IntraAlpha
Create free account Start free

Vanguard Materials ETF VAW

i

Market datapartial · fetched 2026-10-22T20:45:49.931Z

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 · 2026-10-22T20:10:00.000815849Z

FundamentalsAlpha Vantage · unavailable

Share price$226.50
1D+0.8%
AH$223.40$224.23$225.07$225.90$226.735:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVAW
Sold putSold callAH

Vanguard Materials ETF options

Live interpolated VAW call and put midpoint premiums by absolute delta.Vanguard Materials ETF$1.99$6.21$10.42$14.63$18.84$206.09$215.50$224.91$234.32$243.7320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VAW spot · $226.50VAW PRICE$2.45$2.45$2.47$2.92$3.38$3.96$4.62$5.27$6.07$7.23$8.39$10.11$13.10$2.45$2.72$3.31$4.02$4.78$5.66$6.73$7.80$9.18$10.60$12.59$14.94$17.62
PutsExpensive1.32×
CallsExpensive1.20×
SkewBearish+4.99 pp
Implied moveBearish±$11.34
TiltBearish17.1% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ249.0136.1%11.0%211.0033.0%7.9%
25Δ240.9527.7%7.5%216.2627.4%5.7%
30Δ234.9021.0%4.8%219.1026.2%4.7%
35Δ232.8420.1%4.1%221.4925.5%4.0%
40Δ230.7919.1%3.4%223.6625.1%3.4%
45Δ229.0718.6%2.9%225.7824.9%2.8%
50Δ227.5818.4%2.5%227.7924.9%2.4%
55Δ226.0818.2%2.1%229.8025.0%2.0%
60Δ224.5318.1%1.8%231.9725.1%1.6%
65Δ222.8518.5%1.6%234.1625.2%1.3%
70Δ221.1718.8%1.4%236.8125.8%1.0%
75Δ219.0019.9%1.2%239.7426.7%0.8%
80Δ215.7122.5%1.0%243.0226.9%0.5%

20Δ

Calls
Pseudo strike
249.01
IV
36.1%
B/E move
11.0%
Puts
Pseudo strike
211.00
IV
33.0%
B/E move
7.9%

25Δ

Calls
Pseudo strike
240.95
IV
27.7%
B/E move
7.5%
Puts
Pseudo strike
216.26
IV
27.4%
B/E move
5.7%

30Δ

Calls
Pseudo strike
234.90
IV
21.0%
B/E move
4.8%
Puts
Pseudo strike
219.10
IV
26.2%
B/E move
4.7%

35Δ

Calls
Pseudo strike
232.84
IV
20.1%
B/E move
4.1%
Puts
Pseudo strike
221.49
IV
25.5%
B/E move
4.0%

40Δ

Calls
Pseudo strike
230.79
IV
19.1%
B/E move
3.4%
Puts
Pseudo strike
223.66
IV
25.1%
B/E move
3.4%

45Δ

Calls
Pseudo strike
229.07
IV
18.6%
B/E move
2.9%
Puts
Pseudo strike
225.78
IV
24.9%
B/E move
2.8%

50Δ

Calls
Pseudo strike
227.58
IV
18.4%
B/E move
2.5%
Puts
Pseudo strike
227.79
IV
24.9%
B/E move
2.4%

55Δ

Calls
Pseudo strike
226.08
IV
18.2%
B/E move
2.1%
Puts
Pseudo strike
229.80
IV
25.0%
B/E move
2.0%

60Δ

Calls
Pseudo strike
224.53
IV
18.1%
B/E move
1.8%
Puts
Pseudo strike
231.97
IV
25.1%
B/E move
1.6%

65Δ

Calls
Pseudo strike
222.85
IV
18.5%
B/E move
1.6%
Puts
Pseudo strike
234.16
IV
25.2%
B/E move
1.3%

70Δ

Calls
Pseudo strike
221.17
IV
18.8%
B/E move
1.4%
Puts
Pseudo strike
236.81
IV
25.8%
B/E move
1.0%

75Δ

Calls
Pseudo strike
219.00
IV
19.9%
B/E move
1.2%
Puts
Pseudo strike
239.74
IV
26.7%
B/E move
0.8%

80Δ

Calls
Pseudo strike
215.71
IV
22.5%
B/E move
1.0%
Puts
Pseudo strike
243.02
IV
26.9%
B/E move
0.5%

Options history

No recorded observations