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FundStrat Granny Shots US Large Cap ETF GRNY

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Market dataready · fetched 2026-11-13T02:51:27.733Z

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 · 2026-11-13T01:00:00.037272489Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-13T02:51:27.199071+00:00

Share price$26.40
1D+0.7%
AH$26.06$26.22$26.38$26.54$26.705:30 AM6:30 AM9:00 AM1:00 PM2:00 PMGRNY
Sold putSold callAH

FundStrat Granny Shots US Large Cap ETF options

Live interpolated GRNY call and put midpoint premiums by absolute delta.FundStrat Granny Shots US Large Cap ETF$0.09$0.52$0.95$1.38$1.81$24.20$25.24$26.28$27.32$28.3620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive GRNY spot · $26.40GRNY PRICE$0.14$0.17$0.20$0.24$0.28$0.32$0.36$0.41$0.45$0.49$0.53$0.20$0.28$0.36$0.44$0.51$0.56$0.61$0.66$0.71$0.76$0.91$1.30$1.68
PutsExpensive1.05×
Calls——
Skew——
Implied moveBearish±$0.98
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ27.6433.0%5.2%25.1940.0%5.3%
25Δ27.3330.2%4.2%25.4041.4%4.8%
30Δ27.0227.3%3.1%25.6142.8%4.3%
35Δ26.8926.2%2.8%25.8344.3%3.8%
40Δ26.7725.2%2.5%26.0344.9%3.3%
45Δ26.6524.2%2.2%26.2042.1%2.9%
50Δ26.5323.3%1.9%26.3739.3%2.4%
55Δ26.4122.3%1.6%26.5436.5%2.0%
60Δ26.2921.3%1.3%26.7133.7%1.5%
65Δ26.1720.3%1.0%26.8830.9%1.1%
70Δ26.0519.3%0.7%27.1130.5%0.7%
75Δ27.5236.4%0.7%
80Δ27.9342.3%0.6%

20Δ

Calls
Pseudo strike
27.64
IV
33.0%
B/E move
5.2%
Puts
Pseudo strike
25.19
IV
40.0%
B/E move
5.3%

25Δ

Calls
Pseudo strike
27.33
IV
30.2%
B/E move
4.2%
Puts
Pseudo strike
25.40
IV
41.4%
B/E move
4.8%

30Δ

Calls
Pseudo strike
27.02
IV
27.3%
B/E move
3.1%
Puts
Pseudo strike
25.61
IV
42.8%
B/E move
4.3%

35Δ

Calls
Pseudo strike
26.89
IV
26.2%
B/E move
2.8%
Puts
Pseudo strike
25.83
IV
44.3%
B/E move
3.8%

40Δ

Calls
Pseudo strike
26.77
IV
25.2%
B/E move
2.5%
Puts
Pseudo strike
26.03
IV
44.9%
B/E move
3.3%

45Δ

Calls
Pseudo strike
26.65
IV
24.2%
B/E move
2.2%
Puts
Pseudo strike
26.20
IV
42.1%
B/E move
2.9%

50Δ

Calls
Pseudo strike
26.53
IV
23.3%
B/E move
1.9%
Puts
Pseudo strike
26.37
IV
39.3%
B/E move
2.4%

55Δ

Calls
Pseudo strike
26.41
IV
22.3%
B/E move
1.6%
Puts
Pseudo strike
26.54
IV
36.5%
B/E move
2.0%

60Δ

Calls
Pseudo strike
26.29
IV
21.3%
B/E move
1.3%
Puts
Pseudo strike
26.71
IV
33.7%
B/E move
1.5%

65Δ

Calls
Pseudo strike
26.17
IV
20.3%
B/E move
1.0%
Puts
Pseudo strike
26.88
IV
30.9%
B/E move
1.1%

70Δ

Calls
Pseudo strike
26.05
IV
19.3%
B/E move
0.7%
Puts
Pseudo strike
27.11
IV
30.5%
B/E move
0.7%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
27.52
IV
36.4%
B/E move
0.7%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
27.93
IV
42.3%
B/E move
0.6%

Options history

IV · four-Friday blend24.02%
Daily EOD
GRNY20.9%23.2%25.6%2026-10-19: 21.79%2026-10-20: 23.56%2026-10-21: 21.24%2026-10-22: 24.26%2026-10-23: 25.24%2026-10-26: 23.20%2026-10-27: 22.42%2026-10-28: 22.06%2026-10-29: 21.66%2026-10-30: 24.02%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
21.79%
23.56%
21.24%
24.26%
25.24%
23.20%
22.42%
22.06%
21.66%
24.02%