What is the SMDD 30-day expected price range?

As of May 29, 2026, with SMDD at $8.39 and ATM IV at 122.0%, the implied 30-day one-standard-deviation range is approximately ±$2.93, or about $5.46 to $11.32.

What does SMDD risk-neutral density tell us?

Risk-neutral density is the probability distribution of future SMDD price implied by listed option prices. Extracted via Breeden-Litzenberger (twice-differentiating the call price function with respect to strike), it represents the pricing kernel rather than the real-world probability of outcomes. Persistent skew or fat-tail features in the density reflect how the market is pricing tail risk.

How does SMDD ATM IV translate to a probability range?

ATM IV is annualized; multiplying by sqrt(t/365) scales it to the chosen tenor. Under lognormal assumptions, the resulting standard deviation defines the ±1σ band that contains roughly 68% of outcomes, ±2σ for 95%. Empirical equity returns have fatter tails than log-normal, so the implied tail probabilities under-state realized tail frequency in stressed regimes.

ProShares - UltraPro Short MidCap400 (SMDD) Probability Analysis

Probability analysis extracts the risk-neutral probability distribution implied by option prices. It shows the market-implied likelihood of the underlying reaching various price levels by expiration.

ProShares - UltraPro Short MidCap400 (SMDD) operates in the Financial Services sector, specifically the Asset Management - Leveraged industry, with a market capitalization near $2.4M, listed on AMEX, carrying a beta of -3.07 to the broader market. ProShares UltraPro Short MidCap400 seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the S&P MidCap 400. public since 2010-02-11.

Snapshot as of May 29, 2026.

Spot Price: $8.39
ATM IV: 122.0%
IV Rank: 41.4%
IV Percentile: 96.0%
HV 20-Day: 48.9%
IV Skew 25Δ: -0.025

As of May 29, 2026, ProShares - UltraPro Short MidCap400 (SMDD) at $8.39 has an ATM IV of 122.0%, implying a 30-day one-standard-deviation range of approximately ±$2.93. IV rank is 41.4% (near its 1-year median). IV percentile is 96.0%. The 25-delta skew is -0.025: downside tail priced richer than upside, biasing probability mass below spot. Under lognormal assumptions roughly 68% of outcomes fall within ±1σ and 95% within ±2σ; risk-neutral probability analysis refines this by extracting the market-implied distribution directly from options prices, capturing the fat tails that real markets exhibit.

How SMDD probability analysis Data Feeds Strategy Selection

Strategy selection on ProShares - UltraPro Short MidCap400 options does not derive from any single metric in isolation. The probability analysis view above sits inside a broader read: ATM IV currently sits at 122.0% and dealer gamma exposure is negative, so dealer hedging amplifies directional moves. Combine the probability analysis data here with the volatility-skew surface, dealer-gamma exposure, max-pain level, and upcoming-events calendar to build a positioning thesis. Risk-defined structures (credit spreads, debit spreads, iron condors) are usually safer than naked positions while the regime is uncertain; the data on this page anchors the inputs but does not by itself constitute a trade thesis.

How to read the SMDD probability distribution

The probability cone above is the option-market-implied distribution of where ProShares - UltraPro Short MidCap400 spot could end up at expiration. It's derived from the implied-volatility surface via a risk-neutral pricing transformation, not from historical realized returns. With ATM IV at 122.0% and spot at $8.39, the 1σ band is approximately ±42.1% over a 30-day horizon. Recent realized HV-20 of 48.9% runs 73.1 vol points below the current implied, suggesting the chain is pricing more dispersion than the underlying has been delivering.

SMDD risk-neutral vs real-world probabilities

The probabilities derived from option prices reflect the market's risk-adjusted view, not the realized statistical distribution. Risk-neutral probabilities include the equity risk premium and skew preferences priced into options, so they tend to overstate tail probability and understate upside drift relative to actually-realized outcomes. SMDD's put-skewed 25-delta surface (-0.025) means downside risk-neutral probabilities are higher than upside - the empirical bias is well-documented. For probability-of-touch calculations and assignment-risk modeling, risk-neutral is the right benchmark. For position-sizing your own conviction, blend with realized-volatility-based statistics from the HV columns.

Trading the SMDD distribution

Probability-driven strategies aim to capture mispricings between the implied distribution and your own probability assessment. Premium-selling structures (credit spreads, iron condors, cash-secured puts) profit when the implied distribution overprices tail probability relative to realized; premium-buying (debit spreads, long calls/puts, long straddles) profits in the reverse. Always pair probability-driven strategy selection with a stop loss or wing-defined risk - the implied distribution is a snapshot, and regime shifts can invalidate it intraday.

Learn how risk-neutral density is reported and how to read the data →

Frequently asked SMDD probability analysis questions

What is the SMDD 30-day expected price range?: As of May 29, 2026, with SMDD at $8.39 and ATM IV at 122.0%, the implied 30-day one-standard-deviation range is approximately ±$2.93, or about $5.46 to $11.32.
What does SMDD risk-neutral density tell us?: Risk-neutral density is the probability distribution of future SMDD price implied by listed option prices. Extracted via Breeden-Litzenberger (twice-differentiating the call price function with respect to strike), it represents the pricing kernel rather than the real-world probability of outcomes. Persistent skew or fat-tail features in the density reflect how the market is pricing tail risk.
How does SMDD ATM IV translate to a probability range?: ATM IV is annualized; multiplying by sqrt(t/365) scales it to the chosen tenor. Under lognormal assumptions, the resulting standard deviation defines the ±1σ band that contains roughly 68% of outcomes, ±2σ for 95%. Empirical equity returns have fatter tails than log-normal, so the implied tail probabilities under-state realized tail frequency in stressed regimes.