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ProShares Ulta SmallCap600 SAA

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Market datapartial · fetched 2026-10-22T16:37:46.714Z

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 · 2026-10-22T00:00:00.133382078Z

FundamentalsAlpha Vantage · unavailable

Share price$32.20
1D-0.2%
AH$32.15$32.18$32.20$32.23$32.255:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSAA
Sold putSold callAH

ProShares Ulta SmallCap600 options

Live interpolated SAA call and put midpoint premiums by absolute delta.ProShares Ulta SmallCap600$2.33$3.46$4.59$5.72$6.84$21.52$26.88$32.24$37.60$42.9620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SAA spot · $32.20SAA PRICE$2.45$2.45$2.45$2.45$2.45$4.36$5.03$5.03$5.19$5.59$2.45$2.45$3.01$4.06$2.85$4.92$4.04$5.09$5.18$5.28$5.38$6.52
PutsExpensive3.03×
CallsExpensive3.47×
SkewBullish-0.92 pp
Implied moveBearish±$7.37
TiltBearish15.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ26.65144.7%24.8%
30Δ28.67117.6%18.6%
35Δ40.70139.8%34.0%30.22112.9%15.5%
40Δ36.83112.1%22.0%31.38127.3%15.1%
45Δ34.5792.2%15.0%32.3178.2%8.5%
50Δ33.1076.9%10.4%33.92109.7%9.9%
55Δ32.1465.1%7.4%34.2479.6%6.2%
60Δ31.26107.8%10.6%35.3388.2%6.1%
65Δ30.09109.7%9.1%35.8579.6%4.8%
70Δ29.1593.5%6.2%36.3771.1%3.5%
75Δ28.3982.9%4.3%36.8962.5%2.1%
80Δ27.5975.2%3.0%38.2463.6%1.5%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
26.65
IV
144.7%
B/E move
24.8%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
28.67
IV
117.6%
B/E move
18.6%

35Δ

Calls
Pseudo strike
40.70
IV
139.8%
B/E move
34.0%
Puts
Pseudo strike
30.22
IV
112.9%
B/E move
15.5%

40Δ

Calls
Pseudo strike
36.83
IV
112.1%
B/E move
22.0%
Puts
Pseudo strike
31.38
IV
127.3%
B/E move
15.1%

45Δ

Calls
Pseudo strike
34.57
IV
92.2%
B/E move
15.0%
Puts
Pseudo strike
32.31
IV
78.2%
B/E move
8.5%

50Δ

Calls
Pseudo strike
33.10
IV
76.9%
B/E move
10.4%
Puts
Pseudo strike
33.92
IV
109.7%
B/E move
9.9%

55Δ

Calls
Pseudo strike
32.14
IV
65.1%
B/E move
7.4%
Puts
Pseudo strike
34.24
IV
79.6%
B/E move
6.2%

60Δ

Calls
Pseudo strike
31.26
IV
107.8%
B/E move
10.6%
Puts
Pseudo strike
35.33
IV
88.2%
B/E move
6.1%

65Δ

Calls
Pseudo strike
30.09
IV
109.7%
B/E move
9.1%
Puts
Pseudo strike
35.85
IV
79.6%
B/E move
4.8%

70Δ

Calls
Pseudo strike
29.15
IV
93.5%
B/E move
6.2%
Puts
Pseudo strike
36.37
IV
71.1%
B/E move
3.5%

75Δ

Calls
Pseudo strike
28.39
IV
82.9%
B/E move
4.3%
Puts
Pseudo strike
36.89
IV
62.5%
B/E move
2.1%

80Δ

Calls
Pseudo strike
27.59
IV
75.2%
B/E move
3.0%
Puts
Pseudo strike
38.24
IV
63.6%
B/E move
1.5%

Options history

No recorded observations