IntraAlpha
Create free account Start free

iShares Core S&P 500 ETF IVV

i

Market dataready · fetched 2026-10-20T06:05:34.599Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-20

Calculation methodology

Options historyRecorded provider observations · delta-comparison-v1 · expiration-specific

History data

PriceAlpaca · sip · 2026-10-20T00:00:00.095871282Z

FundamentalsAlpha Vantage · ready

Share price$770.01
1D-0.0%
AH$769$770$771$773$7745:30 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$1.99$12.71$23.43$34.14$44.86$729.52$750.41$771.29$792.17$813.0620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive IVV spot · $770.01IVV PRICE$3.15$4.30$5.40$6.91$8.77$10.82$13.15$15.88$18.71$22.22$27.33$33.27$41.77$4.66$5.80$7.12$8.23$9.40$11.73$12.72$14.34$16.11$18.22$20.51$23.67$27.35
PutsExpensive1.40×
CallsExpensive1.48×
SkewBullish-1.13 pp
Implied moveBalanced±$25.87
TiltBullish8.1% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ797.3812.6%4.0%740.0218.1%4.5%
25Δ793.2613.1%3.6%748.2216.9%3.6%
30Δ788.4912.9%3.1%754.4716.2%2.9%
35Δ784.8213.3%2.8%760.2615.2%2.3%
40Δ781.2714.0%2.6%765.1014.3%1.9%
45Δ777.4014.6%2.4%769.0815.0%1.6%
50Δ773.3215.1%2.1%773.2013.9%1.2%
55Δ768.9515.7%1.9%776.9713.4%1.0%
60Δ764.3416.0%1.7%780.5813.0%0.7%
65Δ759.2716.5%1.5%784.2412.7%0.5%
70Δ752.9617.7%1.3%787.9312.4%0.3%
75Δ745.6818.8%1.2%792.2212.4%0.2%
80Δ735.9720.5%1.0%796.9712.4%0.1%

20Δ

Calls
Pseudo strike
797.38
IV
12.6%
B/E move
4.0%
Puts
Pseudo strike
740.02
IV
18.1%
B/E move
4.5%

25Δ

Calls
Pseudo strike
793.26
IV
13.1%
B/E move
3.6%
Puts
Pseudo strike
748.22
IV
16.9%
B/E move
3.6%

30Δ

Calls
Pseudo strike
788.49
IV
12.9%
B/E move
3.1%
Puts
Pseudo strike
754.47
IV
16.2%
B/E move
2.9%

35Δ

Calls
Pseudo strike
784.82
IV
13.3%
B/E move
2.8%
Puts
Pseudo strike
760.26
IV
15.2%
B/E move
2.3%

40Δ

Calls
Pseudo strike
781.27
IV
14.0%
B/E move
2.6%
Puts
Pseudo strike
765.10
IV
14.3%
B/E move
1.9%

45Δ

Calls
Pseudo strike
777.40
IV
14.6%
B/E move
2.4%
Puts
Pseudo strike
769.08
IV
15.0%
B/E move
1.6%

50Δ

Calls
Pseudo strike
773.32
IV
15.1%
B/E move
2.1%
Puts
Pseudo strike
773.20
IV
13.9%
B/E move
1.2%

55Δ

Calls
Pseudo strike
768.95
IV
15.7%
B/E move
1.9%
Puts
Pseudo strike
776.97
IV
13.4%
B/E move
1.0%

60Δ

Calls
Pseudo strike
764.34
IV
16.0%
B/E move
1.7%
Puts
Pseudo strike
780.58
IV
13.0%
B/E move
0.7%

65Δ

Calls
Pseudo strike
759.27
IV
16.5%
B/E move
1.5%
Puts
Pseudo strike
784.24
IV
12.7%
B/E move
0.5%

70Δ

Calls
Pseudo strike
752.96
IV
17.7%
B/E move
1.3%
Puts
Pseudo strike
787.93
IV
12.4%
B/E move
0.3%

75Δ

Calls
Pseudo strike
745.68
IV
18.8%
B/E move
1.2%
Puts
Pseudo strike
792.22
IV
12.4%
B/E move
0.2%

80Δ

Calls
Pseudo strike
735.97
IV
20.5%
B/E move
1.0%
Puts
Pseudo strike
796.97
IV
12.4%
B/E move
0.1%

Options history

IVV14.2214.2314.252026-10-19T20:00:06.221000+00:00: 14.23%Oct 19Oct 19
Table
ObservationIVSkewImplied move
14.23%3.84 pp3.36%