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Market datapartial · fetched 2026-11-11T14:06:50.905Z
Delta surfaceAlpaca · derived absolute-delta buckets ·
Calculation methodologyOptions 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: equal-weight mean of put minus call IV across those four expirations. IV-implied move history: mean of each expiration’s average call/put IV multiplied by the square root of remaining calendar days divided by 365.25; percentage of spot, not a quoted straddle premium.
History dataPriceAlpaca · sip · 2026-11-11T12:54:54.14292305Z
FundamentalsAlpha Vantage · unavailable
| Delta | Calls | Puts | ||||
|---|---|---|---|---|---|---|
| Pseudo strike | IV | B/E move | Pseudo strike | IV | B/E move | |
| 20Δ | ||||||
| 25Δ | ||||||
| 30Δ | ||||||
| 35Δ | ||||||
| 40Δ | ||||||
| 45Δ | ||||||
| 50Δ | ||||||
| 55Δ | ||||||
| 60Δ | ||||||
| 65Δ | ||||||
| 70Δ | ||||||
| 75Δ | ||||||
| 80Δ | ||||||
| Date | IV (%) |
|---|---|
| 63.63% | |
| 64.78% | |
| 76.50% | |
| 81.88% | |
| 97.40% | |
| 85.34% | |
| 46.20% | |
| 48.73% | |
| 48.70% | |
| 49.06% | |
| 49.38% | |
| 49.46% | |
| 51.65% | |
| 55.22% | |
| 56.10% | |
| 56.03% | |
| 62.34% | |
| 64.22% | |
| 66.03% | |
| 75.53% | |
| 82.62% | |
| 94.46% | |
| 120.38% | |
| 46.98% | |
| 45.12% | |
| 48.26% | |
| 45.87% | |
| 49.35% | |
| 46.26% | |
| 50.25% | |
| 55.03% | |
| 57.60% | |
| 61.72% | |
| 96.65% | |
| 159.14% | |
| 50.25% | |
| 51.83% | |
| 47.06% | |
| 48.54% | |
| 52.74% | |
| 60.91% | |
| 62.37% | |
| 61.43% | |
| 62.22% |