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Simplify Managed Futures Strategy ETF CTA

i

Market dataready · fetched 2026-11-11T14:35:06.451Z

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 · 2026-11-11T14:30:00.400279077Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T14:35:05.548498+00:00

Share price$26.63
1D-0.1%
$26.62$26.63$26.65$26.66$26.675:30 AM6:30 AM9:00 AM1:00 PMCTA
Sold putSold call

Simplify Managed Futures Strategy ETF options

Live interpolated CTA call and put midpoint premiums by absolute delta.Simplify Managed Futures Strategy ETF$2.01$2.18$2.35$2.52$2.69$23.74$25.27$26.81$28.34$29.8720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ 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 P unavailable: no unambiguous, price-consistent delta bracketP —55Δ C unavailable: no unambiguous, price-consistent delta bracketC —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive CTA spot · $26.63CTA PRICE$2.45$2.45$2.45$2.03$2.24$2.45$2.55$2.64$2.45$2.46$2.50
Puts——
Calls——
Skew——
Implied moveBalanced±$4.91
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ
40Δ31.95250.5%29.2%
45Δ29.31204.6%19.3%26.56148.0%9.5%
50Δ27.69170.4%13.2%27.18128.5%7.2%
55Δ27.65114.3%5.6%
60Δ25.9498.3%5.0%
65Δ25.4694.1%4.0%
70Δ24.9989.8%3.1%
75Δ24.7281.2%2.4%
80Δ24.4572.7%1.7%

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
31.95
IV
250.5%
B/E move
29.2%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
29.31
IV
204.6%
B/E move
19.3%
Puts
Pseudo strike
26.56
IV
148.0%
B/E move
9.5%

50Δ

Calls
Pseudo strike
27.69
IV
170.4%
B/E move
13.2%
Puts
Pseudo strike
27.18
IV
128.5%
B/E move
7.2%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
27.65
IV
114.3%
B/E move
5.6%

60Δ

Calls
Pseudo strike
25.94
IV
98.3%
B/E move
5.0%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
25.46
IV
94.1%
B/E move
4.0%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
24.99
IV
89.8%
B/E move
3.1%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
24.72
IV
81.2%
B/E move
2.4%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
24.45
IV
72.7%
B/E move
1.7%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend43.76%
Daily EOD
CTA38.8%41.6%44.3%2026-10-19: 40.44%2026-10-20: 39.73%2026-10-21: 40.83%2026-10-22: 40.43%2026-10-23: 42.05%2026-10-26: 42.69%2026-10-27: 39.21%2026-10-28: 41.85%2026-10-29: 43.91%2026-10-30: 43.76%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
40.44%
39.73%
40.83%
40.43%
42.05%
42.69%
39.21%
41.85%
43.91%
43.76%