  0.086
Delta  0.502
Gamma  0.162
Rho  0.015
Theta  -0.123
Vega  0.114
Lower Bound (Put)
Option Price  0.818
Implied Vol  0.086
Delta  -0.443
Gamma  0.161
Rho  -0.013
Theta  -0.121
Vega  0.113
Upper Bound (Call)
Option Price  0.903
Implied Vol  0.086
Delta  0.476
Gamma  0.162
Rho  0.014
Theta  -0.122
Vega  0.114
Calculator Help
Data Provided by HistoricalOptionData.com
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