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FundStrat Granny Shots US Large Cap ETF GRNY

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Market datapartial · fetched 2026-10-23T02:27:03.545Z

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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-23T00:00:00.070973318Z

FundamentalsAlpha Vantage · unavailable

Share price$26.99
1D-1.1%
AH$26.82$26.96$27.11$27.25$27.405:30 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$0.23$1.04$1.85$2.67$3.48$24.39$25.78$27.17$28.56$29.9520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive GRNY spot · $26.99GRNY PRICE$0.32$0.31$0.38$0.45$0.55$0.65$0.74$0.92$1.20$1.49$1.87$2.41$3.25$0.38$0.40$0.43$0.50$0.56$0.62$0.75$0.92$1.09$1.26$1.50$1.79$2.07
PutsExpensive1.09×
CallsExpensive1.39×
SkewBullish-4.70 pp
Implied moveBalanced±$1.49
TiltBullish8.4% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ30.2341.3%13.2%24.6642.4%10.0%
25Δ28.7428.9%7.6%25.4534.2%7.2%
30Δ28.3127.2%6.3%26.0328.6%5.2%
35Δ27.9326.0%5.2%26.3126.9%4.3%
40Δ27.6725.8%4.6%26.6025.1%3.5%
45Δ27.4125.5%4.0%26.8923.4%2.7%
50Δ27.1525.3%3.4%27.1523.0%2.2%
55Δ26.8626.4%2.9%27.4023.7%1.9%
60Δ26.5329.6%2.7%27.6524.3%1.6%
65Δ26.1932.7%2.6%27.9025.0%1.3%
70Δ25.7536.7%2.4%28.2225.5%1.0%
75Δ25.1641.7%2.1%28.5826.0%0.7%
80Δ24.2448.6%1.9%28.9326.6%0.5%

20Δ

Calls
Pseudo strike
30.23
IV
41.3%
B/E move
13.2%
Puts
Pseudo strike
24.66
IV
42.4%
B/E move
10.0%

25Δ

Calls
Pseudo strike
28.74
IV
28.9%
B/E move
7.6%
Puts
Pseudo strike
25.45
IV
34.2%
B/E move
7.2%

30Δ

Calls
Pseudo strike
28.31
IV
27.2%
B/E move
6.3%
Puts
Pseudo strike
26.03
IV
28.6%
B/E move
5.2%

35Δ

Calls
Pseudo strike
27.93
IV
26.0%
B/E move
5.2%
Puts
Pseudo strike
26.31
IV
26.9%
B/E move
4.3%

40Δ

Calls
Pseudo strike
27.67
IV
25.8%
B/E move
4.6%
Puts
Pseudo strike
26.60
IV
25.1%
B/E move
3.5%

45Δ

Calls
Pseudo strike
27.41
IV
25.5%
B/E move
4.0%
Puts
Pseudo strike
26.89
IV
23.4%
B/E move
2.7%

50Δ

Calls
Pseudo strike
27.15
IV
25.3%
B/E move
3.4%
Puts
Pseudo strike
27.15
IV
23.0%
B/E move
2.2%

55Δ

Calls
Pseudo strike
26.86
IV
26.4%
B/E move
2.9%
Puts
Pseudo strike
27.40
IV
23.7%
B/E move
1.9%

60Δ

Calls
Pseudo strike
26.53
IV
29.6%
B/E move
2.7%
Puts
Pseudo strike
27.65
IV
24.3%
B/E move
1.6%

65Δ

Calls
Pseudo strike
26.19
IV
32.7%
B/E move
2.6%
Puts
Pseudo strike
27.90
IV
25.0%
B/E move
1.3%

70Δ

Calls
Pseudo strike
25.75
IV
36.7%
B/E move
2.4%
Puts
Pseudo strike
28.22
IV
25.5%
B/E move
1.0%

75Δ

Calls
Pseudo strike
25.16
IV
41.7%
B/E move
2.1%
Puts
Pseudo strike
28.58
IV
26.0%
B/E move
0.7%

80Δ

Calls
Pseudo strike
24.24
IV
48.6%
B/E move
1.9%
Puts
Pseudo strike
28.93
IV
26.6%
B/E move
0.5%

Options history

No recorded observations