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Probability Calculator for SPY

Data is delayed from January 27, 2017. You must subscribe to get the latest data.
Symbol

SPDR TRUST SR 1 ETF 228.99 -0.34   Fri, Jan 27

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
38.4609%   10.3355% 51.2036%

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
Price228.99
Expected Price  229.07
Std Deviation  1.90
Option Price  0.759
Implied Vol  0.079
Delta  0.502
Gamma  0.210
Rho  0.013
Theta  -0.095
Vega  0.096
 
Lower Bound (Put)
Option Price  0.538
Implied Vol  0.079
Delta  -0.396
Gamma  0.203
Rho  -0.010
Theta  -0.092
Vega  0.092
 
Upper Bound (Call)
Option Price  0.754
Implied Vol  0.079
Delta  0.500
Gamma  0.210
Rho  0.012
Theta  -0.095
Vega  0.096
Calculator Help
Data Provided by HistoricalOptionData.com
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