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State Street SPDR S&P 500 ETF Trust SPY

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Market dataready · fetched 2026-10-16T01:00:36.062Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-10-16

Calculation methodology

PriceAlpaca · sip · 2026-10-16T00:00:00.120422061Z

FundamentalsAlpha Vantage · ready

Share price$771.79
1D+0.5%
AH$764$766$769$771$7735:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSPY
Sold putSold callAH

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$0.42$1.98$3.54$5.10$6.67$764.06$767.64$771.23$774.81$778.3920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SPY spot · $771.79SPY PRICE$0.59$0.78$1.00$1.25$1.52$1.84$2.18$2.59$3.06$3.61$4.27$5.11$6.22$0.65$0.84$1.04$1.27$1.50$1.76$2.04$2.35$2.68$3.05$3.48$3.95$4.50
PutsExpensive1.26×
CallsFair0.96×
SkewBullish-1.20 pp
Implied moveBullish±$4.22
TiltBullish7.8% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ776.3613.1%0.7%766.9914.5%0.7%
25Δ775.4613.0%0.6%768.0914.0%0.6%
30Δ774.6713.0%0.5%769.0313.5%0.5%
35Δ773.9413.1%0.4%769.8213.2%0.4%
40Δ773.2513.2%0.4%770.5513.0%0.4%
45Δ772.5713.4%0.3%771.2412.7%0.3%
50Δ771.8913.5%0.3%771.8912.6%0.3%
55Δ771.1913.8%0.3%772.5212.4%0.2%
60Δ770.4514.1%0.2%773.1412.2%0.2%
65Δ769.6414.4%0.2%773.7712.1%0.1%
70Δ768.7514.8%0.2%774.4311.9%0.1%
75Δ767.7015.4%0.1%775.1111.8%0.1%
80Δ766.3916.2%0.1%775.8511.6%0.1%

20Δ

Calls
Pseudo strike
776.36
IV
13.1%
B/E move
0.7%
Puts
Pseudo strike
766.99
IV
14.5%
B/E move
0.7%

25Δ

Calls
Pseudo strike
775.46
IV
13.0%
B/E move
0.6%
Puts
Pseudo strike
768.09
IV
14.0%
B/E move
0.6%

30Δ

Calls
Pseudo strike
774.67
IV
13.0%
B/E move
0.5%
Puts
Pseudo strike
769.03
IV
13.5%
B/E move
0.5%

35Δ

Calls
Pseudo strike
773.94
IV
13.1%
B/E move
0.4%
Puts
Pseudo strike
769.82
IV
13.2%
B/E move
0.4%

40Δ

Calls
Pseudo strike
773.25
IV
13.2%
B/E move
0.4%
Puts
Pseudo strike
770.55
IV
13.0%
B/E move
0.4%

45Δ

Calls
Pseudo strike
772.57
IV
13.4%
B/E move
0.3%
Puts
Pseudo strike
771.24
IV
12.7%
B/E move
0.3%

50Δ

Calls
Pseudo strike
771.89
IV
13.5%
B/E move
0.3%
Puts
Pseudo strike
771.89
IV
12.6%
B/E move
0.3%

55Δ

Calls
Pseudo strike
771.19
IV
13.8%
B/E move
0.3%
Puts
Pseudo strike
772.52
IV
12.4%
B/E move
0.2%

60Δ

Calls
Pseudo strike
770.45
IV
14.1%
B/E move
0.2%
Puts
Pseudo strike
773.14
IV
12.2%
B/E move
0.2%

65Δ

Calls
Pseudo strike
769.64
IV
14.4%
B/E move
0.2%
Puts
Pseudo strike
773.77
IV
12.1%
B/E move
0.1%

70Δ

Calls
Pseudo strike
768.75
IV
14.8%
B/E move
0.2%
Puts
Pseudo strike
774.43
IV
11.9%
B/E move
0.1%

75Δ

Calls
Pseudo strike
767.70
IV
15.4%
B/E move
0.1%
Puts
Pseudo strike
775.11
IV
11.8%
B/E move
0.1%

80Δ

Calls
Pseudo strike
766.39
IV
16.2%
B/E move
0.1%
Puts
Pseudo strike
775.85
IV
11.6%
B/E move
0.1%