IntraAlpha
Create free account Start free

VegaShares ETF Trust VegaShares SPX NDX RTY Premium Income ETF ODTE

i

Market dataready · fetched 2026-11-12T03:16:44.380Z

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 · 2026-11-11T21:00:00.25666652Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T03:16:44.084425+00:00

Share price$23.75
1D+0.0%
AH$23.77$23.77$23.78$23.79$23.795:30 AM6:30 AM9:00 AM1:00 PM2:00 PMODTE
Sold putSold callAH

VegaShares ETF Trust VegaShares SPX NDX RTY Premium Income ETF options

Live interpolated ODTE call and put midpoint premiums by absolute delta.VegaShares ETF Trust VegaShares SPX NDX RTY Premium Income ETF$0.40$0.64$0.88$1.11$1.35$22.48$23.30$24.12$24.94$25.7620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive ODTE spot · $23.75ODTE PRICE$0.42$0.42$0.42$0.43$0.44$0.45$0.50$0.54$0.59$0.64$0.68$0.73$0.77$0.42$0.43$0.44$0.47$0.52$0.57$0.62$0.67$0.82$0.97$1.13$1.28
Puts——
CallsExpensive1.72×
Skew——
Implied moveBearish±$1.12
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ27.94112.4%19.5%21.1797.1%12.6%
25Δ26.1582.9%11.9%22.1174.5%8.7%
30Δ25.2164.6%7.9%22.6661.7%6.4%
35Δ24.7254.1%5.9%23.0952.4%4.8%
40Δ24.3445.7%4.4%23.3148.7%4.0%
45Δ23.9937.7%2.9%23.5345.1%3.3%
50Δ23.8735.5%2.6%23.7641.5%2.6%
55Δ23.7533.4%2.3%23.9837.8%1.8%
60Δ23.6331.3%2.0%24.2037.8%1.5%
65Δ23.5029.1%1.7%24.4138.1%1.3%
70Δ23.3827.0%1.3%24.6238.3%1.0%
75Δ23.2624.8%1.0%24.8438.6%0.8%
80Δ23.1422.7%0.7%

20Δ

Calls
Pseudo strike
27.94
IV
112.4%
B/E move
19.5%
Puts
Pseudo strike
21.17
IV
97.1%
B/E move
12.6%

25Δ

Calls
Pseudo strike
26.15
IV
82.9%
B/E move
11.9%
Puts
Pseudo strike
22.11
IV
74.5%
B/E move
8.7%

30Δ

Calls
Pseudo strike
25.21
IV
64.6%
B/E move
7.9%
Puts
Pseudo strike
22.66
IV
61.7%
B/E move
6.4%

35Δ

Calls
Pseudo strike
24.72
IV
54.1%
B/E move
5.9%
Puts
Pseudo strike
23.09
IV
52.4%
B/E move
4.8%

40Δ

Calls
Pseudo strike
24.34
IV
45.7%
B/E move
4.4%
Puts
Pseudo strike
23.31
IV
48.7%
B/E move
4.0%

45Δ

Calls
Pseudo strike
23.99
IV
37.7%
B/E move
2.9%
Puts
Pseudo strike
23.53
IV
45.1%
B/E move
3.3%

50Δ

Calls
Pseudo strike
23.87
IV
35.5%
B/E move
2.6%
Puts
Pseudo strike
23.76
IV
41.5%
B/E move
2.6%

55Δ

Calls
Pseudo strike
23.75
IV
33.4%
B/E move
2.3%
Puts
Pseudo strike
23.98
IV
37.8%
B/E move
1.8%

60Δ

Calls
Pseudo strike
23.63
IV
31.3%
B/E move
2.0%
Puts
Pseudo strike
24.20
IV
37.8%
B/E move
1.5%

65Δ

Calls
Pseudo strike
23.50
IV
29.1%
B/E move
1.7%
Puts
Pseudo strike
24.41
IV
38.1%
B/E move
1.3%

70Δ

Calls
Pseudo strike
23.38
IV
27.0%
B/E move
1.3%
Puts
Pseudo strike
24.62
IV
38.3%
B/E move
1.0%

75Δ

Calls
Pseudo strike
23.26
IV
24.8%
B/E move
1.0%
Puts
Pseudo strike
24.84
IV
38.6%
B/E move
0.8%

80Δ

Calls
Pseudo strike
23.14
IV
22.7%
B/E move
0.7%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend20.91%
Daily EOD
ODTE11.6%79.1%146.6%2026-10-19: 133.58%2026-10-20: 21.05%2026-10-21: 134.59%2026-10-22: 22.45%2026-10-23: 132.82%2026-10-26: 135.98%2026-10-27: 136.26%2026-10-28: 137.30%2026-10-29: 20.91%Oct 19Oct 23Oct 29
9 observations2026-10-19 — 2026-10-29
Table
DateIV (%)
133.58%
21.05%
134.59%
22.45%
132.82%
135.98%
136.26%
137.30%
20.91%