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NEOS S&P 500 High Income ETF SPYI

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Market dataready · fetched 2026-10-23T00:48:33.471Z

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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-23T00:00:06.953048844Z

FundamentalsAlpha Vantage · ready · fetched 2026-10-23T00:46:50.621691+00:00

Share price$52.87
1D-0.3%
AH$52.70$52.80$52.91$53.02$53.125:30 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$0.18$1.23$2.28$3.32$4.37$49.65$51.13$52.62$54.10$55.5920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SPYI spot · $52.87SPYI PRICE$0.39$0.41$0.42$0.44$0.46$0.48$0.49$0.60$0.74$0.88$1.02$1.17$1.69$0.29$0.37$0.45$0.56$0.67$0.79$0.96$1.23$1.51$1.82$2.18$2.93$4.07
PutsExpensive1.50×
CallsExpensive1.31×
SkewBearish+3.39 pp
Implied moveBearish±$1.45
TiltBearish32.0% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ57.4628.3%9.4%50.9617.3%4.2%
25Δ56.7525.1%8.1%51.4116.4%3.5%
30Δ56.0521.9%6.8%51.8615.5%2.8%
35Δ55.3418.7%5.5%52.2015.2%2.3%
40Δ54.6415.5%4.2%52.5015.1%2.0%
45Δ53.9312.3%2.9%52.7915.1%1.6%
50Δ53.239.1%1.6%53.1015.4%1.4%
55Δ52.878.3%1.1%53.4616.6%1.2%
60Δ52.678.6%1.0%53.8117.8%1.1%
65Δ52.478.9%0.9%54.2218.7%0.9%
70Δ52.289.2%0.8%54.6919.4%0.7%
75Δ52.089.5%0.7%55.4922.5%0.6%
80Δ51.5411.9%0.7%56.6926.7%0.5%

20Δ

Calls
Pseudo strike
57.46
IV
28.3%
B/E move
9.4%
Puts
Pseudo strike
50.96
IV
17.3%
B/E move
4.2%

25Δ

Calls
Pseudo strike
56.75
IV
25.1%
B/E move
8.1%
Puts
Pseudo strike
51.41
IV
16.4%
B/E move
3.5%

30Δ

Calls
Pseudo strike
56.05
IV
21.9%
B/E move
6.8%
Puts
Pseudo strike
51.86
IV
15.5%
B/E move
2.8%

35Δ

Calls
Pseudo strike
55.34
IV
18.7%
B/E move
5.5%
Puts
Pseudo strike
52.20
IV
15.2%
B/E move
2.3%

40Δ

Calls
Pseudo strike
54.64
IV
15.5%
B/E move
4.2%
Puts
Pseudo strike
52.50
IV
15.1%
B/E move
2.0%

45Δ

Calls
Pseudo strike
53.93
IV
12.3%
B/E move
2.9%
Puts
Pseudo strike
52.79
IV
15.1%
B/E move
1.6%

50Δ

Calls
Pseudo strike
53.23
IV
9.1%
B/E move
1.6%
Puts
Pseudo strike
53.10
IV
15.4%
B/E move
1.4%

55Δ

Calls
Pseudo strike
52.87
IV
8.3%
B/E move
1.1%
Puts
Pseudo strike
53.46
IV
16.6%
B/E move
1.2%

60Δ

Calls
Pseudo strike
52.67
IV
8.6%
B/E move
1.0%
Puts
Pseudo strike
53.81
IV
17.8%
B/E move
1.1%

65Δ

Calls
Pseudo strike
52.47
IV
8.9%
B/E move
0.9%
Puts
Pseudo strike
54.22
IV
18.7%
B/E move
0.9%

70Δ

Calls
Pseudo strike
52.28
IV
9.2%
B/E move
0.8%
Puts
Pseudo strike
54.69
IV
19.4%
B/E move
0.7%

75Δ

Calls
Pseudo strike
52.08
IV
9.5%
B/E move
0.7%
Puts
Pseudo strike
55.49
IV
22.5%
B/E move
0.6%

80Δ

Calls
Pseudo strike
51.54
IV
11.9%
B/E move
0.7%
Puts
Pseudo strike
56.69
IV
26.7%
B/E move
0.5%

Options history

No recorded observations