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Probability Calculator for SPY

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SPDR TRUST SR 1 ETF 246.79 -0.10   Mon, Jul 31

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
41.8232%   11.8614% 46.3155%

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  246.85
Std Deviation  1.67
Option Price  0.668
Implied Vol  0.075
Delta  0.501
Gamma  0.238
Rho  0.010
Theta  -0.111
Vega  0.089
Lower Bound (Put)
Option Price  0.532
Implied Vol  0.075
Delta  -0.430
Gamma  0.235
Rho  -0.009
Theta  -0.109
Vega  0.088
Upper Bound (Call)
Option Price  0.568
Implied Vol  0.075
Delta  0.452
Gamma  0.237
Rho  0.009
Theta  -0.110
Vega  0.089
Calculator Help
Data Provided by HistoricalOptionData.com
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