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Market dataready · fetched 2026-10-23T10:01:58.936Z
Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-20
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 and implied move: recorded expiration-specific observations.
History dataPriceAlpaca · sip · 2026-10-23T09:50:40.552356313Z
FundamentalsAlpha Vantage · ready · quarter 2026-07-31 · fetched 2026-10-23T10:01:58.570797+00:00
| Delta | Calls | Puts | ||||
|---|---|---|---|---|---|---|
| Pseudo strike | IV | B/E move | Pseudo strike | IV | B/E move | |
| 20Δ | 32.19 | 39.8% | 12.2% | 26.46 | 39.7% | 10.1% |
| 25Δ | 31.67 | 39.9% | 10.9% | 27.12 | 38.4% | 8.1% |
| 30Δ | 31.15 | 40.0% | 9.6% | 27.66 | 37.5% | 6.7% |
| 35Δ | 30.63 | 40.1% | 8.2% | 28.04 | 37.0% | 6.0% |
| 40Δ | 30.12 | 40.2% | 6.9% | 28.42 | 36.6% | 5.3% |
| 45Δ | 29.66 | 40.9% | 6.1% | 28.80 | 36.2% | 4.5% |
| 50Δ | 29.22 | 41.7% | 5.4% | 29.18 | 35.7% | 3.8% |
| 55Δ | 28.78 | 42.6% | 4.8% | 29.55 | 35.3% | 3.1% |
| 60Δ | 28.34 | 43.4% | 4.1% | 29.93 | 34.8% | 2.3% |
| 65Δ | 27.90 | 44.2% | 3.5% | 30.40 | 34.8% | 1.9% |
| 70Δ | 27.43 | 45.2% | 2.8% | 30.90 | 34.9% | 1.5% |
| 75Δ | 26.72 | 47.0% | 2.4% | 31.39 | 35.0% | 1.2% |
| 80Δ | 26.01 | 48.9% | 1.9% | 31.88 | 35.0% | 0.8% |
| Date | IV |
|---|---|
| 35.85% | |
| 36.28% |