IntraAlpha
Create free account Start free

State Street SPDR Portfolio S&P 600 Small Cap ETF SPSM

i

Market datapartial · fetched 2026-10-22T16:36:56.092Z

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 · 2026-10-22T16:36:54.182498471Z

FundamentalsAlpha Vantage · unavailable

Share price$53.72
1D+0.6%
$53.31$53.43$53.55$53.67$53.795:30 AM6:30 AM9:00 AM1:00 PMSPSM
Sold putSold call

State Street SPDR Portfolio S&P 600 Small Cap ETF options

Live interpolated SPSM call and put midpoint premiums by absolute delta.State Street SPDR Portfolio S&P 600 Small Cap ETF$0.37$1.32$2.26$3.21$4.15$49.56$51.50$53.45$55.39$57.3320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SPSM spot · $53.72SPSM PRICE$0.48$0.51$0.53$0.58$0.75$0.92$1.09$1.23$1.37$1.52$1.80$2.08$2.41$0.54$0.50$0.63$0.80$0.97$1.16$1.34$1.58$1.81$2.12$2.47$2.99$3.88
PutsExpensive1.22×
CallsExpensive1.12×
SkewBearish+3.54 pp
Implied moveBearish±$2.43
TiltBearish15.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ57.9829.2%8.8%50.2630.9%7.4%
25Δ56.5423.5%6.2%51.8121.5%4.5%
30Δ55.6019.3%4.5%52.3620.5%3.7%
35Δ54.9416.5%3.4%52.7521.2%3.3%
40Δ54.6117.3%3.1%53.1521.5%2.8%
45Δ54.2918.0%2.8%53.5721.4%2.4%
50Δ53.9618.7%2.5%53.9821.4%2.0%
55Δ53.6318.0%2.1%54.3921.3%1.7%
60Δ53.3017.3%1.8%54.8121.2%1.3%
65Δ52.9716.7%1.4%55.2621.3%1.1%
70Δ52.5816.9%1.2%55.7521.6%0.8%
75Δ52.1917.2%1.0%56.3922.5%0.6%
80Δ51.7617.2%0.9%57.3625.2%0.4%

20Δ

Calls
Pseudo strike
57.98
IV
29.2%
B/E move
8.8%
Puts
Pseudo strike
50.26
IV
30.9%
B/E move
7.4%

25Δ

Calls
Pseudo strike
56.54
IV
23.5%
B/E move
6.2%
Puts
Pseudo strike
51.81
IV
21.5%
B/E move
4.5%

30Δ

Calls
Pseudo strike
55.60
IV
19.3%
B/E move
4.5%
Puts
Pseudo strike
52.36
IV
20.5%
B/E move
3.7%

35Δ

Calls
Pseudo strike
54.94
IV
16.5%
B/E move
3.4%
Puts
Pseudo strike
52.75
IV
21.2%
B/E move
3.3%

40Δ

Calls
Pseudo strike
54.61
IV
17.3%
B/E move
3.1%
Puts
Pseudo strike
53.15
IV
21.5%
B/E move
2.8%

45Δ

Calls
Pseudo strike
54.29
IV
18.0%
B/E move
2.8%
Puts
Pseudo strike
53.57
IV
21.4%
B/E move
2.4%

50Δ

Calls
Pseudo strike
53.96
IV
18.7%
B/E move
2.5%
Puts
Pseudo strike
53.98
IV
21.4%
B/E move
2.0%

55Δ

Calls
Pseudo strike
53.63
IV
18.0%
B/E move
2.1%
Puts
Pseudo strike
54.39
IV
21.3%
B/E move
1.7%

60Δ

Calls
Pseudo strike
53.30
IV
17.3%
B/E move
1.8%
Puts
Pseudo strike
54.81
IV
21.2%
B/E move
1.3%

65Δ

Calls
Pseudo strike
52.97
IV
16.7%
B/E move
1.4%
Puts
Pseudo strike
55.26
IV
21.3%
B/E move
1.1%

70Δ

Calls
Pseudo strike
52.58
IV
16.9%
B/E move
1.2%
Puts
Pseudo strike
55.75
IV
21.6%
B/E move
0.8%

75Δ

Calls
Pseudo strike
52.19
IV
17.2%
B/E move
1.0%
Puts
Pseudo strike
56.39
IV
22.5%
B/E move
0.6%

80Δ

Calls
Pseudo strike
51.76
IV
17.2%
B/E move
0.9%
Puts
Pseudo strike
57.36
IV
25.2%
B/E move
0.4%

Options history

No recorded observations