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Simplify Managed Futures Strategy ETF CTA

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Market datapartial · fetched 2026-10-22T04:39:45.926Z

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 · 2026-10-22T00:00:00.07528245Z

FundamentalsAlpha Vantage · unavailable

Share price$29.92
1D+0.7%
AH$29.51$29.67$29.83$29.99$30.155:30 AM6:30 AM9:00 AM1:00 PM2:00 PMCTA
Sold putSold callAH

Simplify Managed Futures Strategy ETF options

Live interpolated CTA call and put midpoint premiums by absolute delta.Simplify Managed Futures Strategy ETF$0.81$1.80$2.79$3.77$4.76$24.16$26.99$29.83$32.66$35.4920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive CTA spot · $29.92CTA PRICE$0.92$1.00$1.05$1.09$1.20$1.30$1.40$1.50$1.62$1.74$1.90$2.07$2.24$1.05$1.12$1.18$1.28$1.39$1.50$1.64$1.78$2.03$2.64$3.04$3.36$4.48
PutsExpensive1.48×
CallsExpensive1.39×
SkewBearish+2.17 pp
Implied moveBearish±$3.03
TiltBearish16.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ40.46106.5%38.3%24.6697.2%21.1%
25Δ36.8389.2%26.4%26.4578.8%15.4%
30Δ34.1571.7%17.6%27.6766.1%11.5%
35Δ32.5659.7%12.5%28.5358.2%8.9%
40Δ31.6253.8%9.7%29.2152.6%7.0%
45Δ30.8748.7%7.5%29.7748.0%5.5%
50Δ30.3144.5%6.0%30.2544.4%4.4%
55Δ29.8240.9%4.7%30.6741.6%3.5%
60Δ29.4338.1%3.8%31.1440.4%2.7%
65Δ29.0435.2%2.9%31.8245.4%2.5%
70Δ28.7133.3%2.3%32.3645.4%2.0%
75Δ28.3931.5%1.8%32.8643.6%1.4%
80Δ28.0729.7%1.3%34.0749.3%1.1%

20Δ

Calls
Pseudo strike
40.46
IV
106.5%
B/E move
38.3%
Puts
Pseudo strike
24.66
IV
97.2%
B/E move
21.1%

25Δ

Calls
Pseudo strike
36.83
IV
89.2%
B/E move
26.4%
Puts
Pseudo strike
26.45
IV
78.8%
B/E move
15.4%

30Δ

Calls
Pseudo strike
34.15
IV
71.7%
B/E move
17.6%
Puts
Pseudo strike
27.67
IV
66.1%
B/E move
11.5%

35Δ

Calls
Pseudo strike
32.56
IV
59.7%
B/E move
12.5%
Puts
Pseudo strike
28.53
IV
58.2%
B/E move
8.9%

40Δ

Calls
Pseudo strike
31.62
IV
53.8%
B/E move
9.7%
Puts
Pseudo strike
29.21
IV
52.6%
B/E move
7.0%

45Δ

Calls
Pseudo strike
30.87
IV
48.7%
B/E move
7.5%
Puts
Pseudo strike
29.77
IV
48.0%
B/E move
5.5%

50Δ

Calls
Pseudo strike
30.31
IV
44.5%
B/E move
6.0%
Puts
Pseudo strike
30.25
IV
44.4%
B/E move
4.4%

55Δ

Calls
Pseudo strike
29.82
IV
40.9%
B/E move
4.7%
Puts
Pseudo strike
30.67
IV
41.6%
B/E move
3.5%

60Δ

Calls
Pseudo strike
29.43
IV
38.1%
B/E move
3.8%
Puts
Pseudo strike
31.14
IV
40.4%
B/E move
2.7%

65Δ

Calls
Pseudo strike
29.04
IV
35.2%
B/E move
2.9%
Puts
Pseudo strike
31.82
IV
45.4%
B/E move
2.5%

70Δ

Calls
Pseudo strike
28.71
IV
33.3%
B/E move
2.3%
Puts
Pseudo strike
32.36
IV
45.4%
B/E move
2.0%

75Δ

Calls
Pseudo strike
28.39
IV
31.5%
B/E move
1.8%
Puts
Pseudo strike
32.86
IV
43.6%
B/E move
1.4%

80Δ

Calls
Pseudo strike
28.07
IV
29.7%
B/E move
1.3%
Puts
Pseudo strike
34.07
IV
49.3%
B/E move
1.1%

Options history

No recorded observations