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Gotham Enhanced 500 ETF GSPY

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Market datapartial · fetched 2026-11-12T03:10:47.397Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2027-01-15

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 · 2026-11-12T01:00:00.054360365Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T03:10:45.994993+00:00

Share price$42.17
1D-0.1%
AH$42.15$42.17$42.20$42.22$42.245:30 AM6:30 AM9:00 AM1:00 PM2:00 PMGSPY
Sold putSold callAH

Gotham Enhanced 500 ETF options

Live interpolated GSPY call and put midpoint premiums by absolute delta.Gotham Enhanced 500 ETF$0.00$0.27$0.54$0.81$1.08$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —35Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —40Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —45Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —50Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —55Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —60Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —65Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —70Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —75Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICEGSPY PRICE
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ
40Δ
45Δ
50Δ
55Δ
60Δ
65Δ
70Δ
75Δ
80Δ

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend16.02%
Daily close
GSPY13.0%18.1%23.1%2026-08-14: 14.74%2026-08-17: 16.49%2026-08-21: 14.53%2026-08-24: 14.25%2026-08-25: 14.51%2026-08-26: 14.50%2026-08-27: 14.25%2026-08-28: 14.15%2026-08-31: 14.42%2026-09-01: 14.64%2026-09-02: 14.11%2026-09-03: 13.71%2026-09-04: 13.92%2026-09-08: 15.27%2026-09-09: 15.63%2026-09-10: 16.03%2026-09-11: 16.13%2026-09-16: 19.14%2026-09-17: 22.42%2026-09-18: 14.14%2026-09-21: 13.76%2026-09-22: 13.69%2026-09-23: 14.00%2026-09-24: 14.51%2026-09-25: 14.11%2026-09-28: 14.72%2026-09-29: 15.16%2026-09-30: 15.08%2026-10-01: 15.28%2026-10-02: 14.86%2026-10-05: 14.70%2026-10-06: 15.00%2026-10-07: 15.09%2026-10-08: 15.19%2026-10-09: 15.27%2026-10-12: 16.78%2026-10-13: 17.68%2026-10-14: 20.02%2026-10-16: 14.70%2026-10-19: 14.30%2026-10-20: 14.15%2026-10-21: 13.97%2026-10-22: 18.90%2026-10-23: 15.54%2026-10-26: 14.71%2026-10-27: 14.65%2026-10-28: 14.41%2026-10-29: 14.31%2026-10-30: 16.02%Aug 14Sep 25Oct 30
49 observations2026-08-14 — 2026-10-30
Table
DateIV (%)
14.74%
16.49%
14.53%
14.25%
14.51%
14.50%
14.25%
14.15%
14.42%
14.64%
14.11%
13.71%
13.92%
15.27%
15.63%
16.03%
16.13%
19.14%
22.42%
14.14%
13.76%
13.69%
14.00%
14.51%
14.11%
14.72%
15.16%
15.08%
15.28%
14.86%
14.70%
15.00%
15.09%
15.19%
15.27%
16.78%
17.68%
20.02%
14.70%
14.30%
14.15%
13.97%
18.90%
15.54%
14.71%
14.65%
14.41%
14.31%
16.02%