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Probability Calculator for SPY

Data is delayed from February 2, 2017. You must subscribe to get the latest data.

SPDR TRUST SR 1 ETF 227.77 +0.12   Thu, Feb 2

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
44.3087%   8.1245% 47.5668%

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  227.86
Std Deviation  2.45
Option Price  0.978
Implied Vol  0.092
Delta  0.502
Gamma  0.163
Rho  0.016
Theta  -0.098
Vega  0.106
Lower Bound (Put)
Option Price  0.847
Implied Vol  0.092
Delta  -0.454
Gamma  0.162
Rho  -0.014
Theta  -0.097
Vega  0.106
Upper Bound (Call)
Option Price  0.867
Implied Vol  0.092
Delta  0.465
Gamma  0.162
Rho  0.014
Theta  -0.097
Vega  0.106
Calculator Help
Data Provided by HistoricalOptionData.com
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