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Quadratic Deflation ETF BNDD

i

Market dataready · fetched 2026-10-23T04:27:37.423Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-20

Calculation methodology

Options historyIV: ThetaData historical Greeks, 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 data

PriceAlpaca · sip · 2026-10-23T00:00:00.078172679Z

FundamentalsAlpha Vantage · ready · fetched 2026-10-23T04:27:09.842314+00:00

Share price$97.46
1D-0.2%
AH$97.41$97.50$97.59$97.69$97.785:30 AM6:30 AM9:00 AM1:00 PM2:00 PMBNDD
Sold putSold callAH

Quadratic Deflation ETF options

Live interpolated BNDD call and put midpoint premiums by absolute delta.Quadratic Deflation ETF$0.92$3.70$6.49$9.28$12.07$88.09$92.48$96.86$101.25$105.6420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive BNDD spot · $97.45BNDD PRICE$1.22$1.65$1.73$1.86$2.01$2.22$2.45$2.45$2.45$2.45$2.45$2.52$2.60$1.67$1.82$2.02$2.23$2.45$2.71$2.97$3.10$3.15$4.87$7.54$11.26
PutsExpensive2.16×
CallsExpensive1.95×
SkewBearish+4.33 pp
Implied moveBearish±$5.16
TiltBearish24.0% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ107.3337.9%11.4%
25Δ106.8543.0%11.3%91.4138.8%7.9%
30Δ103.4735.0%7.9%93.4033.5%6.0%
35Δ101.4330.2%6.0%94.6930.7%4.9%
40Δ99.9726.9%4.6%95.9727.9%3.8%
45Δ98.9125.0%3.8%97.1525.4%2.8%
50Δ98.0123.4%3.1%97.9224.0%2.3%
55Δ97.3120.1%2.4%98.6922.7%1.8%
60Δ96.7917.4%1.8%99.2820.7%1.3%
65Δ96.4215.2%1.4%99.7418.3%0.9%
70Δ96.0412.9%1.1%101.4523.8%0.9%
75Δ95.8011.6%0.9%104.0931.6%0.9%
80Δ95.5810.3%0.7%107.9039.8%0.8%

20Δ

Calls
Pseudo strike
107.33
IV
37.9%
B/E move
11.4%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
106.85
IV
43.0%
B/E move
11.3%
Puts
Pseudo strike
91.41
IV
38.8%
B/E move
7.9%

30Δ

Calls
Pseudo strike
103.47
IV
35.0%
B/E move
7.9%
Puts
Pseudo strike
93.40
IV
33.5%
B/E move
6.0%

35Δ

Calls
Pseudo strike
101.43
IV
30.2%
B/E move
6.0%
Puts
Pseudo strike
94.69
IV
30.7%
B/E move
4.9%

40Δ

Calls
Pseudo strike
99.97
IV
26.9%
B/E move
4.6%
Puts
Pseudo strike
95.97
IV
27.9%
B/E move
3.8%

45Δ

Calls
Pseudo strike
98.91
IV
25.0%
B/E move
3.8%
Puts
Pseudo strike
97.15
IV
25.4%
B/E move
2.8%

50Δ

Calls
Pseudo strike
98.01
IV
23.4%
B/E move
3.1%
Puts
Pseudo strike
97.92
IV
24.0%
B/E move
2.3%

55Δ

Calls
Pseudo strike
97.31
IV
20.1%
B/E move
2.4%
Puts
Pseudo strike
98.69
IV
22.7%
B/E move
1.8%

60Δ

Calls
Pseudo strike
96.79
IV
17.4%
B/E move
1.8%
Puts
Pseudo strike
99.28
IV
20.7%
B/E move
1.3%

65Δ

Calls
Pseudo strike
96.42
IV
15.2%
B/E move
1.4%
Puts
Pseudo strike
99.74
IV
18.3%
B/E move
0.9%

70Δ

Calls
Pseudo strike
96.04
IV
12.9%
B/E move
1.1%
Puts
Pseudo strike
101.45
IV
23.8%
B/E move
0.9%

75Δ

Calls
Pseudo strike
95.80
IV
11.6%
B/E move
0.9%
Puts
Pseudo strike
104.09
IV
31.6%
B/E move
0.9%

80Δ

Calls
Pseudo strike
95.58
IV
10.3%
B/E move
0.7%
Puts
Pseudo strike
107.90
IV
39.8%
B/E move
0.8%

Options history

BNDD16.3216.5016.672026-10-20: 16.64%2026-10-21: 16.35%Oct 20Oct 21
Table
DateIV
16.64%
16.35%