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Grayscale Ethereum Staking ETF Shares ETHE

i

Market dataready · fetched 2026-11-10T22:35:37.891Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-10T21:35:11.074293878Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-10T22:35:37.415458+00:00

Share price$16.46
1D-0.2%
AH$15.98$16.17$16.36$16.56$16.755:30 AM6:30 AM9:00 AM1:00 PM2:00 PMETHE
Sold putSold callAH

Grayscale Ethereum Staking ETF Shares options

Live interpolated ETHE call and put midpoint premiums by absolute delta.Grayscale Ethereum Staking ETF Shares$0.15$0.49$0.83$1.17$1.51$14.39$15.16$15.93$16.70$17.4720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive ETHE spot · $16.46ETHE PRICE$0.19$0.23$0.27$0.32$0.42$0.53$0.64$0.82$1.12$1.41$0.47$0.47$0.49$0.51$0.54$0.57$0.61$0.64$0.67$0.70$0.77$1.00$1.25
PutsExpensive1.90×
Calls——
Skew——
Implied moveBearish±$0.92
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ13.92257.1%18.3%
25Δ14.81199.2%12.9%
30Δ15.33166.8%9.8%
35Δ16.7850.8%3.1%15.76141.2%7.4%
40Δ16.6851.6%2.7%16.10121.4%5.5%
45Δ16.5852.5%2.4%16.32109.1%4.4%
50Δ16.4854.1%2.0%16.5297.6%3.3%
55Δ16.3559.5%1.9%16.6589.5%2.7%
60Δ16.2164.9%1.7%16.7781.3%2.2%
65Δ16.0870.4%1.6%16.9073.2%1.6%
70Δ15.8774.7%1.4%17.0567.8%1.1%
75Δ15.5377.4%1.1%17.3175.2%0.9%
80Δ15.2080.0%0.9%17.5982.0%0.8%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
13.92
IV
257.1%
B/E move
18.3%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
14.81
IV
199.2%
B/E move
12.9%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
15.33
IV
166.8%
B/E move
9.8%

35Δ

Calls
Pseudo strike
16.78
IV
50.8%
B/E move
3.1%
Puts
Pseudo strike
15.76
IV
141.2%
B/E move
7.4%

40Δ

Calls
Pseudo strike
16.68
IV
51.6%
B/E move
2.7%
Puts
Pseudo strike
16.10
IV
121.4%
B/E move
5.5%

45Δ

Calls
Pseudo strike
16.58
IV
52.5%
B/E move
2.4%
Puts
Pseudo strike
16.32
IV
109.1%
B/E move
4.4%

50Δ

Calls
Pseudo strike
16.48
IV
54.1%
B/E move
2.0%
Puts
Pseudo strike
16.52
IV
97.6%
B/E move
3.3%

55Δ

Calls
Pseudo strike
16.35
IV
59.5%
B/E move
1.9%
Puts
Pseudo strike
16.65
IV
89.5%
B/E move
2.7%

60Δ

Calls
Pseudo strike
16.21
IV
64.9%
B/E move
1.7%
Puts
Pseudo strike
16.77
IV
81.3%
B/E move
2.2%

65Δ

Calls
Pseudo strike
16.08
IV
70.4%
B/E move
1.6%
Puts
Pseudo strike
16.90
IV
73.2%
B/E move
1.6%

70Δ

Calls
Pseudo strike
15.87
IV
74.7%
B/E move
1.4%
Puts
Pseudo strike
17.05
IV
67.8%
B/E move
1.1%

75Δ

Calls
Pseudo strike
15.53
IV
77.4%
B/E move
1.1%
Puts
Pseudo strike
17.31
IV
75.2%
B/E move
0.9%

80Δ

Calls
Pseudo strike
15.20
IV
80.0%
B/E move
0.9%
Puts
Pseudo strike
17.59
IV
82.0%
B/E move
0.8%

Options history

IV · four-Friday blend56.50%
Daily close
ETHE36.8%62.0%87.3%2026-08-13: 83.80%2026-08-14: 43.05%2026-08-18: 40.24%2026-08-19: 54.08%2026-08-20: 64.93%2026-08-21: 57.74%2026-08-24: 62.72%2026-08-25: 60.87%2026-08-26: 55.23%2026-08-28: 49.78%2026-08-31: 48.55%2026-09-01: 53.88%2026-09-02: 47.95%2026-09-03: 68.96%2026-09-04: 50.63%2026-09-08: 60.01%2026-09-09: 59.61%2026-09-10: 66.27%2026-09-11: 56.45%2026-09-14: 52.98%2026-09-15: 65.10%2026-09-16: 58.76%2026-09-17: 62.25%2026-09-18: 53.75%2026-09-21: 56.63%2026-09-22: 55.98%2026-09-24: 66.84%2026-09-25: 46.68%2026-09-28: 47.04%2026-09-29: 50.53%2026-10-01: 75.35%2026-10-02: 45.25%2026-10-05: 46.76%2026-10-06: 48.40%2026-10-07: 57.29%2026-10-08: 68.41%2026-10-09: 48.24%2026-10-12: 51.51%2026-10-13: 48.28%2026-10-14: 55.29%2026-10-15: 66.65%2026-10-16: 50.06%2026-10-19: 56.92%2026-10-20: 57.75%2026-10-21: 56.90%2026-10-22: 60.66%2026-10-23: 60.61%2026-10-26: 56.96%2026-10-27: 54.90%2026-10-28: 65.03%2026-10-29: 66.88%2026-10-30: 56.50%Aug 13Sep 22Oct 30
52 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
83.80%
43.05%
40.24%
54.08%
64.93%
57.74%
62.72%
60.87%
55.23%
49.78%
48.55%
53.88%
47.95%
68.96%
50.63%
60.01%
59.61%
66.27%
56.45%
52.98%
65.10%
58.76%
62.25%
53.75%
56.63%
55.98%
66.84%
46.68%
47.04%
50.53%
75.35%
45.25%
46.76%
48.40%
57.29%
68.41%
48.24%
51.51%
48.28%
55.29%
66.65%
50.06%
56.92%
57.75%
56.90%
60.66%
60.61%
56.96%
54.90%
65.03%
66.88%
56.50%