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Swan Hedged Equity US Large Cap ETF HEGD

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Market datapartial · fetched 2026-11-11T15:07:48.016Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-12-18

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 · 2026-11-11T15:02:05.661630139Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T15:07:46.797127+00:00

Share price$26.62
1D-0.2%
$26.59$26.61$26.64$26.67$26.695:30 AM6:30 AM9:00 AM1:00 PMHEGD
Sold putSold call

Swan Hedged Equity US Large Cap ETF options

Live interpolated HEGD call and put midpoint premiums by absolute delta.Swan Hedged Equity US Large Cap ETF$0.59$1.68$2.77$3.87$4.96$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —25Δ P unavailable: no unambiguous, price-consistent delta bracketP —30Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICEHEGD PRICE$0.70$1.03$1.36$1.69$2.02$2.35$2.67$3.00$3.33$3.66$3.99$4.32$4.64
Puts——
CallsExpensive4.95×
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ33.3867.2%28.0%
25Δ32.5765.6%26.2%
30Δ31.7763.9%24.4%
35Δ30.9662.3%22.7%
40Δ30.1660.7%20.9%
45Δ29.3559.1%19.1%
50Δ28.5457.5%17.3%
55Δ27.7455.8%15.5%
60Δ26.9354.2%13.7%
65Δ26.1352.6%11.9%
70Δ25.3251.0%10.1%
75Δ24.5249.4%8.3%
80Δ23.7147.8%6.5%

20Δ

Calls
Pseudo strike
33.38
IV
67.2%
B/E move
28.0%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
32.57
IV
65.6%
B/E move
26.2%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
31.77
IV
63.9%
B/E move
24.4%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
30.96
IV
62.3%
B/E move
22.7%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
30.16
IV
60.7%
B/E move
20.9%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
29.35
IV
59.1%
B/E move
19.1%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
28.54
IV
57.5%
B/E move
17.3%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
27.74
IV
55.8%
B/E move
15.5%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
26.93
IV
54.2%
B/E move
13.7%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
26.13
IV
52.6%
B/E move
11.9%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
25.32
IV
51.0%
B/E move
10.1%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
24.52
IV
49.4%
B/E move
8.3%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
23.71
IV
47.8%
B/E move
6.5%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend14.94%
Daily close
HEGD11.3%20.6%30.0%2026-08-13: 16.07%2026-08-14: 16.95%2026-08-21: 13.23%2026-08-24: 13.71%2026-08-25: 13.49%2026-08-26: 13.84%2026-08-27: 13.68%2026-08-28: 13.89%2026-08-31: 13.97%2026-09-01: 14.21%2026-09-02: 14.21%2026-09-03: 14.14%2026-09-04: 14.57%2026-09-08: 15.83%2026-09-09: 16.32%2026-09-10: 16.68%2026-09-11: 16.89%2026-09-14: 19.45%2026-09-15: 22.82%2026-09-16: 23.59%2026-09-18: 13.35%2026-09-21: 12.58%2026-09-22: 13.52%2026-09-24: 13.36%2026-09-25: 14.53%2026-09-28: 14.55%2026-09-29: 14.75%2026-09-30: 14.86%2026-10-01: 14.95%2026-10-02: 15.50%2026-10-05: 16.05%2026-10-06: 16.65%2026-10-07: 17.11%2026-10-08: 17.44%2026-10-09: 18.05%2026-10-13: 22.49%2026-10-15: 28.68%2026-10-16: 13.37%2026-10-19: 13.64%2026-10-20: 13.37%2026-10-21: 13.79%2026-10-22: 14.20%2026-10-23: 14.25%2026-10-26: 13.94%2026-10-27: 14.18%2026-10-28: 14.41%2026-10-29: 14.51%2026-10-30: 14.94%Aug 13Sep 24Oct 30
48 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
16.07%
16.95%
13.23%
13.71%
13.49%
13.84%
13.68%
13.89%
13.97%
14.21%
14.21%
14.14%
14.57%
15.83%
16.32%
16.68%
16.89%
19.45%
22.82%
23.59%
13.35%
12.58%
13.52%
13.36%
14.53%
14.55%
14.75%
14.86%
14.95%
15.50%
16.05%
16.65%
17.11%
17.44%
18.05%
22.49%
28.68%
13.37%
13.64%
13.37%
13.79%
14.20%
14.25%
13.94%
14.18%
14.41%
14.51%
14.94%