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Option Calculators and Stock Screeners |
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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 November 20, 2024. You must subscribe to get the latest data. |
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Probability that the future price is |
Below Lower Bound |
Between Bounds |
Above Upper Bound |
47.1671% |
4.5107% |
48.3222% |
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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.
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ATM
Call |
Price | 590.50 |
Expected Price |
590.69 |
Std
Deviation |
8.84 |
Option
Price |
3.527 |
Implied
Vol |
0.143 |
Delta |
0.503 |
Gamma |
0.045 |
Rho |
0.032 |
Theta |
-0.441 |
Vega |
0.247 |
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Lower
Bound (Put) |
Option
Price |
3.279 |
Implied
Vol |
0.143 |
Delta |
-0.474 |
Gamma |
0.045 |
Rho |
-0.031 |
Theta |
-0.440 |
Vega |
0.246 |
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Upper
Bound (Call) |
Option
Price |
3.284 |
Implied
Vol |
0.143 |
Delta |
0.481 |
Gamma |
0.045 |
Rho |
0.031 |
Theta |
-0.441 |
Vega |
0.246 |
Calculator
Help |
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- 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.
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Data Provided by HistoricalOptionData.com |
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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.
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