IntraAlpha
Create free account Start free

NEOS S&P 500 Hedged Equity Income ETF SPYH

i

Market datapartial · fetched 2026-10-23T15:50:52.483Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2027-03-19

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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-23T14:14:06.399368279Z

FundamentalsAlpha Vantage · unavailable

Share price$56.27
1D+0.1%
$56.21$56.24$56.26$56.28$56.315:30 AM6:30 AM9:00 AM1:00 PMSPYH
Sold putSold call

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$0.62$2.07$3.53$4.98$6.44$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICESPYH PRICE$0.78$0.81$0.87$0.94$1.03$1.12$1.21$1.30$1.38$1.46$1.53$3.47$4.55$6.02
PutsExpensive1.33×
CallsCheap0.71×
SkewBearish+10.64 pp
Implied move——
TiltBearish6.1% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ64.5620.7%16.1%
25Δ61.6916.0%11.1%
30Δ60.1313.4%8.4%
35Δ59.1311.7%6.8%
40Δ58.4510.6%5.7%
45Δ57.889.7%4.9%
50Δ57.448.9%4.2%
55Δ57.018.1%3.6%58.5519.2%2.1%
60Δ56.747.5%3.3%59.8121.2%1.8%
65Δ56.486.9%3.0%61.4424.1%1.5%
70Δ56.226.2%2.6%
75Δ
80Δ

20Δ

Calls
Pseudo strike
64.56
IV
20.7%
B/E move
16.1%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
61.69
IV
16.0%
B/E move
11.1%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
60.13
IV
13.4%
B/E move
8.4%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
59.13
IV
11.7%
B/E move
6.8%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
58.45
IV
10.6%
B/E move
5.7%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
57.88
IV
9.7%
B/E move
4.9%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
57.44
IV
8.9%
B/E move
4.2%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
57.01
IV
8.1%
B/E move
3.6%
Puts
Pseudo strike
58.55
IV
19.2%
B/E move
2.1%

60Δ

Calls
Pseudo strike
56.74
IV
7.5%
B/E move
3.3%
Puts
Pseudo strike
59.81
IV
21.2%
B/E move
1.8%

65Δ

Calls
Pseudo strike
56.48
IV
6.9%
B/E move
3.0%
Puts
Pseudo strike
61.44
IV
24.1%
B/E move
1.5%

70Δ

Calls
Pseudo strike
56.22
IV
6.2%
B/E move
2.6%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

Options history

No recorded observations