IntraAlpha
Create free account Start free

ProShares Large Cap Core Plus CSM

i

Market dataready · fetched 2026-11-11T13:47:05.594Z

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 · 2026-11-11T01:00:01.639190421Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T13:47:05.188790+00:00

Share price$86.02
1D+0.5%
AH$85.45$85.62$85.80$85.98$86.155:30 AM6:30 AM9:00 AM1:00 PM2:00 PMCSM
Sold putSold callAH

ProShares Large Cap Core Plus options

Live interpolated CSM call and put midpoint premiums by absolute delta.ProShares Large Cap Core Plus$0.93$1.48$2.03$2.58$3.13$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —35Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —40Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —55Δ C unavailable: no unambiguous, price-consistent delta bracketC —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICECSM PRICE$1.66$2.08$2.50$0.99$1.17$1.35$1.53$1.72$1.90$2.08$2.26$2.97
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ
40Δ85.2924.1%2.0%
45Δ85.6823.5%1.8%
50Δ86.0622.9%1.5%
55Δ86.4422.2%1.3%
60Δ86.8221.6%1.1%
65Δ87.2121.0%0.8%
70Δ84.8917.4%0.6%87.5920.4%0.6%
75Δ84.4118.7%0.5%87.9719.8%0.4%
80Δ83.9119.8%0.4%88.7622.2%0.3%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
85.29
IV
24.1%
B/E move
2.0%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
85.68
IV
23.5%
B/E move
1.8%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
86.06
IV
22.9%
B/E move
1.5%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
86.44
IV
22.2%
B/E move
1.3%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
86.82
IV
21.6%
B/E move
1.1%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
87.21
IV
21.0%
B/E move
0.8%

70Δ

Calls
Pseudo strike
84.89
IV
17.4%
B/E move
0.6%
Puts
Pseudo strike
87.59
IV
20.4%
B/E move
0.6%

75Δ

Calls
Pseudo strike
84.41
IV
18.7%
B/E move
0.5%
Puts
Pseudo strike
87.97
IV
19.8%
B/E move
0.4%

80Δ

Calls
Pseudo strike
83.91
IV
19.8%
B/E move
0.4%
Puts
Pseudo strike
88.76
IV
22.2%
B/E move
0.3%

Options history

IV · four-Friday blend15.92%
Daily EOD
CSM14.1%15.1%16.1%2026-10-19: 14.66%2026-10-20: 14.69%2026-10-21: 14.20%2026-10-22: 15.07%2026-10-23: 15.74%2026-10-26: 15.15%2026-10-27: 14.85%2026-10-28: 14.34%2026-10-29: 14.27%2026-10-30: 15.92%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
14.66%
14.69%
14.20%
15.07%
15.74%
15.15%
14.85%
14.34%
14.27%
15.92%