IntraAlpha
Create free account Start free

State Street SPDR Portfolio Aggregate Bond Index ETF SPAB

i

Market datapartial · fetched 2026-11-13T16:12:04.939Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-12-18

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 · 2026-11-13T16:12:01.375841115Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-13T16:12:03.203246+00:00

Share price$24.54
1D+0.2%
$24.48$24.50$24.52$24.54$24.565:30 AM6:30 AM9:00 AM1:00 PMSPAB
Sold putSold call

State Street SPDR Portfolio Aggregate Bond Index ETF options

Live interpolated SPAB call and put midpoint premiums by absolute delta.State Street SPDR Portfolio Aggregate Bond Index ETF$0.17$0.26$0.35$0.44$0.53$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —55Δ C unavailable: no unambiguous, price-consistent delta bracketC —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —75Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICESPAB PRICE$0.18$0.21$0.25$0.29$0.32$0.36$0.39$0.43$0.47$0.50
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ19.1349.8%22.7%
25Δ19.7445.7%20.4%
30Δ20.3541.6%18.1%
35Δ20.9637.4%15.7%
40Δ21.5733.3%13.4%
45Δ22.1829.1%11.0%
50Δ22.7925.0%8.7%
55Δ23.4020.8%6.4%
60Δ24.0116.7%4.0%
65Δ24.6212.5%1.7%
70Δ
75Δ
80Δ

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
19.13
IV
49.8%
B/E move
22.7%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
19.74
IV
45.7%
B/E move
20.4%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
20.35
IV
41.6%
B/E move
18.1%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
20.96
IV
37.4%
B/E move
15.7%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
21.57
IV
33.3%
B/E move
13.4%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
22.18
IV
29.1%
B/E move
11.0%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
22.79
IV
25.0%
B/E move
8.7%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
23.40
IV
20.8%
B/E move
6.4%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
24.01
IV
16.7%
B/E move
4.0%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
24.62
IV
12.5%
B/E move
1.7%

70Δ

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

75Δ

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

80Δ

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

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations