SQUAWKFLOW
Free, no account. Daily levels are open data.
FREE MARKET-IMPLIED ODDS TOOL

Options Implied Probability

SPX IMPLIED ODDSCaptured 2026-09-28 14:49 ET
7,700SPX implied median settlement, 2026-09-28
7,685 to 7,717Central 68 percent of the implied distribution
52.5%Priced odds of settling above 7,700
0.17%Expected absolute move from the forward
7,700.93Forward measured from put-call parity
47Strikes in the calculation

A risk-neutral probability is what the option market charges for a payout, not a count of how often the outcome has happened and not a claim about how often it will. Read off the delayed Cboe chain, mid-market, with no discounting applied. How implied probability is extracted.

The probability the option market prices on SPX settling above or below a level by a given expiration, extracted from the delayed Cboe chain. These are risk-neutral readings, which is to say prices. Nothing here is a forecast and nothing here is advice.

Priced odds by level, SPX 2026-09-28

Each row is the risk-neutral probability priced by the chain, with the independent Breeden-Litzenberger reading beside it. A level is left out when its two methods disagree by more than 5 points or by more than 25 percent of the smaller side's probability, when the cross-check cannot see enough of that tail to check it, or when the quotes there do not express a probability. Every level left out is listed below the table with its reason.
LevelFrom forwardPriced abovePriced belowCross-check
7,700-0.01%52.5%47.5%51.1%

Levels left out:

  • 7,565, because it sits at the edge of what the independent cross-check can recover, so nothing corroborates it.
  • 7,625, because the quotes either side do not express a probability: resting at the minimum tick, or steeper than their own strikes.
  • 7,775, because the independent cross-check disagreed beyond the publication rule.
  • 7,800, because it sits at the edge of what the independent cross-check can recover, so nothing corroborates it.

Method, and what it is not

These are risk-neutral probabilities read off option prices. They are what the option market charges for a payout, not a measure of how often the outcome has happened or a claim about how often it will.

P(S_E > K) = -dc/dK, where c is the undiscounted call curve and dc/dK is interpolated to K between the first differences of the adjacent listed strikes either side of it

Cross-checked against an independent breeden litzenberger smile implementation on every level shown. A reading is published only when the expiration settles within 90 days, at least 8 strikes carry a usable quote on both the call and the put side and agree about the forward to within 0.6 percent, at least 12 strikes with a two-sided quote worth 0.05 or more survive the call-curve shape check inside the fitting window, the level sits strictly inside the quoted strike range, the two strikes bracketing it are within 1.5 percent of the forward of each other, the recovered distribution integrates to between 0.95 and 1.05 with no more than 0.01 of negative density floored away, and the two independent methods agree within 0.05 in probability and within 25 percent of the smaller side's probability, the tail, whichever is tighter. The relative test forgives only the tail mass beyond the last quoted strike that the distribution could not see, only in the direction that missing mass can explain, and a level where that mass is more than 25 percent of the tail is not checked at all and is withheld. Anything else is served as absence with the reason named.

Known biases

  • Risk-neutral is not real-world. Option prices embed a variance and jump risk premium, so downside probabilities read higher than realised downside frequency and upside probabilities read lower.
  • SPY and QQQ options are American style. An early-exercise premium sits in those quotes and widens the extracted distribution slightly. SPX is European and carries no such premium.
  • Strikes are discrete. The derivative is read from first differences between adjacent listed strikes, interpolated to the level, so the answer is a local average over the strikes it leaned on, published as bracketLow, bracketHigh and bracketWidthPct.
  • Quotes are delayed and mid-market. A midpoint is not a traded price, and a wide spread on a quiet strike moves the reading.
  • No discounting is applied. Probabilities are stated under the forward measure, which leaves a relative error of order rT, bounded and published as discountingOmittedBoundPct.
  • The forward is measured from put-call parity on this chain rather than assumed from an interest rate curve, so a chain whose strikes disagree about their own forward is served as absence instead of a number.
  • Around the forward the call curve is a weighted blend of the quoted call mid and the put mid carried across by put-call parity, weighted by distance from the forward and by how tightly each is quoted, not either quote on its own, so the value there is a price nobody quoted. It is used because a hard switch from one side to the other at the forward leaves a kink the difference misreads. The number of strikes it touched is published as strikesBlendedFromBothSides, and the largest gap between the two markets at any of them, in price, as blendLargestGap.
  • A strike whose value on that curve breaks the falling, above-intrinsic shape a call curve must have leaves the calculation rather than being smoothed back into it, so a reading can rest on fewer strikes than the chain lists. The count is published as strikesDroppedForArbitrage.
  • The cross-check density is the second derivative of a fitted smile, and a fit can dip below zero in the wings. The negative part is floored at zero and the rest renormalised, which is a repair of the fit, not of any quote. The mass it removed is published as densityNegativeMass, and past maxDensityNegativeMass the reading is served as absence instead.

243 strikes quoted, 47 used, 16 dropped by the call-curve shape check. 47 blended from the call and put markets, largest gap 1.60. 0.0022 of negative density floored in the cross-check. Option root SPXW, settles at the close. 63 strikes measured the forward. Methodology implied-odds-1.1.0. Nothing here is advice or a recommendation.

What this page answers

One question: what probability is priced into the option chain that the underlying settles above a level on a given date. If a payout of one dollar when SPX settles above 7700 on Friday costs 23 cents, the chain is pricing those odds at 23 percent. The page reads that price out of the listed strikes and shows it as a percentage.

How the number is extracted

The risk-neutral probability of settling above a strike is the negative slope of the call price with respect to strike. Take the two listed strikes either side of the level, difference their prices, divide by the distance between them and flip the sign. That is the digital spread, and it is the first derivative behind the 1978 Breeden-Litzenberger result that recovers an entire implied distribution from a call curve.

The curve itself is built out of the money on both sides, calls above the forward and puts carried across by put-call parity below it, because a delayed feed prices in-the-money contracts badly. The forward is measured from the chain rather than assumed from an interest rate curve. Every published reading is cross-checked against an independent implementation that fits the volatility smile, reprices on a dense grid and takes the second derivative; when the two disagree the page shows nothing.

Risk-neutral is not real-world

This is the part that matters, and it is the reason the number is useful rather than magic. Option prices embed a risk premium. Investors pay above fair odds for downside protection, so the priced probability of a large decline sits above the frequency with which declines of that size have actually happened. A risk-neutral probability tells you what protection costs. It does not tell you what is likely. The full explainer works through where the gap comes from and how large it tends to be.

Where it differs from the expected move

The expected move is a symmetric band around spot built from one at-the-money volatility. This page is the whole distribution instead of a band, and it is not symmetric: the skew in the chain means the priced odds of a five percent fall and a five percent rise are rarely mirror images. Delta is the other common shortcut, and it is a different quantity again, close to but not equal to the probability of finishing in the money.

Data and timing

Quotes come from the delayed Cboe chain and are mid-market, which is not a traded price. The page covers SPX, SPY and QQQ and answers for expirations settling inside ninety days; past that the omitted discount factor and the bid-ask width stop being rounding errors and the reading is refused instead. Every panel above carries the timestamp of the chain it was computed from.

COMMON QUESTIONS

What is an options implied probability?
It is the probability an option market charges for a payout. If a contract paying one dollar when SPX settles above 7700 trades at 23 cents, the chain is pricing those odds at 23 percent. It is a price, not a count of how often that has happened.
How is the probability calculated from an option chain?
The risk-neutral probability of settling above a strike is the negative slope of the call price against strike, taken across the two listed strikes bracketing the level. That is the digital spread, and it is the first derivative behind the 1978 Breeden-Litzenberger result.
Is a risk-neutral probability the same as a real-world probability?
No. Option prices embed a risk premium, so the priced odds of a large decline sit above the frequency with which declines of that size have happened. Risk-neutral probabilities describe what protection costs, not what is likely.
Why does this page sometimes show no probability?
A reading is published only when the chain clears every gate: enough two-sided quotes, strikes that agree about their own forward, a level inside the quoted strike range, bracketing strikes close enough together, and two independent methods agreeing within five points of probability. Anything else is served as absence with the reason named.

Learn more