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Probability Calculator for SPY

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SPDR TRUST SR 1 ETF 238.76 +0.13   Tue, May 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
42.5150%   12.7332% 44.7518%

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  238.80
Std Deviation  1.56
Option Price  0.622
Implied Vol  0.088
Delta  0.501
Gamma  0.256
Rho  0.007
Theta  -0.156
Vega  0.071
Lower Bound (Put)
Option Price  0.500
Implied Vol  0.088
Delta  -0.432
Gamma  0.252
Rho  -0.006
Theta  -0.153
Vega  0.069
Upper Bound (Call)
Option Price  0.510
Implied Vol  0.088
Delta  0.440
Gamma  0.253
Rho  0.006
Theta  -0.154
Vega  0.070
Calculator Help
Data Provided by HistoricalOptionData.com
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