IntraAlpha
Create free account Start free

NEOS S&P 500 Hedged Equity Income ETF SPYH

i

Market dataready · fetched 2026-11-13T01:29:54.156Z

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 · 2026-11-13T01:00:06.995557963Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-13T01:29:53.839137+00:00

Share price$55.72
1D+0.1%
AH$55.66$55.71$55.76$55.80$55.855:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSPYH
Sold putSold callAH

NEOS S&P 500 Hedged Equity Income ETF options

Live interpolated SPYH call and put midpoint premiums by absolute delta.NEOS S&P 500 Hedged Equity Income ETF$0.52$0.80$1.08$1.36$1.65$54.22$55.28$56.35$57.41$58.4820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive SPYH spot · $55.72SPYH PRICE$0.55$0.55$0.55$0.57$0.62$0.67$0.74$0.83$0.91$1.00$1.09$1.33$1.56$0.55$0.56$0.59$0.62$0.66$0.71$0.75
Puts——
CallsExpensive2.23×
Skew——
Implied moveBalanced±$1.50
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ60.5763.3%9.7%52.1058.2%7.5%
25Δ58.5947.1%6.1%53.4345.1%5.1%
30Δ57.5037.0%4.2%54.2437.3%3.7%
35Δ56.8430.7%3.0%54.8131.6%2.7%
40Δ56.4627.7%2.4%55.1828.1%2.1%
45Δ56.0824.7%1.8%55.4625.6%1.7%
50Δ55.8323.2%1.5%55.7423.2%1.3%
55Δ55.6222.2%1.3%
60Δ55.4121.1%1.1%
65Δ55.2020.0%0.9%
70Δ54.9819.1%0.6%
75Δ54.6819.3%0.5%
80Δ54.3919.5%0.4%

20Δ

Calls
Pseudo strike
60.57
IV
63.3%
B/E move
9.7%
Puts
Pseudo strike
52.10
IV
58.2%
B/E move
7.5%

25Δ

Calls
Pseudo strike
58.59
IV
47.1%
B/E move
6.1%
Puts
Pseudo strike
53.43
IV
45.1%
B/E move
5.1%

30Δ

Calls
Pseudo strike
57.50
IV
37.0%
B/E move
4.2%
Puts
Pseudo strike
54.24
IV
37.3%
B/E move
3.7%

35Δ

Calls
Pseudo strike
56.84
IV
30.7%
B/E move
3.0%
Puts
Pseudo strike
54.81
IV
31.6%
B/E move
2.7%

40Δ

Calls
Pseudo strike
56.46
IV
27.7%
B/E move
2.4%
Puts
Pseudo strike
55.18
IV
28.1%
B/E move
2.1%

45Δ

Calls
Pseudo strike
56.08
IV
24.7%
B/E move
1.8%
Puts
Pseudo strike
55.46
IV
25.6%
B/E move
1.7%

50Δ

Calls
Pseudo strike
55.83
IV
23.2%
B/E move
1.5%
Puts
Pseudo strike
55.74
IV
23.2%
B/E move
1.3%

55Δ

Calls
Pseudo strike
55.62
IV
22.2%
B/E move
1.3%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
55.41
IV
21.1%
B/E move
1.1%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
55.20
IV
20.0%
B/E move
0.9%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
54.98
IV
19.1%
B/E move
0.6%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
54.68
IV
19.3%
B/E move
0.5%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
54.39
IV
19.5%
B/E move
0.4%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend12.85%
Daily EOD
SPYH11.4%21.1%30.8%2026-10-19: 26.21%2026-10-20: 12.73%2026-10-21: 26.61%2026-10-22: 26.99%2026-10-23: 27.93%2026-10-26: 28.34%2026-10-27: 28.26%2026-10-28: 29.40%2026-10-29: 29.49%2026-10-30: 12.85%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
26.21%
12.73%
26.61%
26.99%
27.93%
28.34%
28.26%
29.40%
29.49%
12.85%