S&P 500 odds vs. options-implied fair value
Kalshi's S&P 500 markets (above, below, and range, “between X and Y”) next to the options-implied fair value: the market's own risk-neutral probability that the index closes in that band, read straight off the CBOE option chain. The gap is where the exchange disagrees with the options market.
As of Oct 1, 3:45 PM EDTDelayed · publicLive prices, full history & gap alerts → Dashboard
Rows marked ▸ replay their intraday arc: Kalshi vs. the options-implied fair value, snapshot by snapshot. (Bands fill in as the session records more snapshots.) Full price history is on a paid plan.
S&P 500
Today’s closesettles Oct 2
| Market | Kalshi | Scopes Fair Value | Scopes Divergence |
|---|---|---|---|
| S&P 500 7,650–7,675▸settles Oct 2 | 14.5% | 22.4% | 7.8 pts |
| S&P 500 7,675–7,700▸settles Oct 2 | 16.0% | 21.9% | 5.9 pts |
| S&P 500 7,800–7,825▸settles Oct 2 | 5.5% | 0.0% | 5.5 pts |
| S&P 500 7,625–7,650▸settles Oct 2 | 11.0% | 16.4% | 5.3 pts |
| S&P 500 7,575–7,600▸settles Oct 2 | 8.5% | 3.2% | 5.3 pts |
| S&P 500 7,725–7,750▸settles Oct 2 | 13.0% | 7.7% | 5.3 pts |
| S&P 500 7,750–7,775▸settles Oct 2 | 7.0% | 2.8% | 4.2 pts |
| S&P 500 7,775–7,800▸settles Oct 2 | 4.5% | 0.7% | 3.8 pts |
| S&P 500 7,550–7,575▸settles Oct 2 | 4.5% | 0.8% | 3.7 pts |
| S&P 500 7,525–7,550▸settles Oct 2 | 3.0% | 0.1% | 2.9 pts |
| S&P 500 7,475–7,500▸settles Oct 2 | 2.5% | 0.0% | 2.5 pts |
| S&P 500 7,500–7,525▸settles Oct 2 | 2.5% | 0.1% | 2.4 pts |
| S&P 500 7,700–7,725▸settles Oct 2 | 16.0% | 15.3% | 0.7 pts |
| S&P 500 7,600–7,625▸settles Oct 2 | 9.0% | 8.5% | 0.5 pts |
This weeksettles Oct 2
| Market | Kalshi | Scopes Fair Value | Scopes Divergence |
|---|---|---|---|
| S&P 500 7,825–7,850▸settles Oct 2 | 4.0% | 1.3% | 2.7 pts |
Latersettles Dec 31
| Market | Kalshi | Scopes Fair Value | Scopes Divergence |
|---|---|---|---|
| S&P 500 7,400–7,600▸settles Dec 31 | 10.5% | 17.7% | 7.2 pts |
| S&P 500 7,200–7,400▸settles Dec 31 | 7.5% | 13.4% | 5.9 pts |
| S&P 500 8,000–8,200▸settles Dec 31 | 16.5% | 10.8% | 5.7 pts |
| S&P 500 7,800–8,000▸settles Dec 31 | 20.0% | 15.6% | 4.4 pts |
| S&P 500 7,600–7,800▸settles Dec 31 | 15.0% | 18.6% | 3.5 pts |
| S&P 500 7,000–7,200▸settles Dec 31 | 4.5% | 7.9% | 3.4 pts |
| S&P 500 8,200–8,400▸settles Dec 31 | 9.5% | 6.2% | 3.4 pts |
| S&P 500 8,400–8,600▸settles Dec 31 | 4.5% | 3.0% | 1.5 pts |
| S&P 500 ≥ 9,000thin▸settles Dec 31 | 1.5% | 0.1% | 1.4 pts |
| S&P 500 6,400–6,600▸settles Dec 31 | 1.5% | 0.2% | 1.3 pts |
| S&P 500 8,800–9,000thin▸settles Dec 31 | 1.5% | 0.4% | 1.1 pts |
| S&P 500 6,800–7,000▸settles Dec 31 | 2.5% | 3.5% | 1.0 pts |
| S&P 500 8,600–8,800thin▸settles Dec 31 | 1.5% | 1.1% | 0.4 pts |
| S&P 500 6,600–6,800▸settles Dec 31 | 1.5% | 1.2% | 0.3 pts |
How the fair value is set
An option's price already encodes the market's probability that the index finishes past a strike: the risk-neutral P(close > K) equals the slope of the call price across strikes. We read that straight off the CBOE SPX chain at the matching expiry. For a range market (“between A and B”) the fair value is P(close > A) − P(close > B): an independent, market-derived fair value to measure the exchange price against.
- Scopes Fair Value :
- an independent probability estimate computed from S&P 500 index options on the CBOE chain (SPX) at the matching expiry.
- Scopes Divergence :
- the difference between the market price and the Scopes Fair Value.
Background reading: why equity-index divergences persist: how a digital event contract and a call spread price the same payoff, and the frictions between them. Market structure, not a strategy.
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