- Price is the current Stock Price
- Days is the number of days in the future for which the probability will be computed. Days can be calculated by selecting an Expiration Date. Days are counted starting from the most recent trading day.
- NTM Volatility, (Near The Money Volatility), is the implied volatility interpolated from current Near The Money option contracts for the selected stock.
- Rate is the risk free interest rate
- Annual Dividend is the sum of all dividends that expected to be paid in the next year. If the Next Dividend Date is in the past, the annual dividend is treated as a continuous dividend (approximately 1/365 of the dividend is paid each day). If the Next Dividend Date is in the future, then the annual dividend is divided by four, and probabilities are calculated based on the next quarterly dividend paying on the Next Dividend Date. If the number of days is longer than one calendar quarter, the subsequent dividend payments will be ignored.
Probabilities are computed assuming a lognormal distribution and a graph is provided.
- Lower and Upper bounds may be entered in the text box or selected from the list of available strikes for the selected stock.
- The Implied Volatility for the Lower and Upper bounds are used to compute option prices and Greeks, which are displayed in the table on the right. They are approximations and are not based on market data.
Greeks are computed for theoretical options at the current price, the lower bound the upper bound. The price and bounds are not required to have available strike prices. Computed Greeks are NOT based on current market data, and the results may not be consistent with volatility and pricing used in other features on this site.
Probability calculations are approximations and are subject to data errors, computation errors. variations in prices, bid and ask spreads, interest rates, and future undeclared dividends. The 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.
