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NEOS S&P 500 High Income ETF SPYI

i

Market dataready · fetched 2026-11-13T01:14:54.345Z

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 · 2026-11-13T01:00:06.984518617Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-13T01:14:53.912977+00:00

Share price$52.64
1D+0.5%
AH$52.38$52.52$52.67$52.81$52.955:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSPYI
Sold putSold callAH

NEOS S&P 500 High Income ETF options

Live interpolated SPYI call and put midpoint premiums by absolute delta.NEOS S&P 500 High Income ETF$0.00$1.27$2.54$3.80$5.07$50.52$51.49$52.46$53.43$54.4020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive SPYI spot · $52.64SPYI PRICE$0.07$0.09$0.12$0.19$0.27$0.35$0.42$0.50$0.58$0.65$0.73$0.81$0.98$0.19$0.25$0.32$0.40$0.52$0.64$0.76$0.87$2.15$2.41$4.70
Puts——
CallsCheap0.55×
Skew——
Implied moveBearish±$1.18
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ53.408.7%1.6%51.3020.9%2.9%
25Δ53.177.8%1.2%51.5720.8%2.5%
30Δ52.987.3%0.9%51.8520.6%2.1%
35Δ52.877.9%0.8%52.0920.8%1.8%
40Δ52.768.4%0.8%52.3121.4%1.6%
45Δ52.669.0%0.7%52.5222.1%1.4%
50Δ52.559.6%0.6%52.7422.7%1.2%
55Δ52.4510.2%0.6%52.9523.3%1.1%
60Δ52.3410.8%0.5%
65Δ52.2311.4%0.5%
70Δ52.1311.9%0.4%54.3036.7%0.9%
75Δ52.0212.5%0.4%54.6835.6%0.7%
80Δ51.8112.4%0.3%56.9058.7%0.8%

20Δ

Calls
Pseudo strike
53.40
IV
8.7%
B/E move
1.6%
Puts
Pseudo strike
51.30
IV
20.9%
B/E move
2.9%

25Δ

Calls
Pseudo strike
53.17
IV
7.8%
B/E move
1.2%
Puts
Pseudo strike
51.57
IV
20.8%
B/E move
2.5%

30Δ

Calls
Pseudo strike
52.98
IV
7.3%
B/E move
0.9%
Puts
Pseudo strike
51.85
IV
20.6%
B/E move
2.1%

35Δ

Calls
Pseudo strike
52.87
IV
7.9%
B/E move
0.8%
Puts
Pseudo strike
52.09
IV
20.8%
B/E move
1.8%

40Δ

Calls
Pseudo strike
52.76
IV
8.4%
B/E move
0.8%
Puts
Pseudo strike
52.31
IV
21.4%
B/E move
1.6%

45Δ

Calls
Pseudo strike
52.66
IV
9.0%
B/E move
0.7%
Puts
Pseudo strike
52.52
IV
22.1%
B/E move
1.4%

50Δ

Calls
Pseudo strike
52.55
IV
9.6%
B/E move
0.6%
Puts
Pseudo strike
52.74
IV
22.7%
B/E move
1.2%

55Δ

Calls
Pseudo strike
52.45
IV
10.2%
B/E move
0.6%
Puts
Pseudo strike
52.95
IV
23.3%
B/E move
1.1%

60Δ

Calls
Pseudo strike
52.34
IV
10.8%
B/E move
0.5%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
52.23
IV
11.4%
B/E move
0.5%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
52.13
IV
11.9%
B/E move
0.4%
Puts
Pseudo strike
54.30
IV
36.7%
B/E move
0.9%

75Δ

Calls
Pseudo strike
52.02
IV
12.5%
B/E move
0.4%
Puts
Pseudo strike
54.68
IV
35.6%
B/E move
0.7%

80Δ

Calls
Pseudo strike
51.81
IV
12.4%
B/E move
0.3%
Puts
Pseudo strike
56.90
IV
58.7%
B/E move
0.8%

Options history

IV · four-Friday blend13.69%
Daily EOD
SPYI11.5%12.7%13.9%2026-10-21: 11.67%2026-10-22: 12.15%2026-10-23: 12.39%2026-10-26: 12.10%2026-10-27: 11.75%2026-10-30: 13.69%Oct 21Oct 23Oct 30
6 observations2026-10-21 — 2026-10-30
Table
DateIV (%)
11.67%
12.15%
12.39%
12.10%
11.75%
13.69%