Building an SPX probability cone at one and two standard deviations
Recorded in cvforge on June 8, 2026 by ConvexValue · Published July 25, 2026
A 30-day SPX probability cone drawn from option prices, with the one and two standard deviation bands that bracket most outcomes.
Exact prompt
Use $SPX options to create a probability cone. I want to see the 1 and 2 std for the next 30 days
Data cadence
Live U.S. option snapshots, refreshed through the session. Open interest is an end-of-previous-day figure and updates once daily.
Plan requirements
Runs on the free cvforge app and the free data tier (20 requests/hour). No card needed.
Fields used
implied_volatility, delta, strike_price, expiration_date, underlying_price, fair_market_value
How to read it
The cone widens with the square root of time, which is why it is a cone rather than a wedge: uncertainty accumulates, but not linearly. The one-standard-deviation band covers roughly two-thirds of the implied distribution and the two-deviation band most of the rest.
The bands come from implied volatility, so they inherit its assumptions — a lognormal shape that equity returns do not actually follow, with thinner tails than reality. Treat the outer band as “unlikely according to the model”, not “impossible”.
Change it
The prompt is the interface. Ask for a different ticker, a different expiration window, or an extra column in the same sentence style and the agent edits the app in place — you do not start over, and you do not wait for anyone to build it.
Limitations
- Snapshot data, not a transaction tape: the build reads the chain as it stands, so it cannot attribute a trade to a buyer or a seller.
- Open interest updates once a day, so an intraday volume/OI comparison is always this session’s volume against yesterday’s open interest.
- Contract coverage is U.S. listed equities, ETFs and indices. Indices use the I: prefix, for example I:SPX.
- Current per-contract valuation is Massive fair market value (FMV), a proprietary estimate. cvforge does not provide option bids, asks, midpoint, quote sizes, NBBO or last trades, and FMV is not an executable quote.
- These are risk-neutral probabilities implied by option prices, not forecasts. They shift with volatility as much as with expectations.
- Anything derived from implied volatility inherits the model behind it; treat the numbers as a market-implied range, not a measurement.
Related demos
- A session-open expected move board for SPX, SPY or any stock
- META implied price ranges over the next 60 days
- QQQ against SPY: whose weekly expected move is larger
Search focus: spx probability cone from options. Related: options probability cone 1 and 2 standard deviation, build a probability cone chart. Originally posted on X.