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State Street SPDR Bloomberg Convertible Securities ETF CWB

i

Market dataready · fetched 2026-11-12T01:51:44.518Z

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 · 2026-11-12T01:00:00.142891295Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T01:46:23.398075+00:00

Share price$93.84
1D+1.6%
AH$92.19$92.76$93.32$93.88$94.455:30 AM6:30 AM9:00 AM1:00 PM2:00 PMCWB
Sold putSold callAH

State Street SPDR Bloomberg Convertible Securities ETF options

Live interpolated CWB call and put midpoint premiums by absolute delta.State Street SPDR Bloomberg Convertible Securities ETF$0.28$1.19$2.11$3.03$3.95$88.89$91.47$94.05$96.64$99.2220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive CWB spot · $93.84CWB PRICE$0.38$0.41$0.49$0.56$0.63$0.69$0.77$0.91$1.04$1.18$1.34$1.69$2.04$0.42$0.73$1.05$1.38$1.00$1.32$1.63$1.84$2.05$2.32$2.59$3.07$3.68
PutsFair1.00×
CallsCheap0.51×
SkewBearish+11.56 pp
Implied moveBearish±$2.40
TiltBearish31.1% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ96.9523.6%3.7%90.9325.5%3.5%
25Δ95.9219.3%2.7%91.3129.5%3.5%
30Δ95.4118.0%2.2%91.6534.1%3.5%
35Δ94.9316.7%1.8%91.9838.6%3.5%
40Δ94.6115.5%1.5%93.1922.9%1.8%
45Δ94.2814.4%1.2%93.6025.0%1.7%
50Δ93.9613.4%1.0%94.0127.0%1.6%
55Δ93.7113.2%0.8%94.4826.1%1.3%
60Δ93.4713.0%0.7%94.9525.1%1.0%
65Δ93.2212.9%0.6%95.4024.5%0.8%
70Δ92.9512.8%0.5%95.8623.8%0.6%
75Δ92.5413.7%0.4%96.4724.3%0.5%
80Δ92.1314.6%0.4%97.2125.2%0.3%

20Δ

Calls
Pseudo strike
96.95
IV
23.6%
B/E move
3.7%
Puts
Pseudo strike
90.93
IV
25.5%
B/E move
3.5%

25Δ

Calls
Pseudo strike
95.92
IV
19.3%
B/E move
2.7%
Puts
Pseudo strike
91.31
IV
29.5%
B/E move
3.5%

30Δ

Calls
Pseudo strike
95.41
IV
18.0%
B/E move
2.2%
Puts
Pseudo strike
91.65
IV
34.1%
B/E move
3.5%

35Δ

Calls
Pseudo strike
94.93
IV
16.7%
B/E move
1.8%
Puts
Pseudo strike
91.98
IV
38.6%
B/E move
3.5%

40Δ

Calls
Pseudo strike
94.61
IV
15.5%
B/E move
1.5%
Puts
Pseudo strike
93.19
IV
22.9%
B/E move
1.8%

45Δ

Calls
Pseudo strike
94.28
IV
14.4%
B/E move
1.2%
Puts
Pseudo strike
93.60
IV
25.0%
B/E move
1.7%

50Δ

Calls
Pseudo strike
93.96
IV
13.4%
B/E move
1.0%
Puts
Pseudo strike
94.01
IV
27.0%
B/E move
1.6%

55Δ

Calls
Pseudo strike
93.71
IV
13.2%
B/E move
0.8%
Puts
Pseudo strike
94.48
IV
26.1%
B/E move
1.3%

60Δ

Calls
Pseudo strike
93.47
IV
13.0%
B/E move
0.7%
Puts
Pseudo strike
94.95
IV
25.1%
B/E move
1.0%

65Δ

Calls
Pseudo strike
93.22
IV
12.9%
B/E move
0.6%
Puts
Pseudo strike
95.40
IV
24.5%
B/E move
0.8%

70Δ

Calls
Pseudo strike
92.95
IV
12.8%
B/E move
0.5%
Puts
Pseudo strike
95.86
IV
23.8%
B/E move
0.6%

75Δ

Calls
Pseudo strike
92.54
IV
13.7%
B/E move
0.4%
Puts
Pseudo strike
96.47
IV
24.3%
B/E move
0.5%

80Δ

Calls
Pseudo strike
92.13
IV
14.6%
B/E move
0.4%
Puts
Pseudo strike
97.21
IV
25.2%
B/E move
0.3%

Options history

IV · four-Friday blend21.84%
Daily EOD
CWB20.1%21.0%22.0%2026-10-19: 20.95%2026-10-20: 20.66%2026-10-21: 20.25%2026-10-22: 21.63%2026-10-23: 21.17%2026-10-26: 21.44%2026-10-27: 20.90%2026-10-28: 20.46%2026-10-29: 20.69%2026-10-30: 21.84%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
20.95%
20.66%
20.25%
21.63%
21.17%
21.44%
20.90%
20.46%
20.69%
21.84%