SPY — implied distribution for Oct 16, 2026

Large, liquid index ETF chain. Tight spreads, modest downside skew, well-behaved smile.

Underlying / spot

SPY $578.40

As of Sep 25, 2026

Expiration

Oct 16, 2026

21d to expiry · T = 0.058y

1σ implied move

±3.7%

σ of terminal price = $21.32

Implied expected price

$579.35

+0.2% vs spot · median $580.16

P(finish below spot)

46.5%

P(above spot) = 53.5%

Left tail: P(≤ −10%)

0.9%

Below $520.56

Right tail: P(≥ +10%)

0.1%

Above $636.24

5th / 95th percentile

$543 – $613

90% implied confidence interval

Options imply a broadly symmetric distribution

Left and right tails are close (6.1% vs 6.0%), with an implied drift of 0.2% to the risk-neutral mean.

Risk-neutral density

Probability of each terminal price

P(S_T ≤ K) across strikes

Raw call IVs vs smoothed fit

Market mids vs Black-Scholes refit