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Grayscale Bitcoin Trust ETF GBTC

i

Market dataready · fetched 2026-11-10T22:27:24.954Z

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 · 2026-11-10T22:07:25.637885072Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-10T22:27:24.430367+00:00

Share price$56.95
1D+0.2%
AH$55.99$56.39$56.79$57.19$57.595:30 AM6:30 AM9:00 AM1:00 PM2:00 PMGBTC
Sold putSold callAH

Grayscale Bitcoin Trust ETF options

Live interpolated GBTC call and put midpoint premiums by absolute delta.Grayscale Bitcoin Trust ETF$0.12$1.10$2.08$3.06$4.04$53.41$54.98$56.55$58.11$59.6820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive GBTC spot · $56.95GBTC PRICE$0.23$0.31$0.42$0.54$0.67$0.76$0.82$0.98$1.13$1.29$1.46$1.68$1.91$0.52$0.44$0.57$0.70$0.82$0.94$1.07$1.25$1.45$1.69$2.00$2.78$3.76
PutsExpensive1.54×
CallsExpensive1.47×
SkewBearish+15.85 pp
Implied moveBearish±$1.89
TiltBearish19.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ58.7439.2%3.5%53.5185.4%6.9%
25Δ58.4741.3%3.2%55.1355.4%4.0%
30Δ58.1943.2%2.9%55.5355.7%3.5%
35Δ57.9244.9%2.6%55.9356.0%3.0%
40Δ57.6346.2%2.4%56.3054.3%2.6%
45Δ57.3244.6%2.0%56.6752.1%2.2%
50Δ57.0140.9%1.5%57.0350.2%1.7%
55Δ56.7440.7%1.3%57.3650.2%1.5%
60Δ56.4740.7%1.1%57.7050.4%1.2%
65Δ56.2040.6%0.9%58.0650.9%1.0%
70Δ55.9140.3%0.7%58.4752.3%0.8%
75Δ55.6139.6%0.6%59.2862.3%0.8%
80Δ55.3038.9%0.5%60.3372.1%0.7%

20Δ

Calls
Pseudo strike
58.74
IV
39.2%
B/E move
3.5%
Puts
Pseudo strike
53.51
IV
85.4%
B/E move
6.9%

25Δ

Calls
Pseudo strike
58.47
IV
41.3%
B/E move
3.2%
Puts
Pseudo strike
55.13
IV
55.4%
B/E move
4.0%

30Δ

Calls
Pseudo strike
58.19
IV
43.2%
B/E move
2.9%
Puts
Pseudo strike
55.53
IV
55.7%
B/E move
3.5%

35Δ

Calls
Pseudo strike
57.92
IV
44.9%
B/E move
2.6%
Puts
Pseudo strike
55.93
IV
56.0%
B/E move
3.0%

40Δ

Calls
Pseudo strike
57.63
IV
46.2%
B/E move
2.4%
Puts
Pseudo strike
56.30
IV
54.3%
B/E move
2.6%

45Δ

Calls
Pseudo strike
57.32
IV
44.6%
B/E move
2.0%
Puts
Pseudo strike
56.67
IV
52.1%
B/E move
2.2%

50Δ

Calls
Pseudo strike
57.01
IV
40.9%
B/E move
1.5%
Puts
Pseudo strike
57.03
IV
50.2%
B/E move
1.7%

55Δ

Calls
Pseudo strike
56.74
IV
40.7%
B/E move
1.3%
Puts
Pseudo strike
57.36
IV
50.2%
B/E move
1.5%

60Δ

Calls
Pseudo strike
56.47
IV
40.7%
B/E move
1.1%
Puts
Pseudo strike
57.70
IV
50.4%
B/E move
1.2%

65Δ

Calls
Pseudo strike
56.20
IV
40.6%
B/E move
0.9%
Puts
Pseudo strike
58.06
IV
50.9%
B/E move
1.0%

70Δ

Calls
Pseudo strike
55.91
IV
40.3%
B/E move
0.7%
Puts
Pseudo strike
58.47
IV
52.3%
B/E move
0.8%

75Δ

Calls
Pseudo strike
55.61
IV
39.6%
B/E move
0.6%
Puts
Pseudo strike
59.28
IV
62.3%
B/E move
0.8%

80Δ

Calls
Pseudo strike
55.30
IV
38.9%
B/E move
0.5%
Puts
Pseudo strike
60.33
IV
72.1%
B/E move
0.7%

Options history

IV · four-Friday blend43.76%
Daily close
GBTC27.7%37.0%46.3%2026-08-12: 30.59%2026-08-13: 32.30%2026-08-14: 30.48%2026-08-17: 30.94%2026-08-18: 28.95%2026-08-19: 36.19%2026-08-20: 40.84%2026-08-21: 44.03%2026-08-24: 44.98%2026-08-25: 44.24%2026-08-26: 39.56%2026-08-27: 39.30%2026-08-28: 37.36%2026-08-31: 36.09%2026-09-01: 37.21%2026-09-02: 35.04%2026-09-03: 44.37%2026-09-04: 37.54%2026-09-08: 39.81%2026-09-09: 42.16%2026-09-10: 41.30%2026-09-11: 36.45%2026-09-14: 39.70%2026-09-15: 43.23%2026-09-16: 40.07%2026-09-17: 35.43%2026-09-18: 37.60%2026-09-21: 41.96%2026-09-22: 40.56%2026-09-23: 38.76%2026-09-24: 39.92%2026-09-25: 34.29%2026-09-28: 37.06%2026-09-29: 36.14%2026-09-30: 38.97%2026-10-01: 38.68%2026-10-02: 30.59%2026-10-05: 35.25%2026-10-06: 35.67%2026-10-07: 37.75%2026-10-08: 39.82%2026-10-09: 33.28%2026-10-12: 34.75%2026-10-13: 35.13%2026-10-14: 36.89%2026-10-15: 42.85%2026-10-16: 36.25%2026-10-19: 36.09%2026-10-20: 38.94%2026-10-21: 37.06%2026-10-22: 39.63%2026-10-23: 37.77%2026-10-26: 38.76%2026-10-27: 38.50%2026-10-28: 38.07%2026-10-29: 41.09%2026-10-30: 43.76%Aug 12Sep 22Oct 30
57 observations2026-08-12 — 2026-10-30
Table
DateIV (%)
30.59%
32.30%
30.48%
30.94%
28.95%
36.19%
40.84%
44.03%
44.98%
44.24%
39.56%
39.30%
37.36%
36.09%
37.21%
35.04%
44.37%
37.54%
39.81%
42.16%
41.30%
36.45%
39.70%
43.23%
40.07%
35.43%
37.60%
41.96%
40.56%
38.76%
39.92%
34.29%
37.06%
36.14%
38.97%
38.68%
30.59%
35.25%
35.67%
37.75%
39.82%
33.28%
34.75%
35.13%
36.89%
42.85%
36.25%
36.09%
38.94%
37.06%
39.63%
37.77%
38.76%
38.50%
38.07%
41.09%
43.76%