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1D-0.2%
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Market dataready · fetched 2026-10-21T16:58:12.944Z
Delta surfaceAlpaca · derived absolute-delta buckets · 2026-10-23
Calculation methodologyOptions historyIV: ThetaData daily EOD, equal-weight mean of call/put 50-delta IV across the next four listed Friday-cycle expirations, including holiday shifts verified against ThetaData’s market calendar. Missing inputs leave gaps. Skew and implied move: recorded expiration-specific observations.
History dataPriceAlpaca · sip · 2026-10-21T16:58:10.34475295Z
FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-10-21T16:58:12.478965+00:00
| Delta | Calls | Puts | ||||
|---|---|---|---|---|---|---|
| Pseudo strike | IV | B/E move | Pseudo strike | IV | B/E move | |
| 20Δ | 41.84 | 46.0% | 3.4% | 39.51 | 44.9% | 3.1% |
| 25Δ | 41.59 | 46.2% | 2.9% | 39.73 | 44.6% | 2.7% |
| 30Δ | 41.38 | 46.4% | 2.6% | 39.94 | 44.3% | 2.3% |
| 35Δ | 41.19 | 46.8% | 2.3% | 40.12 | 44.0% | 2.0% |
| 40Δ | 41.00 | 47.1% | 1.9% | 40.30 | 43.7% | 1.7% |
| 45Δ | 40.82 | 47.0% | 1.7% | 40.47 | 43.5% | 1.5% |
| 50Δ | 40.64 | 46.9% | 1.5% | 40.64 | 43.5% | 1.3% |
| 55Δ | 40.46 | 46.9% | 1.2% | 40.80 | 43.5% | 1.1% |
| 60Δ | 40.27 | 47.2% | 1.1% | 40.97 | 43.5% | 0.9% |
| 65Δ | 40.09 | 47.4% | 0.9% | 41.15 | 43.5% | 0.7% |
| 70Δ | 39.80 | 52.7% | 0.8% | 41.34 | 43.5% | 0.6% |
| 75Δ | 39.43 | 60.9% | 0.7% | 41.52 | 43.1% | 0.5% |
| 80Δ | 39.08 | 63.0% | 0.6% | 41.67 | 40.2% | 0.3% |
| Date | IV |
|---|---|
| 44.94% | |
| 44.67% | |
| 48.87% | |
| 49.89% | |
| 51.50% | |
| 57.83% | |
| 46.07% | |
| 50.05% | |
| 48.95% | |
| 50.07% | |
| 50.03% | |
| 49.93% | |
| 45.24% | |
| 44.68% | |
| 41.20% | |
| 43.00% | |
| 39.47% | |
| 43.72% | |
| 42.65% | |
| 46.58% | |
| 48.72% | |
| 44.08% | |
| 50.27% | |
| 47.45% | |
| 47.50% | |
| 47.01% | |
| 42.03% | |
| 44.29% | |
| 45.14% | |
| 46.20% | |
| 43.84% | |
| 40.76% | |
| 45.69% | |
| 45.92% | |
| 43.70% | |
| 41.87% | |
| 47.65% | |
| 44.90% | |
| 46.57% | |
| 43.61% | |
| 39.69% | |
| 41.88% | |
| 42.02% | |
| 40.90% | |
| 42.54% | |
| 38.73% | |
| 41.48% | |
| 42.92% | |
| 39.45% | |
| 44.21% | |
| 36.97% | |
| 39.58% | |
| 38.56% | |
| 38.71% | |
| 40.74% | |
| 36.54% | |
| 39.04% | |
| 40.81% | |
| 42.11% | |
| 39.15% | |
| 39.04% | |
| 40.08% | |
| 40.70% |