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 | Apr 06 (3D) | Apr 07 (4D) | Apr 08 (5D) | Apr 09 (6D) | Apr 10 (7D) | Apr 13 (10D) | Apr 14 (11D) | Apr 15 (12D) | Apr 16 (13D) | Apr 17 (14D) | Apr 24 (21D) | May 01 (28D) | May 08 (35D) | May 15 (42D) | May 22 (49D) | May 29 (56D) | Jun 05 (63D) | Jun 12 (70D) | Jun 19 (77D) | Jun 26 (84D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 641.638 | 639.442 | 637.508 | 635.759 | 634.151 | 629.918 | 628.653 | 627.445 | 626.286 | 625.171 | 618.28 | 612.471 | 607.353 | 602.727 | 598.472 | 594.512 | 590.792 | 587.274 | 583.928 | 580.731 |
| upper | 670.022 | 672.218 | 674.152 | 675.901 | 677.509 | 681.742 | 683.007 | 684.215 | 685.374 | 686.489 | 693.38 | 699.189 | 704.307 | 708.933 | 713.188 | 717.148 | 720.868 | 724.386 | 727.732 | 730.929 |
| expected move | 14.192 | 16.388 | 18.322 | 20.071 | 21.679 | 25.912 | 27.177 | 28.385 | 29.544 | 30.659 | 37.55 | 43.359 | 48.477 | 53.103 | 57.358 | 61.318 | 65.038 | 68.556 | 71.902 | 75.099 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
