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State Street SPDR S&P Kensho Intelligent Structures ETF SIMS

i

Market dataready · fetched 2026-11-12T00:48:37.389Z

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 · 2026-11-11T23:30:00.003079612Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T00:48:37.076340+00:00

Share price$45.22
1D+0.0%
AH$45.18$45.19$45.20$45.21$45.225:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSIMS
Sold putSold callAH

State Street SPDR S&P Kensho Intelligent Structures ETF options

Live interpolated SIMS call and put midpoint premiums by absolute delta.State Street SPDR S&P Kensho Intelligent Structures ETF$1.00$1.23$1.46$1.69$1.93$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —50Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —55Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICESIMS PRICE$1.02$1.05$1.13$1.51$1.60$1.69$1.77$1.86
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ48.8081.9%10.2%
35Δ47.4367.6%7.2%
40Δ46.5859.6%5.5%
45Δ
50Δ
55Δ
60Δ46.0338.3%1.5%
65Δ46.2535.4%1.3%
70Δ46.4632.6%1.0%
75Δ46.6829.7%0.7%
80Δ46.9026.8%0.4%

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
IV
B/E move

30Δ

Calls
Pseudo strike
48.80
IV
81.9%
B/E move
10.2%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
47.43
IV
67.6%
B/E move
7.2%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
46.58
IV
59.6%
B/E move
5.5%
Puts
Pseudo strike
IV
B/E move

45Δ

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

50Δ

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

55Δ

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

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
46.03
IV
38.3%
B/E move
1.5%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
46.25
IV
35.4%
B/E move
1.3%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
46.46
IV
32.6%
B/E move
1.0%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
46.68
IV
29.7%
B/E move
0.7%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
46.90
IV
26.8%
B/E move
0.4%

Options history

IV · four-Friday blend28.87%
Daily EOD
SIMS26.5%27.8%29.0%2026-10-19: 28.05%2026-10-21: 27.07%2026-10-22: 28.07%2026-10-23: 28.03%2026-10-26: 28.37%2026-10-27: 26.82%2026-10-29: 26.70%2026-10-30: 28.87%Oct 19Oct 23Oct 30
8 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
28.05%
27.07%
28.07%
28.03%
28.37%
26.82%
26.70%
28.87%