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Probability Calculator for SPY

Data is delayed from December 27, 2019. You must subscribe to get the latest data.
Symbol

SPDR TRUST SR 1 ETF 322.85 -0.09   Fri, Dec 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
43.1540%   8.6741% 48.1719%

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
Price322.85
Expected Price  322.90
Std Deviation  2.29
Option Price  0.914
Implied Vol  0.096
Delta  0.501
Gamma  0.174
Rho  0.009
Theta  -0.229
Vega  0.095
 
Lower Bound (Put)
Option Price  0.749
Implied Vol  0.096
Delta  -0.438
Gamma  0.172
Rho  -0.008
Theta  -0.226
Vega  0.094
 
Upper Bound (Call)
Option Price  0.841
Implied Vol  0.096
Delta  0.475
Gamma  0.174
Rho  0.008
Theta  -0.228
Vega  0.095
Calculator Help
Data Provided by HistoricalOptionData.com
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