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State Street SPDR US Small Cap Low Volatility Index ETF SMLV

i

Market dataready · fetched 2026-11-12T02:48:02.494Z

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 · 2026-11-12T01:00:00.139441187Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T02:48:01.781654+00:00

Share price$157.73
1D-0.3%
AH$156.96$157.25$157.55$157.85$158.145:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSMLV
Sold putSold callAH

State Street SPDR US Small Cap Low Volatility Index ETF options

Live interpolated SMLV call and put midpoint premiums by absolute delta.State Street SPDR US Small Cap Low Volatility Index ETF$2.37$3.53$4.69$5.85$7.01$150.88$154.33$157.78$161.23$164.6820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive SMLV spot · $157.73SMLV PRICE$2.50$2.50$2.50$2.50$2.57$2.60$2.60$2.62$3.39$4.34$2.50$2.50$2.50$2.50$2.50$2.50$2.56$2.63$2.71$2.79$6.68
Puts——
Calls——
Skew——
Implied moveBalanced±$5.00
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ148.2565.2%7.6%
30Δ151.9151.5%5.3%
35Δ162.6345.2%4.7%154.3042.0%3.8%
40Δ160.5137.2%3.3%155.9834.8%2.7%
45Δ159.0431.1%2.4%157.1429.4%2.0%
50Δ158.0426.3%1.8%158.0125.0%1.4%
55Δ157.3223.1%1.4%158.6122.0%1.1%
60Δ156.7820.2%1.0%159.1419.4%0.8%
65Δ156.3917.5%0.8%159.5417.5%0.6%
70Δ155.9815.0%0.6%159.9415.5%0.4%
75Δ155.1216.9%0.5%
80Δ154.0618.8%0.4%163.8227.2%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
148.25
IV
65.2%
B/E move
7.6%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
151.91
IV
51.5%
B/E move
5.3%

35Δ

Calls
Pseudo strike
162.63
IV
45.2%
B/E move
4.7%
Puts
Pseudo strike
154.30
IV
42.0%
B/E move
3.8%

40Δ

Calls
Pseudo strike
160.51
IV
37.2%
B/E move
3.3%
Puts
Pseudo strike
155.98
IV
34.8%
B/E move
2.7%

45Δ

Calls
Pseudo strike
159.04
IV
31.1%
B/E move
2.4%
Puts
Pseudo strike
157.14
IV
29.4%
B/E move
2.0%

50Δ

Calls
Pseudo strike
158.04
IV
26.3%
B/E move
1.8%
Puts
Pseudo strike
158.01
IV
25.0%
B/E move
1.4%

55Δ

Calls
Pseudo strike
157.32
IV
23.1%
B/E move
1.4%
Puts
Pseudo strike
158.61
IV
22.0%
B/E move
1.1%

60Δ

Calls
Pseudo strike
156.78
IV
20.2%
B/E move
1.0%
Puts
Pseudo strike
159.14
IV
19.4%
B/E move
0.8%

65Δ

Calls
Pseudo strike
156.39
IV
17.5%
B/E move
0.8%
Puts
Pseudo strike
159.54
IV
17.5%
B/E move
0.6%

70Δ

Calls
Pseudo strike
155.98
IV
15.0%
B/E move
0.6%
Puts
Pseudo strike
159.94
IV
15.5%
B/E move
0.4%

75Δ

Calls
Pseudo strike
155.12
IV
16.9%
B/E move
0.5%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
154.06
IV
18.8%
B/E move
0.4%
Puts
Pseudo strike
163.82
IV
27.2%
B/E move
0.4%

Options history

IV · four-Friday blend14.57%
Daily EOD
SMLV13.0%15.0%17.0%2026-10-19: 14.75%2026-10-20: 14.53%2026-10-21: 14.77%2026-10-22: 16.07%2026-10-23: 16.71%2026-10-26: 14.67%2026-10-27: 16.13%2026-10-28: 13.37%2026-10-29: 13.29%2026-10-30: 14.57%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
14.75%
14.53%
14.77%
16.07%
16.71%
14.67%
16.13%
13.37%
13.29%
14.57%