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Probability Calculator for SPY

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SPDR TRUST SR 1 ETF 244.14 +0.84   Fri, Jun 2

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
45.1000%   22.3057% 32.5943%

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  244.22
Std Deviation  1.74
Option Price  0.694
Implied Vol  0.068
Delta  0.502
Gamma  0.229
Rho  0.013
Theta  -0.087
Vega  0.102
Lower Bound (Put)
Option Price  0.625
Implied Vol  0.068
Delta  -0.466
Gamma  0.229
Rho  -0.013
Theta  -0.086
Vega  0.102
Upper Bound (Call)
Option Price  0.348
Implied Vol  0.068
Delta  0.312
Gamma  0.204
Rho  0.008
Theta  -0.077
Vega  0.090
Calculator Help
Data Provided by HistoricalOptionData.com
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