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State Street SPDR Portfolio High Yield Bond Index ETF SPHY

i

Market dataready · fetched 2026-11-13T02:12:39.700Z

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 · 2026-11-13T01:00:00.148477152Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-13T02:12:39.349105+00:00

Share price$22.45
1D-0.1%
AH$22.44$22.46$22.48$22.50$22.525:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSPHY
Sold putSold callAH

State Street SPDR Portfolio High Yield Bond Index ETF options

Live interpolated SPHY call and put midpoint premiums by absolute delta.State Street SPDR Portfolio High Yield Bond Index ETF$0.40$0.60$0.80$1.00$1.20$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ30Δ 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 P unavailable: no unambiguous, price-consistent delta bracketP —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICESPHY PRICE$0.44$0.46$0.49$0.52$0.55$0.57$0.60$0.63$0.66$0.68$0.77$0.96$1.15$0.42$0.42
Puts——
CallsExpensive8.96×
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ27.75142.2%25.6%19.92107.9%13.2%
25Δ27.15130.8%23.0%20.8582.5%9.0%
30Δ26.55119.4%20.5%
35Δ25.95108.0%17.9%
40Δ25.3696.6%15.4%
45Δ24.7685.2%12.8%
50Δ24.1673.8%10.3%
55Δ23.5662.4%7.7%
60Δ22.9651.0%5.2%
65Δ22.3639.6%2.6%
70Δ21.9133.0%1.0%
75Δ21.6833.8%0.9%
80Δ21.4634.6%0.7%

20Δ

Calls
Pseudo strike
27.75
IV
142.2%
B/E move
25.6%
Puts
Pseudo strike
19.92
IV
107.9%
B/E move
13.2%

25Δ

Calls
Pseudo strike
27.15
IV
130.8%
B/E move
23.0%
Puts
Pseudo strike
20.85
IV
82.5%
B/E move
9.0%

30Δ

Calls
Pseudo strike
26.55
IV
119.4%
B/E move
20.5%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
25.95
IV
108.0%
B/E move
17.9%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
25.36
IV
96.6%
B/E move
15.4%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
24.76
IV
85.2%
B/E move
12.8%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
24.16
IV
73.8%
B/E move
10.3%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
23.56
IV
62.4%
B/E move
7.7%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
22.96
IV
51.0%
B/E move
5.2%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
22.36
IV
39.6%
B/E move
2.6%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
21.91
IV
33.0%
B/E move
1.0%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
21.68
IV
33.8%
B/E move
0.9%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
21.46
IV
34.6%
B/E move
0.7%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend20.00%
Daily EOD
SPHY19.9%20.5%21.2%2026-10-20: 21.09%2026-10-23: 20.00%Oct 20Oct 23
2 observations2026-10-20 — 2026-10-23
Table
DateIV (%)
21.09%
20.00%