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State Street SPDR S&P 500 ETF Trust SPY

i

Market dataready · fetched 2026-11-12T13:30:52.470Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-12T13:30:50.432019031Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T13:30:52.366456+00:00

Share price$754.33
1D
Price history unavailable.

State Street SPDR S&P 500 ETF Trust options

Live interpolated SPY call and put midpoint premiums by absolute delta.State Street SPDR S&P 500 ETF Trust$0.62$3.41$6.20$8.99$11.77$741.44$748.06$754.67$761.28$767.8920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SPY spot · $754.33SPY PRICE$0.93$1.25$1.64$2.07$2.56$3.10$3.73$4.44$5.29$6.30$7.51$9.02$10.97$1.21$1.55$1.91$2.28$2.67$3.11$3.55$4.04$4.61$5.22$5.88$6.63$7.51
PutsExpensive1.59×
CallsExpensive2.09×
SkewBullish-1.50 pp
Implied moveBullish±$7.28
TiltBullish7.9% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ761.5021.1%1.1%745.4727.3%1.3%
25Δ760.1721.4%0.9%747.5526.1%1.1%
30Δ759.0121.9%0.8%749.2625.2%0.9%
35Δ757.8722.3%0.7%750.7724.3%0.8%
40Δ756.7522.8%0.7%752.1123.6%0.6%
45Δ755.6223.3%0.6%753.3223.0%0.5%
50Δ754.4623.8%0.5%754.4622.4%0.5%
55Δ753.2624.4%0.4%755.5421.8%0.4%
60Δ751.9725.1%0.4%756.6121.5%0.3%
65Δ750.5425.9%0.3%757.6821.1%0.2%
70Δ748.9426.9%0.3%758.7520.6%0.2%
75Δ747.0628.1%0.2%759.8620.2%0.1%
80Δ744.7529.5%0.2%761.0519.8%0.1%

20Δ

Calls
Pseudo strike
761.50
IV
21.1%
B/E move
1.1%
Puts
Pseudo strike
745.47
IV
27.3%
B/E move
1.3%

25Δ

Calls
Pseudo strike
760.17
IV
21.4%
B/E move
0.9%
Puts
Pseudo strike
747.55
IV
26.1%
B/E move
1.1%

30Δ

Calls
Pseudo strike
759.01
IV
21.9%
B/E move
0.8%
Puts
Pseudo strike
749.26
IV
25.2%
B/E move
0.9%

35Δ

Calls
Pseudo strike
757.87
IV
22.3%
B/E move
0.7%
Puts
Pseudo strike
750.77
IV
24.3%
B/E move
0.8%

40Δ

Calls
Pseudo strike
756.75
IV
22.8%
B/E move
0.7%
Puts
Pseudo strike
752.11
IV
23.6%
B/E move
0.6%

45Δ

Calls
Pseudo strike
755.62
IV
23.3%
B/E move
0.6%
Puts
Pseudo strike
753.32
IV
23.0%
B/E move
0.5%

50Δ

Calls
Pseudo strike
754.46
IV
23.8%
B/E move
0.5%
Puts
Pseudo strike
754.46
IV
22.4%
B/E move
0.5%

55Δ

Calls
Pseudo strike
753.26
IV
24.4%
B/E move
0.4%
Puts
Pseudo strike
755.54
IV
21.8%
B/E move
0.4%

60Δ

Calls
Pseudo strike
751.97
IV
25.1%
B/E move
0.4%
Puts
Pseudo strike
756.61
IV
21.5%
B/E move
0.3%

65Δ

Calls
Pseudo strike
750.54
IV
25.9%
B/E move
0.3%
Puts
Pseudo strike
757.68
IV
21.1%
B/E move
0.2%

70Δ

Calls
Pseudo strike
748.94
IV
26.9%
B/E move
0.3%
Puts
Pseudo strike
758.75
IV
20.6%
B/E move
0.2%

75Δ

Calls
Pseudo strike
747.06
IV
28.1%
B/E move
0.2%
Puts
Pseudo strike
759.86
IV
20.2%
B/E move
0.1%

80Δ

Calls
Pseudo strike
744.75
IV
29.5%
B/E move
0.2%
Puts
Pseudo strike
761.05
IV
19.8%
B/E move
0.1%

Options history

IV · four-Friday blend16.47%
Daily close
SPY10.0%13.5%16.9%2026-08-14: 10.45%2026-08-17: 11.05%2026-08-18: 11.85%2026-08-19: 11.23%2026-08-20: 13.08%2026-08-21: 11.68%2026-08-24: 12.62%2026-08-25: 12.48%2026-08-26: 12.92%2026-08-27: 11.56%2026-08-28: 10.61%2026-08-31: 11.39%2026-09-01: 13.02%2026-09-02: 11.92%2026-09-03: 11.12%2026-09-04: 10.68%2026-09-08: 12.73%2026-09-09: 13.70%2026-09-10: 16.11%2026-09-11: 12.07%2026-09-14: 13.87%2026-09-15: 15.04%2026-09-16: 15.11%2026-09-17: 12.19%2026-09-18: 11.00%2026-09-21: 11.24%2026-09-22: 10.78%2026-09-23: 11.90%2026-09-24: 12.44%2026-09-25: 11.43%2026-09-28: 13.02%2026-09-29: 13.20%2026-09-30: 13.60%2026-10-01: 13.64%2026-10-02: 11.46%2026-10-05: 11.49%2026-10-06: 11.01%2026-10-07: 11.02%2026-10-08: 11.20%2026-10-09: 10.62%2026-10-12: 11.07%2026-10-13: 11.38%2026-10-14: 13.25%2026-10-15: 12.07%2026-10-16: 14.27%2026-10-19: 14.17%2026-10-20: 13.68%2026-10-21: 13.40%2026-10-22: 16.11%2026-10-23: 15.79%2026-10-26: 15.33%2026-10-27: 14.64%2026-10-28: 14.13%2026-10-29: 13.27%2026-10-30: 16.47%Aug 14Sep 23Oct 30
55 observations2026-08-14 — 2026-10-30
Table
DateIV (%)
10.45%
11.05%
11.85%
11.23%
13.08%
11.68%
12.62%
12.48%
12.92%
11.56%
10.61%
11.39%
13.02%
11.92%
11.12%
10.68%
12.73%
13.70%
16.11%
12.07%
13.87%
15.04%
15.11%
12.19%
11.00%
11.24%
10.78%
11.90%
12.44%
11.43%
13.02%
13.20%
13.60%
13.64%
11.46%
11.49%
11.01%
11.02%
11.20%
10.62%
11.07%
11.38%
13.25%
12.07%
14.27%
14.17%
13.68%
13.40%
16.11%
15.79%
15.33%
14.64%
14.13%
13.27%
16.47%

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