IntraAlpha
Create free account Start free

ProShares Ultra S&P500 SSO

i

Market dataready · fetched 2026-11-07T02:02:57.410Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-07T01:00:00.11321408Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-07T01:54:44.064607+00:00

Share price$63.85
1D+0.5%
AH$63.55$63.90$64.25$64.60$64.955:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSSO
Sold putSold callAH

ProShares Ultra S&P500 options

Live interpolated SSO call and put midpoint premiums by absolute delta.ProShares Ultra S&P500$0.42$1.70$2.97$4.25$5.53$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICESSO PRICE$0.56$0.66$0.84$1.10$1.50$1.69$2.06$2.47$2.92$3.83$5.02$5.16$0.56$0.74$0.90$1.07$1.22$1.68$1.97$2.22$2.52$2.52$2.52$3.13
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ60.1454.3%6.7%
25Δ66.6643.4%5.3%60.9453.7%5.7%
30Δ65.9040.3%4.2%61.6851.7%4.8%
35Δ65.4341.6%3.8%62.3649.3%4.0%
40Δ65.0445.1%3.6%62.9946.7%3.3%
45Δ64.6251.8%3.6%63.5452.4%3.1%
50Δ64.0650.1%3.0%
55Δ63.4652.0%2.6%64.5445.9%2.0%
60Δ62.8654.4%2.3%65.0344.7%1.6%
65Δ62.2055.9%2.0%65.5344.1%1.3%
70Δ61.2064.5%1.8%65.7638.8%1.0%
75Δ59.9374.8%1.7%65.9933.4%0.6%
80Δ59.4766.2%1.2%66.6535.8%0.5%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
60.14
IV
54.3%
B/E move
6.7%

25Δ

Calls
Pseudo strike
66.66
IV
43.4%
B/E move
5.3%
Puts
Pseudo strike
60.94
IV
53.7%
B/E move
5.7%

30Δ

Calls
Pseudo strike
65.90
IV
40.3%
B/E move
4.2%
Puts
Pseudo strike
61.68
IV
51.7%
B/E move
4.8%

35Δ

Calls
Pseudo strike
65.43
IV
41.6%
B/E move
3.8%
Puts
Pseudo strike
62.36
IV
49.3%
B/E move
4.0%

40Δ

Calls
Pseudo strike
65.04
IV
45.1%
B/E move
3.6%
Puts
Pseudo strike
62.99
IV
46.7%
B/E move
3.3%

45Δ

Calls
Pseudo strike
64.62
IV
51.8%
B/E move
3.6%
Puts
Pseudo strike
63.54
IV
52.4%
B/E move
3.1%

50Δ

Calls
Pseudo strike
64.06
IV
50.1%
B/E move
3.0%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
63.46
IV
52.0%
B/E move
2.6%
Puts
Pseudo strike
64.54
IV
45.9%
B/E move
2.0%

60Δ

Calls
Pseudo strike
62.86
IV
54.4%
B/E move
2.3%
Puts
Pseudo strike
65.03
IV
44.7%
B/E move
1.6%

65Δ

Calls
Pseudo strike
62.20
IV
55.9%
B/E move
2.0%
Puts
Pseudo strike
65.53
IV
44.1%
B/E move
1.3%

70Δ

Calls
Pseudo strike
61.20
IV
64.5%
B/E move
1.8%
Puts
Pseudo strike
65.76
IV
38.8%
B/E move
1.0%

75Δ

Calls
Pseudo strike
59.93
IV
74.8%
B/E move
1.7%
Puts
Pseudo strike
65.99
IV
33.4%
B/E move
0.6%

80Δ

Calls
Pseudo strike
59.47
IV
66.2%
B/E move
1.2%
Puts
Pseudo strike
66.65
IV
35.8%
B/E move
0.5%

Options history

IV · four-Friday blend34.54%
Daily close
SSO18.0%29.3%40.6%2026-08-10: 23.65%2026-08-11: 24.40%2026-08-12: 24.70%2026-08-13: 21.68%2026-08-14: 20.16%2026-08-17: 23.27%2026-08-18: 24.13%2026-08-19: 25.05%2026-08-20: 29.39%2026-08-21: 23.46%2026-08-24: 25.67%2026-08-25: 26.95%2026-08-26: 26.37%2026-08-27: 24.28%2026-08-28: 21.53%2026-08-31: 22.23%2026-09-01: 26.35%2026-09-02: 24.85%2026-09-03: 23.13%2026-09-04: 21.64%2026-09-08: 24.82%2026-09-09: 27.60%2026-09-10: 32.04%2026-09-11: 26.60%2026-09-14: 30.10%2026-09-15: 32.09%2026-09-16: 31.01%2026-09-17: 26.08%2026-09-18: 23.88%2026-09-21: 23.50%2026-09-22: 22.08%2026-09-23: 23.46%2026-09-24: 25.56%2026-09-25: 25.66%2026-09-28: 28.40%2026-09-29: 28.45%2026-09-30: 27.85%2026-10-01: 28.18%2026-10-02: 21.80%2026-10-05: 25.03%2026-10-06: 20.95%2026-10-07: 24.36%2026-10-08: 23.01%2026-10-09: 19.55%2026-10-12: 23.52%2026-10-13: 21.17%2026-10-14: 25.61%2026-10-15: 26.17%2026-10-16: 30.32%2026-10-19: 30.50%2026-10-20: 28.64%2026-10-21: 27.64%2026-10-22: 33.36%2026-10-23: 31.37%2026-10-26: 31.61%2026-10-27: 39.08%2026-10-28: 35.00%2026-10-29: 30.88%2026-10-30: 34.54%Aug 10Sep 21Oct 30
59 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
23.65%
24.40%
24.70%
21.68%
20.16%
23.27%
24.13%
25.05%
29.39%
23.46%
25.67%
26.95%
26.37%
24.28%
21.53%
22.23%
26.35%
24.85%
23.13%
21.64%
24.82%
27.60%
32.04%
26.60%
30.10%
32.09%
31.01%
26.08%
23.88%
23.50%
22.08%
23.46%
25.56%
25.66%
28.40%
28.45%
27.85%
28.18%
21.80%
25.03%
20.95%
24.36%
23.01%
19.55%
23.52%
21.17%
25.61%
26.17%
30.32%
30.50%
28.64%
27.64%
33.36%
31.37%
31.61%
39.08%
35.00%
30.88%
34.54%