IntraAlpha
Create free account Start free

iShares Core S&P 500 ETF IVV

i

Market dataready · fetched 2026-10-15T20:02:46.981Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-10-16

Calculation methodology

PriceAlpaca · sip · 2026-10-15T20:02:31.770173894Z

FundamentalsAlpha Vantage · ready

Share price$775.43
1D+0.6%
AH$767$770$772$774$7775:30 AM6:30 AM9:00 AM1:00 PM2:00 PMIVV
Sold putSold callAH

iShares Core S&P 500 ETF options

Live interpolated IVV call and put midpoint premiums by absolute delta.iShares Core S&P 500 ETF$0.63$2.27$3.91$5.55$7.19$766.52$770.54$774.56$778.57$782.5920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔATM · $775.43OPTION PRICELive IVV spot · $775.43IVV PRICE$0.85$0.81$0.90$1.11$1.43$1.81$2.08$2.35$2.82$3.45$3.99$5.26$6.71$1.63$1.70$1.60$1.84$2.34$2.70$2.89$2.98$3.05$3.05$3.38$3.80$4.63
PutsExpensive1.76×
CallsFair1.04×
SkewBearish+4.31 pp
Implied moveBearish±$4.97
TiltBearish2.9% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ782.0318.8%1.0%764.1534.6%1.7%
25Δ779.2213.4%0.6%767.9428.0%1.2%
30Δ778.0211.7%0.4%771.1820.6%0.8%
35Δ777.3411.6%0.4%772.5819.1%0.6%
40Δ776.7712.2%0.4%773.4920.1%0.6%
45Δ776.1813.1%0.3%774.5419.5%0.5%
50Δ775.5512.9%0.3%775.5117.8%0.4%
55Δ774.8912.5%0.2%776.3015.8%0.3%
60Δ774.1912.9%0.2%776.9513.9%0.2%
65Δ773.3713.7%0.2%777.4012.1%0.1%
70Δ772.5913.8%0.1%777.9911.5%0.1%
75Δ771.2115.8%0.1%778.6211.2%0.1%
80Δ769.6117.5%0.1%779.6111.8%0.1%

20Δ

Calls
Pseudo strike
782.03
IV
18.8%
B/E move
1.0%
Puts
Pseudo strike
764.15
IV
34.6%
B/E move
1.7%

25Δ

Calls
Pseudo strike
779.22
IV
13.4%
B/E move
0.6%
Puts
Pseudo strike
767.94
IV
28.0%
B/E move
1.2%

30Δ

Calls
Pseudo strike
778.02
IV
11.7%
B/E move
0.4%
Puts
Pseudo strike
771.18
IV
20.6%
B/E move
0.8%

35Δ

Calls
Pseudo strike
777.34
IV
11.6%
B/E move
0.4%
Puts
Pseudo strike
772.58
IV
19.1%
B/E move
0.6%

40Δ

Calls
Pseudo strike
776.77
IV
12.2%
B/E move
0.4%
Puts
Pseudo strike
773.49
IV
20.1%
B/E move
0.6%

45Δ

Calls
Pseudo strike
776.18
IV
13.1%
B/E move
0.3%
Puts
Pseudo strike
774.54
IV
19.5%
B/E move
0.5%

50Δ

Calls
Pseudo strike
775.55
IV
12.9%
B/E move
0.3%
Puts
Pseudo strike
775.51
IV
17.8%
B/E move
0.4%

55Δ

Calls
Pseudo strike
774.89
IV
12.5%
B/E move
0.2%
Puts
Pseudo strike
776.30
IV
15.8%
B/E move
0.3%

60Δ

Calls
Pseudo strike
774.19
IV
12.9%
B/E move
0.2%
Puts
Pseudo strike
776.95
IV
13.9%
B/E move
0.2%

65Δ

Calls
Pseudo strike
773.37
IV
13.7%
B/E move
0.2%
Puts
Pseudo strike
777.40
IV
12.1%
B/E move
0.1%

70Δ

Calls
Pseudo strike
772.59
IV
13.8%
B/E move
0.1%
Puts
Pseudo strike
777.99
IV
11.5%
B/E move
0.1%

75Δ

Calls
Pseudo strike
771.21
IV
15.8%
B/E move
0.1%
Puts
Pseudo strike
778.62
IV
11.2%
B/E move
0.1%

80Δ

Calls
Pseudo strike
769.61
IV
17.5%
B/E move
0.1%
Puts
Pseudo strike
779.61
IV
11.8%
B/E move
0.1%