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NEOS Bitcoin High Income ETF BTCI

i

Market dataready · fetched 2026-11-11T04:22:06.508Z

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: 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 data

PriceAlpaca · sip · 2026-11-11T01:00:01.334591823Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T04:22:06.031209+00:00

Share price$29.44
1D-0.2%
AH$29.02$29.21$29.39$29.58$29.765:30 AM6:30 AM9:00 AM1:00 PM2:00 PMBTCI
Sold putSold callAH

NEOS Bitcoin High Income ETF options

Live interpolated BTCI call and put midpoint premiums by absolute delta.NEOS Bitcoin High Income ETF$0.00$2.06$4.11$6.17$8.23$25.46$27.35$29.24$31.14$33.0320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive BTCI spot · $29.44BTCI PRICE$0.13$0.17$0.21$0.26$0.32$0.38$0.44$0.50$0.57$0.63$0.72$0.92$1.12$0.47$0.34$0.46$0.57$0.69$0.90$1.12$1.34$1.81$2.39$3.49$4.69$7.63
PutsExpensive1.17×
CallsCheap0.36×
SkewBearish+46.02 pp
Implied moveBearish±$1.56
TiltBearish60.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ30.4721.4%3.9%26.4882.4%11.7%
25Δ30.2821.9%3.4%28.1543.3%5.5%
30Δ30.0922.4%2.9%28.4344.7%5.0%
35Δ29.9322.5%2.5%28.7046.0%4.5%
40Δ29.7922.2%2.3%28.9847.4%3.9%
45Δ29.6521.9%2.0%29.3050.0%3.5%
50Δ29.5221.6%1.8%29.6252.6%3.2%
55Δ29.3821.3%1.5%29.9555.2%2.8%
60Δ29.2421.1%1.3%30.4762.7%2.6%
65Δ29.1120.8%1.0%31.0972.0%2.5%
70Δ28.9520.7%0.8%32.2089.0%2.5%
75Δ28.7121.6%0.7%33.48101.2%2.2%
80Δ28.4822.5%0.5%36.45133.9%2.1%

20Δ

Calls
Pseudo strike
30.47
IV
21.4%
B/E move
3.9%
Puts
Pseudo strike
26.48
IV
82.4%
B/E move
11.7%

25Δ

Calls
Pseudo strike
30.28
IV
21.9%
B/E move
3.4%
Puts
Pseudo strike
28.15
IV
43.3%
B/E move
5.5%

30Δ

Calls
Pseudo strike
30.09
IV
22.4%
B/E move
2.9%
Puts
Pseudo strike
28.43
IV
44.7%
B/E move
5.0%

35Δ

Calls
Pseudo strike
29.93
IV
22.5%
B/E move
2.5%
Puts
Pseudo strike
28.70
IV
46.0%
B/E move
4.5%

40Δ

Calls
Pseudo strike
29.79
IV
22.2%
B/E move
2.3%
Puts
Pseudo strike
28.98
IV
47.4%
B/E move
3.9%

45Δ

Calls
Pseudo strike
29.65
IV
21.9%
B/E move
2.0%
Puts
Pseudo strike
29.30
IV
50.0%
B/E move
3.5%

50Δ

Calls
Pseudo strike
29.52
IV
21.6%
B/E move
1.8%
Puts
Pseudo strike
29.62
IV
52.6%
B/E move
3.2%

55Δ

Calls
Pseudo strike
29.38
IV
21.3%
B/E move
1.5%
Puts
Pseudo strike
29.95
IV
55.2%
B/E move
2.8%

60Δ

Calls
Pseudo strike
29.24
IV
21.1%
B/E move
1.3%
Puts
Pseudo strike
30.47
IV
62.7%
B/E move
2.6%

65Δ

Calls
Pseudo strike
29.11
IV
20.8%
B/E move
1.0%
Puts
Pseudo strike
31.09
IV
72.0%
B/E move
2.5%

70Δ

Calls
Pseudo strike
28.95
IV
20.7%
B/E move
0.8%
Puts
Pseudo strike
32.20
IV
89.0%
B/E move
2.5%

75Δ

Calls
Pseudo strike
28.71
IV
21.6%
B/E move
0.7%
Puts
Pseudo strike
33.48
IV
101.2%
B/E move
2.2%

80Δ

Calls
Pseudo strike
28.48
IV
22.5%
B/E move
0.5%
Puts
Pseudo strike
36.45
IV
133.9%
B/E move
2.1%

Options history

IV · four-Friday blend37.72%
Daily close
BTCI29.2%36.0%42.7%2026-08-12: 37.28%2026-08-13: 41.57%2026-08-14: 37.32%2026-08-21: 37.28%2026-08-24: 38.73%2026-08-25: 38.09%2026-08-26: 37.73%2026-08-27: 37.34%2026-08-28: 35.02%2026-08-31: 35.33%2026-09-01: 34.73%2026-09-02: 34.48%2026-09-04: 36.24%2026-09-08: 35.91%2026-09-09: 34.83%2026-09-10: 36.68%2026-09-11: 36.42%2026-09-14: 38.35%2026-09-17: 41.81%2026-09-18: 34.44%2026-09-21: 35.16%2026-09-22: 33.35%2026-09-23: 33.75%2026-09-24: 34.69%2026-09-25: 34.35%2026-09-28: 34.22%2026-09-29: 33.76%2026-09-30: 31.50%2026-10-01: 32.29%2026-10-02: 30.11%2026-10-05: 32.65%2026-10-06: 32.37%2026-10-07: 31.69%2026-10-08: 34.58%2026-10-09: 31.75%2026-10-12: 33.87%2026-10-14: 34.47%2026-10-16: 38.17%2026-10-19: 37.83%2026-10-20: 38.85%2026-10-21: 35.87%2026-10-22: 37.48%2026-10-23: 36.00%2026-10-26: 36.87%2026-10-27: 38.14%2026-10-28: 37.56%2026-10-29: 36.37%2026-10-30: 37.72%Aug 12Sep 24Oct 30
48 observations2026-08-12 — 2026-10-30
Table
DateIV (%)
37.28%
41.57%
37.32%
37.28%
38.73%
38.09%
37.73%
37.34%
35.02%
35.33%
34.73%
34.48%
36.24%
35.91%
34.83%
36.68%
36.42%
38.35%
41.81%
34.44%
35.16%
33.35%
33.75%
34.69%
34.35%
34.22%
33.76%
31.50%
32.29%
30.11%
32.65%
32.37%
31.69%
34.58%
31.75%
33.87%
34.47%
38.17%
37.83%
38.85%
35.87%
37.48%
36.00%
36.87%
38.14%
37.56%
36.37%
37.72%