IntraAlpha
Create free account Start free

Vanguard Morningstar Mega Cap ETF MGC

i

Market datapartial · fetched 2026-11-13T00:48:09.547Z

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: 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 · 2026-11-12T23:30:00.003488885Z

FundamentalsAlpha Vantage · unavailable

Share price$277.50
1D+0.5%
AH$275.97$276.92$277.87$278.81$279.765:30 AM6:30 AM9:00 AM1:00 PM2:00 PMMGC
Sold putSold callAH

Vanguard Morningstar Mega Cap ETF options

Live interpolated MGC call and put midpoint premiums by absolute delta.Vanguard Morningstar Mega Cap ETF$0.67$2.98$5.29$7.60$9.91$265.97$271.49$277.01$282.53$288.0520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ70Δ 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 PRICELive MGC spot · $277.50MGC PRICE$0.92$1.22$1.52$1.82$2.16$2.64$3.12$3.60$4.09$4.61$6.11$7.61$9.24$1.19$1.37$1.56$1.75$2.02$2.29$2.56$2.83$3.09$3.36
Puts——
CallsFair0.95×
Skew——
Implied moveBullish±$5.68
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ285.0820.7%3.1%269.0726.0%3.5%
25Δ283.6920.0%2.7%271.4022.8%2.7%
30Δ282.3719.5%2.3%273.2220.3%2.1%
35Δ281.0418.9%1.9%275.0117.9%1.5%
40Δ279.7918.5%1.6%275.8117.1%1.3%
45Δ278.8218.5%1.4%276.6116.2%1.1%
50Δ277.8618.4%1.3%277.4115.4%1.0%
55Δ276.8918.4%1.1%278.2114.6%0.8%
60Δ275.9318.3%0.9%279.0113.8%0.6%
65Δ274.9318.4%0.7%279.8113.0%0.4%
70Δ273.2020.3%0.7%
75Δ271.4822.2%0.6%
80Δ269.6224.1%0.5%

20Δ

Calls
Pseudo strike
285.08
IV
20.7%
B/E move
3.1%
Puts
Pseudo strike
269.07
IV
26.0%
B/E move
3.5%

25Δ

Calls
Pseudo strike
283.69
IV
20.0%
B/E move
2.7%
Puts
Pseudo strike
271.40
IV
22.8%
B/E move
2.7%

30Δ

Calls
Pseudo strike
282.37
IV
19.5%
B/E move
2.3%
Puts
Pseudo strike
273.22
IV
20.3%
B/E move
2.1%

35Δ

Calls
Pseudo strike
281.04
IV
18.9%
B/E move
1.9%
Puts
Pseudo strike
275.01
IV
17.9%
B/E move
1.5%

40Δ

Calls
Pseudo strike
279.79
IV
18.5%
B/E move
1.6%
Puts
Pseudo strike
275.81
IV
17.1%
B/E move
1.3%

45Δ

Calls
Pseudo strike
278.82
IV
18.5%
B/E move
1.4%
Puts
Pseudo strike
276.61
IV
16.2%
B/E move
1.1%

50Δ

Calls
Pseudo strike
277.86
IV
18.4%
B/E move
1.3%
Puts
Pseudo strike
277.41
IV
15.4%
B/E move
1.0%

55Δ

Calls
Pseudo strike
276.89
IV
18.4%
B/E move
1.1%
Puts
Pseudo strike
278.21
IV
14.6%
B/E move
0.8%

60Δ

Calls
Pseudo strike
275.93
IV
18.3%
B/E move
0.9%
Puts
Pseudo strike
279.01
IV
13.8%
B/E move
0.6%

65Δ

Calls
Pseudo strike
274.93
IV
18.4%
B/E move
0.7%
Puts
Pseudo strike
279.81
IV
13.0%
B/E move
0.4%

70Δ

Calls
Pseudo strike
273.20
IV
20.3%
B/E move
0.7%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
271.48
IV
22.2%
B/E move
0.6%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
269.62
IV
24.1%
B/E move
0.5%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend17.07%
Daily EOD
MGC14.7%16.0%17.2%2026-10-19: 15.04%2026-10-20: 15.23%2026-10-21: 14.87%2026-10-22: 15.97%2026-10-23: 16.43%2026-10-26: 15.75%2026-10-27: 15.56%2026-10-28: 15.19%2026-10-29: 15.03%2026-10-30: 17.07%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
15.04%
15.23%
14.87%
15.97%
16.43%
15.75%
15.56%
15.19%
15.03%
17.07%