Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Oct 14 (1D) | Oct 15 (2D) | Oct 16 (3D) | Oct 17 (4D) | Oct 20 (7D) | Oct 21 (8D) | Oct 22 (9D) | Oct 23 (10D) | Oct 24 (11D) | Oct 27 (14D) | Oct 31 (18D) | Nov 07 (25D) | Nov 14 (32D) | Nov 21 (39D) | Nov 28 (46D) | Dec 05 (53D) | Dec 12 (60D) | Dec 19 (67D) | Dec 26 (74D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 656.378 | 653.646 | 651.549 | 649.781 | 645.522 | 644.316 | 643.185 | 642.114 | 641.096 | 638.292 | 634.987 | 629.991 | 625.658 | 621.778 | 618.233 | 614.950 | 611.876 | 608.978 | 606.227 |
| upper | 669.572 | 672.304 | 674.401 | 676.169 | 680.428 | 681.634 | 682.765 | 683.836 | 684.854 | 687.658 | 690.963 | 695.959 | 700.292 | 704.172 | 707.717 | 711.000 | 714.074 | 716.972 | 719.723 |
| expected move | 6.597 | 9.329 | 11.426 | 13.194 | 17.453 | 18.659 | 19.790 | 20.861 | 21.879 | 24.683 | 27.988 | 32.984 | 37.317 | 41.197 | 44.742 | 48.025 | 51.099 | 53.997 | 56.748 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
