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FundStrat Granny Shots US Large Cap ETF GRNY

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Market datapartial · fetched 2026-10-23T04:11:23.784Z

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$1.86$2.68$3.49$24.36$25.77$27.18$28.59$30.0020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION 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$1.88$2.41$3.26$0.38$0.40$0.43$0.50$0.56$0.62$0.75$0.92$1.09$1.26$1.49$1.78$2.06
PutsExpensive1.11×
CallsExpensive1.41×
SkewBullish-4.96 pp
Implied moveBalanced±$1.49
TiltBullish8.7% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ30.2341.7%13.2%24.6642.4%10.0%
25Δ28.7429.4%7.6%25.4534.5%7.2%
30Δ28.3127.7%6.3%26.0329.1%5.2%
35Δ27.9326.5%5.2%26.3127.3%4.3%
40Δ27.6726.2%4.6%26.6025.5%3.5%
45Δ27.4126.0%4.0%26.8823.7%2.7%
50Δ27.1525.8%3.3%27.1523.4%2.2%
55Δ26.8627.0%2.9%27.4024.0%1.9%
60Δ26.5230.2%2.7%27.6524.7%1.6%
65Δ26.1933.4%2.6%27.9025.3%1.3%
70Δ25.7437.4%2.4%28.2125.9%1.0%
75Δ25.1542.5%2.1%28.5726.4%0.7%
80Δ24.2349.7%1.9%28.9226.9%0.5%

20Δ

Calls
Pseudo strike
30.23
IV
41.7%
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
29.4%
B/E move
7.6%
Puts
Pseudo strike
25.45
IV
34.5%
B/E move
7.2%

30Δ

Calls
Pseudo strike
28.31
IV
27.7%
B/E move
6.3%
Puts
Pseudo strike
26.03
IV
29.1%
B/E move
5.2%

35Δ

Calls
Pseudo strike
27.93
IV
26.5%
B/E move
5.2%
Puts
Pseudo strike
26.31
IV
27.3%
B/E move
4.3%

40Δ

Calls
Pseudo strike
27.67
IV
26.2%
B/E move
4.6%
Puts
Pseudo strike
26.60
IV
25.5%
B/E move
3.5%

45Δ

Calls
Pseudo strike
27.41
IV
26.0%
B/E move
4.0%
Puts
Pseudo strike
26.88
IV
23.7%
B/E move
2.7%

50Δ

Calls
Pseudo strike
27.15
IV
25.8%
B/E move
3.3%
Puts
Pseudo strike
27.15
IV
23.4%
B/E move
2.2%

55Δ

Calls
Pseudo strike
26.86
IV
27.0%
B/E move
2.9%
Puts
Pseudo strike
27.40
IV
24.0%
B/E move
1.9%

60Δ

Calls
Pseudo strike
26.52
IV
30.2%
B/E move
2.7%
Puts
Pseudo strike
27.65
IV
24.7%
B/E move
1.6%

65Δ

Calls
Pseudo strike
26.19
IV
33.4%
B/E move
2.6%
Puts
Pseudo strike
27.90
IV
25.3%
B/E move
1.3%

70Δ

Calls
Pseudo strike
25.74
IV
37.4%
B/E move
2.4%
Puts
Pseudo strike
28.21
IV
25.9%
B/E move
1.0%

75Δ

Calls
Pseudo strike
25.15
IV
42.5%
B/E move
2.1%
Puts
Pseudo strike
28.57
IV
26.4%
B/E move
0.7%

80Δ

Calls
Pseudo strike
24.23
IV
49.7%
B/E move
1.9%
Puts
Pseudo strike
28.92
IV
26.9%
B/E move
0.5%

Options history

No recorded observations