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Vanguard Morningstar Small-Cap ETF VB

i

Market dataready · fetched 2026-11-12T00:44:39.713Z

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 · 2026-11-11T23:30:00.000793534Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T00:44:39.292576+00:00

Share price$295.41
1D+0.5%
AH$293.75$294.32$294.89$295.46$296.035:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVB
Sold putSold callAH

Vanguard Morningstar Small-Cap ETF options

Live interpolated VB call and put midpoint premiums by absolute delta.Vanguard Morningstar Small-Cap ETF$0.72$2.86$5.00$7.14$9.28$269.06$282.58$296.11$309.63$323.1520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VB spot · $295.41VB PRICE$0.95$1.23$1.51$1.86$2.20$2.55$2.90$3.30$4.11$4.92$5.73$6.54$7.69$1.13$1.36$1.73$2.12$2.50$2.89$3.48$4.13$4.78$5.43$6.20$7.43$8.67
PutsCheap0.40×
CallsCheap0.34×
SkewBearish+1.86 pp
Implied moveBearish±$6.38
TiltBearish6.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ303.3818.4%3.0%287.1421.9%3.2%
25Δ301.7317.9%2.6%289.7819.4%2.4%
30Δ300.0817.4%2.1%291.1118.9%2.0%
35Δ299.0116.9%1.8%292.3118.6%1.8%
40Δ297.9716.5%1.6%293.5218.3%1.5%
45Δ296.9416.1%1.4%294.7318.0%1.2%
50Δ295.9015.7%1.1%295.8517.9%1.0%
55Δ294.8515.4%0.9%296.9418.0%0.9%
60Δ293.7315.9%0.8%298.0418.0%0.7%
65Δ292.6116.3%0.7%299.1318.0%0.6%
70Δ291.4916.8%0.6%300.3118.1%0.4%
75Δ290.3717.2%0.5%301.8618.3%0.3%
80Δ288.9317.2%0.4%303.4018.4%0.2%

20Δ

Calls
Pseudo strike
303.38
IV
18.4%
B/E move
3.0%
Puts
Pseudo strike
287.14
IV
21.9%
B/E move
3.2%

25Δ

Calls
Pseudo strike
301.73
IV
17.9%
B/E move
2.6%
Puts
Pseudo strike
289.78
IV
19.4%
B/E move
2.4%

30Δ

Calls
Pseudo strike
300.08
IV
17.4%
B/E move
2.1%
Puts
Pseudo strike
291.11
IV
18.9%
B/E move
2.0%

35Δ

Calls
Pseudo strike
299.01
IV
16.9%
B/E move
1.8%
Puts
Pseudo strike
292.31
IV
18.6%
B/E move
1.8%

40Δ

Calls
Pseudo strike
297.97
IV
16.5%
B/E move
1.6%
Puts
Pseudo strike
293.52
IV
18.3%
B/E move
1.5%

45Δ

Calls
Pseudo strike
296.94
IV
16.1%
B/E move
1.4%
Puts
Pseudo strike
294.73
IV
18.0%
B/E move
1.2%

50Δ

Calls
Pseudo strike
295.90
IV
15.7%
B/E move
1.1%
Puts
Pseudo strike
295.85
IV
17.9%
B/E move
1.0%

55Δ

Calls
Pseudo strike
294.85
IV
15.4%
B/E move
0.9%
Puts
Pseudo strike
296.94
IV
18.0%
B/E move
0.9%

60Δ

Calls
Pseudo strike
293.73
IV
15.9%
B/E move
0.8%
Puts
Pseudo strike
298.04
IV
18.0%
B/E move
0.7%

65Δ

Calls
Pseudo strike
292.61
IV
16.3%
B/E move
0.7%
Puts
Pseudo strike
299.13
IV
18.0%
B/E move
0.6%

70Δ

Calls
Pseudo strike
291.49
IV
16.8%
B/E move
0.6%
Puts
Pseudo strike
300.31
IV
18.1%
B/E move
0.4%

75Δ

Calls
Pseudo strike
290.37
IV
17.2%
B/E move
0.5%
Puts
Pseudo strike
301.86
IV
18.3%
B/E move
0.3%

80Δ

Calls
Pseudo strike
288.93
IV
17.2%
B/E move
0.4%
Puts
Pseudo strike
303.40
IV
18.4%
B/E move
0.2%

Options history

IV · four-Friday blend18.83%
Daily EOD
VB17.2%18.1%18.9%2026-10-19: 18.02%2026-10-20: 18.02%2026-10-21: 17.82%2026-10-22: 18.78%2026-10-23: 18.68%2026-10-26: 18.32%2026-10-27: 17.92%2026-10-28: 17.59%2026-10-29: 17.36%2026-10-30: 18.83%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
18.02%
18.02%
17.82%
18.78%
18.68%
18.32%
17.92%
17.59%
17.36%
18.83%