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WEBs ETF Trust WEBs SPY Defined Volatility ETF DVSP

i

Market dataready · fetched 2026-11-11T14:43:12.575Z

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 · 2026-11-10T21:00:00.421545299Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T14:43:12.060889+00:00

Share price$28.04
1D+0.0%
AH$27.99$27.99$28.00$28.01$28.015:30 AM6:30 AM9:00 AM1:00 PM2:00 PMDVSP
Sold putSold callAH

WEBs ETF Trust WEBs SPY Defined Volatility ETF options

Live interpolated DVSP call and put midpoint premiums by absolute delta.WEBs ETF Trust WEBs SPY Defined Volatility ETF$0.93$1.31$1.68$2.05$2.42$25.86$26.88$27.91$28.93$29.9620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —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 DVSP spot · $28.04DVSP PRICE$0.97$0.97$0.97$1.01$1.09$1.22$1.36$1.53$1.70$1.89$2.10$2.31$0.97$0.97$0.98$1.00$1.05$1.10$1.18$1.26$1.35
Puts——
Calls——
Skew——
Implied moveBalanced±$2.40
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ23.16171.0%20.9%
25Δ34.77166.1%27.5%24.91131.4%14.6%
30Δ31.88127.2%17.2%26.07105.2%10.5%
35Δ30.30101.4%11.5%26.8488.0%7.8%
40Δ29.3885.9%8.4%27.3677.5%6.1%
45Δ28.7677.5%6.4%27.8268.7%4.7%
50Δ28.2973.5%5.2%28.1762.5%3.7%
55Δ27.8770.1%4.2%28.4657.9%3.0%
60Δ27.4967.9%3.5%28.7453.3%2.3%
65Δ27.1265.6%2.8%
70Δ26.7663.4%2.2%
75Δ26.4261.3%1.7%
80Δ26.0759.1%1.2%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
23.16
IV
171.0%
B/E move
20.9%

25Δ

Calls
Pseudo strike
34.77
IV
166.1%
B/E move
27.5%
Puts
Pseudo strike
24.91
IV
131.4%
B/E move
14.6%

30Δ

Calls
Pseudo strike
31.88
IV
127.2%
B/E move
17.2%
Puts
Pseudo strike
26.07
IV
105.2%
B/E move
10.5%

35Δ

Calls
Pseudo strike
30.30
IV
101.4%
B/E move
11.5%
Puts
Pseudo strike
26.84
IV
88.0%
B/E move
7.8%

40Δ

Calls
Pseudo strike
29.38
IV
85.9%
B/E move
8.4%
Puts
Pseudo strike
27.36
IV
77.5%
B/E move
6.1%

45Δ

Calls
Pseudo strike
28.76
IV
77.5%
B/E move
6.4%
Puts
Pseudo strike
27.82
IV
68.7%
B/E move
4.7%

50Δ

Calls
Pseudo strike
28.29
IV
73.5%
B/E move
5.2%
Puts
Pseudo strike
28.17
IV
62.5%
B/E move
3.7%

55Δ

Calls
Pseudo strike
27.87
IV
70.1%
B/E move
4.2%
Puts
Pseudo strike
28.46
IV
57.9%
B/E move
3.0%

60Δ

Calls
Pseudo strike
27.49
IV
67.9%
B/E move
3.5%
Puts
Pseudo strike
28.74
IV
53.3%
B/E move
2.3%

65Δ

Calls
Pseudo strike
27.12
IV
65.6%
B/E move
2.8%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
26.76
IV
63.4%
B/E move
2.2%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
26.42
IV
61.3%
B/E move
1.7%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
26.07
IV
59.1%
B/E move
1.2%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend32.88%
Daily EOD
DVSP28.9%31.0%33.2%2026-10-19: 29.90%2026-10-20: 29.15%2026-10-21: 29.20%2026-10-22: 31.18%2026-10-23: 31.49%2026-10-26: 30.80%2026-10-27: 30.63%2026-10-28: 31.10%2026-10-29: 30.99%2026-10-30: 32.88%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
29.90%
29.15%
29.20%
31.18%
31.49%
30.80%
30.63%
31.10%
30.99%
32.88%