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Probability Calculator for SPY

Data is delayed from November 22, 2017. You must subscribe to get the latest data.
Symbol

SPDR TRUST SR 1 ETF 259.79 -0.14   Wed, Nov 22

Price    Rate %
Expiration   
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
34.9789%   16.5879% 48.4331%

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
Price259.79
Expected Price  259.92
Std Deviation  2.36
Option Price  0.940
Implied Vol  0.071
Delta  0.502
Gamma  0.169
Rho  0.021
Theta  -0.078
Vega  0.133
 
Lower Bound (Put)
Option Price  0.595
Implied Vol  0.071
Delta  -0.366
Gamma  0.160
Rho  -0.016
Theta  -0.074
Vega  0.125
 
Upper Bound (Call)
Option Price  0.839
Implied Vol  0.071
Delta  0.467
Gamma  0.169
Rho  0.020
Theta  -0.078
Vega  0.132
Calculator Help
Data Provided by HistoricalOptionData.com
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