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Free Stock Options Probability Calculator

The Probability Calculator evaluates option prices to compute the theoretical probability of future stock prices. Data may be loaded for a symbol that has options, or data may be entered manually. To enter data for a specific symbol, enter a symbol in the text box labeled Symbol, then click Load Data for Symbol.
Data is delayed from April 16, 2021. You must subscribe to get the latest data.
Symbol

SPDR TRUST SR 1 ETF 417.30 +1.40   Fri, Apr 16

Price    Rate %
Expiration   
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
45.7323%   11.9648% 42.3029%

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
Price417.30
Expected Price  417.37
Std Deviation  3.32
Option Price  1.324
Implied Vol  0.107
Delta  0.502
Gamma  0.120
Rho  0.011
Theta  -0.331
Vega  0.123
 
Lower Bound (Put)
Option Price  1.178
Implied Vol  0.107
Delta  -0.462
Gamma  0.120
Rho  -0.011
Theta  -0.329
Vega  0.123
 
Upper Bound (Call)
Option Price  1.004
Implied Vol  0.107
Delta  0.418
Gamma  0.118
Rho  0.010
Theta  -0.324
Vega  0.121
Calculator Help
  • 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 term, near the money option contracts for the selected stock.
  • Rate - is the approximate risk free interest rate.
  • Next Dividend Date - The next ex-dividend date, which may be estimated from past dividend payments.
  • Next Amt - is the amount of the next dividend, which may be estimated from past dividend payments.

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 NTM Implied Volatility is used to compute option prices and greeks, which are displayed in the tables on the right. They are approximations and are not based on market data. 

Greeks are computed for theoretical options at the current price, lower bound, upper bound, and days left. The calculator will compute probabilities regardless of whether an actual contract with matching price, strike, and expiration exists. 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.

Data Provided by HistoricalOptionData.com
Optionistics is not a registered investment advisor or broker-dealer. We do not make recommendations as to particular securities or derivative instruments, and do not advocate the purchase or sale of any security or investment by you or any other individual. By continuing to use this site, you agree to read and abide by the full disclaimer.