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Probability Calculator for SPY

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SPDR TRUST SR 1 ETF 348.34 +0.73   Thu, Aug 27

Price    Rate %
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
46.9676%   7.7930% 45.2394%

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  348.43
Std Deviation  5.11
Option Price  2.038
Implied Vol  0.162
Delta  0.503
Gamma  0.078
Rho  0.014
Theta  -0.340
Vega  0.126
Lower Bound (Put)
Option Price  1.871
Implied Vol  0.162
Delta  -0.470
Gamma  0.078
Rho  -0.014
Theta  -0.339
Vega  0.126
Upper Bound (Call)
Option Price  1.727
Implied Vol  0.162
Delta  0.452
Gamma  0.078
Rho  0.013
Theta  -0.337
Vega  0.125
Calculator Help
Data Provided by HistoricalOptionData.com
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