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Cambria Tail Risk ETF TAIL

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Market datapartial · fetched 2026-10-23T02:20:29.350Z

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 · 2026-10-23T00:00:07.410495297Z

FundamentalsAlpha Vantage · unavailable

Share price$10.04
1D+1.0%
AH$9.93$9.97$10.00$10.04$10.085:30 AM6:30 AM9:00 AM1:00 PM2:00 PMTAIL
Sold putSold callAH

Cambria Tail Risk ETF options

Live interpolated TAIL call and put midpoint premiums by absolute delta.Cambria Tail Risk ETF$0.43$0.71$0.99$1.27$1.55$7.37$8.82$10.27$11.72$13.1720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive TAIL spot · $10.04TAIL PRICE$0.46$0.60$0.60$0.62$0.65$0.67$0.70$0.72$0.79$0.86$0.93$0.99$1.06$0.60$0.60$0.60$0.64$0.67$0.70$0.78$0.86$0.93$1.01$1.08$1.23$1.47
PutsExpensive4.49×
CallsExpensive5.23×
SkewBullish-16.44 pp
Implied moveBearish±$1.48
TiltBearish7.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ17.00167.9%73.8%7.66154.9%29.7%
25Δ16.09179.8%66.3%8.44122.1%21.9%
30Δ13.22134.8%37.6%9.0597.5%15.9%
35Δ12.45118.3%30.3%9.3786.8%13.0%
40Δ11.85104.2%24.4%9.7076.0%10.1%
45Δ11.2490.0%18.6%10.0165.7%7.3%
50Δ10.6375.9%12.8%10.1962.2%6.3%
55Δ10.0261.8%7.0%10.3758.8%5.3%
60Δ9.8557.8%5.9%10.5455.3%4.3%
65Δ9.6954.2%5.0%10.7251.8%3.2%
70Δ9.5350.5%4.1%10.9048.4%2.2%
75Δ9.3746.8%3.2%11.1246.2%1.5%
80Δ9.2143.2%2.3%11.4045.8%1.0%

20Δ

Calls
Pseudo strike
17.00
IV
167.9%
B/E move
73.8%
Puts
Pseudo strike
7.66
IV
154.9%
B/E move
29.7%

25Δ

Calls
Pseudo strike
16.09
IV
179.8%
B/E move
66.3%
Puts
Pseudo strike
8.44
IV
122.1%
B/E move
21.9%

30Δ

Calls
Pseudo strike
13.22
IV
134.8%
B/E move
37.6%
Puts
Pseudo strike
9.05
IV
97.5%
B/E move
15.9%

35Δ

Calls
Pseudo strike
12.45
IV
118.3%
B/E move
30.3%
Puts
Pseudo strike
9.37
IV
86.8%
B/E move
13.0%

40Δ

Calls
Pseudo strike
11.85
IV
104.2%
B/E move
24.4%
Puts
Pseudo strike
9.70
IV
76.0%
B/E move
10.1%

45Δ

Calls
Pseudo strike
11.24
IV
90.0%
B/E move
18.6%
Puts
Pseudo strike
10.01
IV
65.7%
B/E move
7.3%

50Δ

Calls
Pseudo strike
10.63
IV
75.9%
B/E move
12.8%
Puts
Pseudo strike
10.19
IV
62.2%
B/E move
6.3%

55Δ

Calls
Pseudo strike
10.02
IV
61.8%
B/E move
7.0%
Puts
Pseudo strike
10.37
IV
58.8%
B/E move
5.3%

60Δ

Calls
Pseudo strike
9.85
IV
57.8%
B/E move
5.9%
Puts
Pseudo strike
10.54
IV
55.3%
B/E move
4.3%

65Δ

Calls
Pseudo strike
9.69
IV
54.2%
B/E move
5.0%
Puts
Pseudo strike
10.72
IV
51.8%
B/E move
3.2%

70Δ

Calls
Pseudo strike
9.53
IV
50.5%
B/E move
4.1%
Puts
Pseudo strike
10.90
IV
48.4%
B/E move
2.2%

75Δ

Calls
Pseudo strike
9.37
IV
46.8%
B/E move
3.2%
Puts
Pseudo strike
11.12
IV
46.2%
B/E move
1.5%

80Δ

Calls
Pseudo strike
9.21
IV
43.2%
B/E move
2.3%
Puts
Pseudo strike
11.40
IV
45.8%
B/E move
1.0%

Options history

No recorded observations