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

i

Market dataready · fetched 2026-11-12T02:50:04.366Z

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 · 2026-11-12T01:00:00.117849604Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T02:50:04.014561+00:00

Share price$55.34
1D+0.5%
AH$54.96$55.06$55.17$55.27$55.375:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSPSM
Sold putSold callAH

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$0.35$0.90$1.46$2.01$2.56$52.51$53.87$55.24$56.61$57.9720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SPSM spot · $55.34SPSM PRICE$0.47$0.46$0.48$0.51$0.55$0.65$0.74$0.84$0.93$1.00$1.06$1.12$1.18$0.41$0.51$0.53$0.59$0.65$0.73$0.82$0.91$1.00$1.18$1.47$1.75$2.40
PutsExpensive1.28×
CallsExpensive1.05×
SkewBearish+2.32 pp
Implied moveBearish±$1.56
TiltBearish12.9% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ59.4851.8%8.3%52.7738.7%5.4%
25Δ57.7237.1%5.1%53.2638.9%4.7%
30Δ56.8830.5%3.7%54.0431.8%3.3%
35Δ56.3826.2%2.8%54.4529.0%2.7%
40Δ55.9422.8%2.1%54.8526.3%2.1%
45Δ55.7022.2%1.8%55.1524.5%1.7%
50Δ55.4521.7%1.6%55.3923.3%1.4%
55Δ55.2121.1%1.3%55.6322.1%1.1%
60Δ54.9820.4%1.0%55.8720.9%0.9%
65Δ54.8518.8%0.9%56.1520.8%0.7%
70Δ54.7217.2%0.8%56.5022.1%0.5%
75Δ54.5915.6%0.7%56.8523.4%0.4%
80Δ54.4614.0%0.5%57.5427.5%0.4%

20Δ

Calls
Pseudo strike
59.48
IV
51.8%
B/E move
8.3%
Puts
Pseudo strike
52.77
IV
38.7%
B/E move
5.4%

25Δ

Calls
Pseudo strike
57.72
IV
37.1%
B/E move
5.1%
Puts
Pseudo strike
53.26
IV
38.9%
B/E move
4.7%

30Δ

Calls
Pseudo strike
56.88
IV
30.5%
B/E move
3.7%
Puts
Pseudo strike
54.04
IV
31.8%
B/E move
3.3%

35Δ

Calls
Pseudo strike
56.38
IV
26.2%
B/E move
2.8%
Puts
Pseudo strike
54.45
IV
29.0%
B/E move
2.7%

40Δ

Calls
Pseudo strike
55.94
IV
22.8%
B/E move
2.1%
Puts
Pseudo strike
54.85
IV
26.3%
B/E move
2.1%

45Δ

Calls
Pseudo strike
55.70
IV
22.2%
B/E move
1.8%
Puts
Pseudo strike
55.15
IV
24.5%
B/E move
1.7%

50Δ

Calls
Pseudo strike
55.45
IV
21.7%
B/E move
1.6%
Puts
Pseudo strike
55.39
IV
23.3%
B/E move
1.4%

55Δ

Calls
Pseudo strike
55.21
IV
21.1%
B/E move
1.3%
Puts
Pseudo strike
55.63
IV
22.1%
B/E move
1.1%

60Δ

Calls
Pseudo strike
54.98
IV
20.4%
B/E move
1.0%
Puts
Pseudo strike
55.87
IV
20.9%
B/E move
0.9%

65Δ

Calls
Pseudo strike
54.85
IV
18.8%
B/E move
0.9%
Puts
Pseudo strike
56.15
IV
20.8%
B/E move
0.7%

70Δ

Calls
Pseudo strike
54.72
IV
17.2%
B/E move
0.8%
Puts
Pseudo strike
56.50
IV
22.1%
B/E move
0.5%

75Δ

Calls
Pseudo strike
54.59
IV
15.6%
B/E move
0.7%
Puts
Pseudo strike
56.85
IV
23.4%
B/E move
0.4%

80Δ

Calls
Pseudo strike
54.46
IV
14.0%
B/E move
0.5%
Puts
Pseudo strike
57.54
IV
27.5%
B/E move
0.4%

Options history

IV · four-Friday blend19.77%
Daily EOD
SPSM18.1%19.3%20.5%2026-10-19: 19.43%2026-10-20: 18.92%2026-10-21: 18.63%2026-10-22: 19.87%2026-10-23: 19.77%2026-10-26: 20.30%2026-10-27: 18.98%2026-10-28: 18.42%2026-10-29: 18.22%2026-10-30: 19.77%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
19.43%
18.92%
18.63%
19.87%
19.77%
20.30%
18.98%
18.42%
18.22%
19.77%