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ProShares Russell 2000 High Income ETF ITWO

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Market dataready · fetched 2026-10-22T09:56:18.513Z

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 · 2026-10-22T00:00:03.964506336Z

FundamentalsAlpha Vantage · ready · fetched 2026-10-22T09:52:53.874666+00:00

Share price$42.64
1D-0.6%
AH$42.51$42.61$42.71$42.81$42.915:30 AM6:30 AM9:00 AM1:00 PM2:00 PMITWO
Sold putSold callAH

ProShares Russell 2000 High Income ETF options

Live interpolated ITWO call and put midpoint premiums by absolute delta.ProShares Russell 2000 High Income ETF$0.34$1.06$1.79$2.52$3.25$39.04$40.96$42.88$44.80$46.7220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive ITWO spot · $42.64ITWO PRICE$0.41$0.46$0.53$0.59$0.66$0.72$0.83$0.98$1.12$1.27$1.50$1.73$1.96$0.50$0.56$0.63$0.71$0.80$0.90$1.00$1.15$1.38$1.60$1.89$2.25$3.04
PutsExpensive1.26×
CallsCheap0.74×
SkewBearish+3.16 pp
Implied moveBearish±$1.83
TiltBearish12.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ46.4332.1%9.9%39.4935.4%8.6%
25Δ45.2026.8%7.1%40.5130.1%6.3%
30Δ44.4923.8%5.6%41.2226.6%4.8%
35Δ43.9121.5%4.4%41.7424.2%3.8%
40Δ43.5419.8%3.6%42.1722.4%3.0%
45Δ43.1618.2%2.9%42.4921.2%2.5%
50Δ42.8417.5%2.4%42.8220.1%1.9%
55Δ42.5717.5%2.1%43.1519.6%1.5%
60Δ42.2917.5%1.8%43.4819.9%1.3%
65Δ42.0217.5%1.5%43.8220.3%1.0%
70Δ41.7017.6%1.3%44.2020.7%0.8%
75Δ41.3717.7%1.1%44.6621.3%0.5%
80Δ41.0517.8%0.9%45.5024.8%0.4%

20Δ

Calls
Pseudo strike
46.43
IV
32.1%
B/E move
9.9%
Puts
Pseudo strike
39.49
IV
35.4%
B/E move
8.6%

25Δ

Calls
Pseudo strike
45.20
IV
26.8%
B/E move
7.1%
Puts
Pseudo strike
40.51
IV
30.1%
B/E move
6.3%

30Δ

Calls
Pseudo strike
44.49
IV
23.8%
B/E move
5.6%
Puts
Pseudo strike
41.22
IV
26.6%
B/E move
4.8%

35Δ

Calls
Pseudo strike
43.91
IV
21.5%
B/E move
4.4%
Puts
Pseudo strike
41.74
IV
24.2%
B/E move
3.8%

40Δ

Calls
Pseudo strike
43.54
IV
19.8%
B/E move
3.6%
Puts
Pseudo strike
42.17
IV
22.4%
B/E move
3.0%

45Δ

Calls
Pseudo strike
43.16
IV
18.2%
B/E move
2.9%
Puts
Pseudo strike
42.49
IV
21.2%
B/E move
2.5%

50Δ

Calls
Pseudo strike
42.84
IV
17.5%
B/E move
2.4%
Puts
Pseudo strike
42.82
IV
20.1%
B/E move
1.9%

55Δ

Calls
Pseudo strike
42.57
IV
17.5%
B/E move
2.1%
Puts
Pseudo strike
43.15
IV
19.6%
B/E move
1.5%

60Δ

Calls
Pseudo strike
42.29
IV
17.5%
B/E move
1.8%
Puts
Pseudo strike
43.48
IV
19.9%
B/E move
1.3%

65Δ

Calls
Pseudo strike
42.02
IV
17.5%
B/E move
1.5%
Puts
Pseudo strike
43.82
IV
20.3%
B/E move
1.0%

70Δ

Calls
Pseudo strike
41.70
IV
17.6%
B/E move
1.3%
Puts
Pseudo strike
44.20
IV
20.7%
B/E move
0.8%

75Δ

Calls
Pseudo strike
41.37
IV
17.7%
B/E move
1.1%
Puts
Pseudo strike
44.66
IV
21.3%
B/E move
0.5%

80Δ

Calls
Pseudo strike
41.05
IV
17.8%
B/E move
0.9%
Puts
Pseudo strike
45.50
IV
24.8%
B/E move
0.4%

Options history

No recorded observations