$7,665.08Day change: −$18.61 (−0.24%)−$18.61 (−0.24%)
implied from options
Strategy
Legs
| Side | Qty | Strike | Type | Price | IV | Δ | Remove leg |
|---|---|---|---|---|---|---|---|
$ | % | 0.54 |
† — mid adjusted within bid–ask.
- Net debit
- $17,877.50
- Max profit
- Unlimited
- Max loss
- −$17,877.50
- Breakeven
- $7,843.78
- Probability of profit
- 35%
- Capital
- $17,877.50
- Delta
- +54.4 shares
- Gamma
- 0.10 / $1
- Theta
- −$187.72 / day
- Vega
- +$1,146.99 / 1 pt IV
Expected move ±$395.27
Profit and loss analysis
Greeks
- Delta
- +54.4 shares
- Gamma
- 0.10 / $1
- Theta
- −$187.72 / day
- Vega
- +$1,146.99 / 1 pt IV
Expected move ±$395.27
Model
- Pricing model
- Black–Scholes–Merton, European style
- Risk-free rate
- 4.15% · 3-month T-bill, 25 Sep
- Dividends
- q = 0.99% (from SPY dividends)
- Volatility
- ATM IV 13.6% · 20 Nov for probability of profit and expected move
- Valued at
- 29 Sep, 13:25 New York
Results come from a pricing model and are estimates.