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FundStrat Granny Shots US Large Cap ETF GRNY

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Market datapartial · fetched 2026-10-23T19:43:19.661Z

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 · 2026-10-23T19:42:35.37260022Z

FundamentalsAlpha Vantage · unavailable

Share price$26.92
1D-0.0%
$26.75$26.83$26.92$27.00$27.085:30 AM6:30 AM9:00 AM1:00 PMGRNY
Sold putSold call

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$0.25$0.94$1.63$2.32$3.01$24.26$25.69$27.11$28.54$29.9620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive GRNY spot · $26.91GRNY PRICE$0.36$0.33$0.32$0.47$0.61$0.76$0.90$1.04$1.19$1.33$1.63$2.57$2.81$0.40$0.44$0.43$0.49$0.56$0.62$0.72$0.91$1.10$1.29$1.56$1.92$2.27
PutsExpensive1.12×
CallsExpensive1.46×
SkewBullish-5.31 pp
Implied moveBullish±$1.62
TiltBullish5.9% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ31.0350.4%16.6%24.4645.2%10.6%
25Δ29.3735.2%10.3%25.2438.5%7.9%
30Δ27.9623.1%5.1%25.9628.9%5.1%
35Δ27.7425.1%4.8%26.2626.9%4.3%
40Δ27.5227.2%4.5%26.5225.4%3.5%
45Δ27.3029.3%4.2%26.7923.8%2.8%
50Δ27.0831.3%3.9%27.0622.9%2.1%
55Δ26.8131.6%3.5%27.3323.9%1.9%
60Δ26.5230.9%3.0%27.5924.9%1.6%
65Δ26.2430.2%2.4%27.8525.9%1.3%
70Δ25.8432.3%2.0%28.1926.6%1.1%
75Δ24.9746.1%2.3%28.6226.8%0.8%
80Δ24.5843.1%1.8%29.0426.9%0.5%

20Δ

Calls
Pseudo strike
31.03
IV
50.4%
B/E move
16.6%
Puts
Pseudo strike
24.46
IV
45.2%
B/E move
10.6%

25Δ

Calls
Pseudo strike
29.37
IV
35.2%
B/E move
10.3%
Puts
Pseudo strike
25.24
IV
38.5%
B/E move
7.9%

30Δ

Calls
Pseudo strike
27.96
IV
23.1%
B/E move
5.1%
Puts
Pseudo strike
25.96
IV
28.9%
B/E move
5.1%

35Δ

Calls
Pseudo strike
27.74
IV
25.1%
B/E move
4.8%
Puts
Pseudo strike
26.26
IV
26.9%
B/E move
4.3%

40Δ

Calls
Pseudo strike
27.52
IV
27.2%
B/E move
4.5%
Puts
Pseudo strike
26.52
IV
25.4%
B/E move
3.5%

45Δ

Calls
Pseudo strike
27.30
IV
29.3%
B/E move
4.2%
Puts
Pseudo strike
26.79
IV
23.8%
B/E move
2.8%

50Δ

Calls
Pseudo strike
27.08
IV
31.3%
B/E move
3.9%
Puts
Pseudo strike
27.06
IV
22.9%
B/E move
2.1%

55Δ

Calls
Pseudo strike
26.81
IV
31.6%
B/E move
3.5%
Puts
Pseudo strike
27.33
IV
23.9%
B/E move
1.9%

60Δ

Calls
Pseudo strike
26.52
IV
30.9%
B/E move
3.0%
Puts
Pseudo strike
27.59
IV
24.9%
B/E move
1.6%

65Δ

Calls
Pseudo strike
26.24
IV
30.2%
B/E move
2.4%
Puts
Pseudo strike
27.85
IV
25.9%
B/E move
1.3%

70Δ

Calls
Pseudo strike
25.84
IV
32.3%
B/E move
2.0%
Puts
Pseudo strike
28.19
IV
26.6%
B/E move
1.1%

75Δ

Calls
Pseudo strike
24.97
IV
46.1%
B/E move
2.3%
Puts
Pseudo strike
28.62
IV
26.8%
B/E move
0.8%

80Δ

Calls
Pseudo strike
24.58
IV
43.1%
B/E move
1.8%
Puts
Pseudo strike
29.04
IV
26.9%
B/E move
0.5%

Options history

No recorded observations