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Simplify Volatility Premium ETF SVOL

i

Market dataready · fetched 2026-11-12T02:00:04.396Z

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 · 2026-11-12T01:00:00.146506633Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T02:00:03.876810+00:00

Share price$15.37
1D+1.1%
AH$15.15$15.23$15.30$15.38$15.465:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSVOL
Sold putSold callAH

Simplify Volatility Premium ETF options

Live interpolated SVOL call and put midpoint premiums by absolute delta.Simplify Volatility Premium ETF$0.93$3.19$5.44$7.70$9.96$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICESVOL PRICE$1.18$1.18$1.20$1.22$1.25$1.28$1.31$1.38$1.46$1.18$1.51$4.03$5.94$9.31
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ11.34336.4%33.9%
25Δ12.40322.4%29.1%
30Δ22.97330.7%57.1%
35Δ19.44256.5%34.1%
40Δ18.29223.0%26.8%
45Δ17.43195.2%21.4%
50Δ16.57167.5%16.0%
55Δ15.71139.8%10.5%
60Δ14.96115.1%5.9%
65Δ14.72105.5%4.8%18.42208.8%6.4%
70Δ14.4895.9%3.7%20.39251.3%6.0%
75Δ23.82308.1%5.6%
80Δ

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
11.34
IV
336.4%
B/E move
33.9%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
12.40
IV
322.4%
B/E move
29.1%

30Δ

Calls
Pseudo strike
22.97
IV
330.7%
B/E move
57.1%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
19.44
IV
256.5%
B/E move
34.1%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
18.29
IV
223.0%
B/E move
26.8%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
17.43
IV
195.2%
B/E move
21.4%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
16.57
IV
167.5%
B/E move
16.0%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
15.71
IV
139.8%
B/E move
10.5%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
14.96
IV
115.1%
B/E move
5.9%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
14.72
IV
105.5%
B/E move
4.8%
Puts
Pseudo strike
18.42
IV
208.8%
B/E move
6.4%

70Δ

Calls
Pseudo strike
14.48
IV
95.9%
B/E move
3.7%
Puts
Pseudo strike
20.39
IV
251.3%
B/E move
6.0%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
23.82
IV
308.1%
B/E move
5.6%

80Δ

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

Options history

IV · four-Friday blend46.66%
Daily EOD
SVOL44.5%60.2%75.8%2026-10-19: 55.79%2026-10-20: 67.64%2026-10-21: 56.18%2026-10-22: 56.08%2026-10-23: 66.19%2026-10-26: 73.68%2026-10-27: 62.51%2026-10-28: 56.48%2026-10-29: 59.67%2026-10-30: 46.66%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
55.79%
67.64%
56.18%
56.08%
66.19%
73.68%
62.51%
56.48%
59.67%
46.66%