IntraAlpha
Create free account Start free

State Street SPDR S&P 500 ETF Trust SPY

i

Market dataready · fetched 2026-10-16T00:16:25.412Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-20

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$1.89$11.78$21.67$31.56$41.45$731.40$751.60$771.80$792.00$812.2020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SPY spot · $771.79SPY PRICE$2.96$4.04$5.27$6.68$8.28$10.14$12.28$14.79$17.74$21.32$25.70$31.24$38.60$4.66$5.84$7.07$8.35$9.72$11.19$12.79$14.54$16.38$18.71$21.34$24.67$30.47
PutsExpensive1.22×
CallsExpensive1.37×
SkewNeutral-0.01 pp
Implied moveBearish±$25.07
TiltBullish3.5% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ798.4211.1%3.8%742.2016.8%4.4%
25Δ794.2011.4%3.4%750.3015.7%3.5%
30Δ790.3311.6%3.1%756.8014.9%2.9%
35Δ786.6211.9%2.8%762.2814.3%2.3%
40Δ782.9612.3%2.5%767.0813.7%1.9%
45Δ779.2712.6%2.3%771.4113.3%1.5%
50Δ775.4313.0%2.1%775.4212.9%1.2%
55Δ771.3713.5%1.9%779.2512.6%0.9%
60Δ766.9414.0%1.7%782.9412.2%0.7%
65Δ761.9914.6%1.5%786.7812.1%0.5%
70Δ756.2915.4%1.3%790.7712.0%0.3%
75Δ749.4916.3%1.2%795.2812.0%0.2%
80Δ740.9217.5%1.0%801.9912.7%0.0%

20Δ

Calls
Pseudo strike
798.42
IV
11.1%
B/E move
3.8%
Puts
Pseudo strike
742.20
IV
16.8%
B/E move
4.4%

25Δ

Calls
Pseudo strike
794.20
IV
11.4%
B/E move
3.4%
Puts
Pseudo strike
750.30
IV
15.7%
B/E move
3.5%

30Δ

Calls
Pseudo strike
790.33
IV
11.6%
B/E move
3.1%
Puts
Pseudo strike
756.80
IV
14.9%
B/E move
2.9%

35Δ

Calls
Pseudo strike
786.62
IV
11.9%
B/E move
2.8%
Puts
Pseudo strike
762.28
IV
14.3%
B/E move
2.3%

40Δ

Calls
Pseudo strike
782.96
IV
12.3%
B/E move
2.5%
Puts
Pseudo strike
767.08
IV
13.7%
B/E move
1.9%

45Δ

Calls
Pseudo strike
779.27
IV
12.6%
B/E move
2.3%
Puts
Pseudo strike
771.41
IV
13.3%
B/E move
1.5%

50Δ

Calls
Pseudo strike
775.43
IV
13.0%
B/E move
2.1%
Puts
Pseudo strike
775.42
IV
12.9%
B/E move
1.2%

55Δ

Calls
Pseudo strike
771.37
IV
13.5%
B/E move
1.9%
Puts
Pseudo strike
779.25
IV
12.6%
B/E move
0.9%

60Δ

Calls
Pseudo strike
766.94
IV
14.0%
B/E move
1.7%
Puts
Pseudo strike
782.94
IV
12.2%
B/E move
0.7%

65Δ

Calls
Pseudo strike
761.99
IV
14.6%
B/E move
1.5%
Puts
Pseudo strike
786.78
IV
12.1%
B/E move
0.5%

70Δ

Calls
Pseudo strike
756.29
IV
15.4%
B/E move
1.3%
Puts
Pseudo strike
790.77
IV
12.0%
B/E move
0.3%

75Δ

Calls
Pseudo strike
749.49
IV
16.3%
B/E move
1.2%
Puts
Pseudo strike
795.28
IV
12.0%
B/E move
0.2%

80Δ

Calls
Pseudo strike
740.92
IV
17.5%
B/E move
1.0%
Puts
Pseudo strike
801.99
IV
12.7%
B/E move
0.0%