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Probability Calculator for SPY

Data is delayed from August 28, 2020. You must subscribe to get the latest data.
Symbol

SPDR TRUST SR 1 ETF 350.57 +2.23   Fri, Aug 28

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
43.6868%   10.4083% 45.9049%

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
Price350.57
Expected Price  350.63
Std Deviation  3.82
Option Price  1.525
Implied Vol  0.147
Delta  0.502
Gamma  0.104
Rho  0.010
Theta  -0.381
Vega  0.104
 
Lower Bound (Put)
Option Price  1.255
Implied Vol  0.147
Delta  -0.438
Gamma  0.103
Rho  -0.008
Theta  -0.377
Vega  0.102
 
Upper Bound (Call)
Option Price  1.320
Implied Vol  0.147
Delta  0.457
Gamma  0.104
Rho  0.009
Theta  -0.379
Vega  0.103
Calculator Help
Data Provided by HistoricalOptionData.com
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