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ProShares Ulta SmallCap600 SAA

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Market datapartial · fetched 2026-10-22T20:56:10.984Z

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 · 2026-10-22T20:10:00.003721983Z

FundamentalsAlpha Vantage · unavailable

Share price$32.56
1D+0.9%
AH$32.25$32.33$32.42$32.51$32.595:30 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$0.27$1.03$1.79$2.56$3.32$28.74$30.63$32.53$34.42$36.3220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SAA spot · $32.56SAA PRICE$0.35$0.43$0.52$0.63$0.78$0.93$1.11$1.32$1.52$1.80$2.09$2.50$3.00$0.46$0.54$0.65$0.78$0.92$1.10$1.28$1.47$1.67$1.87$2.22$2.63$3.10
PutsExpensive1.09×
CallsExpensive1.18×
SkewBearish+0.77 pp
Implied moveBearish±$2.40
TiltBearish4.8% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ35.7735.6%10.9%29.7542.3%10.0%
25Δ34.9633.0%8.7%30.5437.8%7.9%
30Δ34.3831.1%7.2%31.1635.0%6.3%
35Δ33.8730.1%6.0%31.6034.1%5.4%
40Δ33.5230.7%5.3%32.0433.2%4.4%
45Δ33.1631.2%4.7%32.4233.0%3.8%
50Δ32.7931.8%4.1%32.8032.8%3.2%
55Δ32.4232.3%3.6%33.1832.3%2.6%
60Δ32.0532.7%3.1%33.5431.5%2.1%
65Δ31.6233.3%2.7%33.9030.7%1.6%
70Δ31.2033.9%2.2%34.3731.2%1.3%
75Δ30.6735.3%1.9%34.8832.2%1.0%
80Δ30.0637.3%1.5%35.4532.3%0.6%

20Δ

Calls
Pseudo strike
35.77
IV
35.6%
B/E move
10.9%
Puts
Pseudo strike
29.75
IV
42.3%
B/E move
10.0%

25Δ

Calls
Pseudo strike
34.96
IV
33.0%
B/E move
8.7%
Puts
Pseudo strike
30.54
IV
37.8%
B/E move
7.9%

30Δ

Calls
Pseudo strike
34.38
IV
31.1%
B/E move
7.2%
Puts
Pseudo strike
31.16
IV
35.0%
B/E move
6.3%

35Δ

Calls
Pseudo strike
33.87
IV
30.1%
B/E move
6.0%
Puts
Pseudo strike
31.60
IV
34.1%
B/E move
5.4%

40Δ

Calls
Pseudo strike
33.52
IV
30.7%
B/E move
5.3%
Puts
Pseudo strike
32.04
IV
33.2%
B/E move
4.4%

45Δ

Calls
Pseudo strike
33.16
IV
31.2%
B/E move
4.7%
Puts
Pseudo strike
32.42
IV
33.0%
B/E move
3.8%

50Δ

Calls
Pseudo strike
32.79
IV
31.8%
B/E move
4.1%
Puts
Pseudo strike
32.80
IV
32.8%
B/E move
3.2%

55Δ

Calls
Pseudo strike
32.42
IV
32.3%
B/E move
3.6%
Puts
Pseudo strike
33.18
IV
32.3%
B/E move
2.6%

60Δ

Calls
Pseudo strike
32.05
IV
32.7%
B/E move
3.1%
Puts
Pseudo strike
33.54
IV
31.5%
B/E move
2.1%

65Δ

Calls
Pseudo strike
31.62
IV
33.3%
B/E move
2.7%
Puts
Pseudo strike
33.90
IV
30.7%
B/E move
1.6%

70Δ

Calls
Pseudo strike
31.20
IV
33.9%
B/E move
2.2%
Puts
Pseudo strike
34.37
IV
31.2%
B/E move
1.3%

75Δ

Calls
Pseudo strike
30.67
IV
35.3%
B/E move
1.9%
Puts
Pseudo strike
34.88
IV
32.2%
B/E move
1.0%

80Δ

Calls
Pseudo strike
30.06
IV
37.3%
B/E move
1.5%
Puts
Pseudo strike
35.45
IV
32.3%
B/E move
0.6%

Options history

No recorded observations