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Vanguard Morningstar Small-Cap Value ETF VBR

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Market datapartial · fetched 2026-10-22T18:10:38.033Z

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 · 2026-10-22T18:10:03.74188482Z

FundamentalsAlpha Vantage · unavailable

Share price$240.42
1D+0.7%
$238.59$239.17$239.76$240.34$240.925:30 AM6:30 AM9:00 AM1:00 PMVBR
Sold putSold call

Vanguard Morningstar Small-Cap Value ETF options

Live interpolated VBR call and put midpoint premiums by absolute delta.Vanguard Morningstar Small-Cap Value ETF$0.64$4.60$8.56$12.52$16.47$225.73$232.77$239.81$246.85$253.9020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VBR spot · $240.42VBR PRICE$1.07$1.39$1.72$2.10$2.73$3.37$4.01$4.65$6.70$8.85$11.01$13.17$15.33$1.43$1.87$2.35$3.02$3.69$4.37$4.95$5.52$6.10$7.12$8.86$10.61$13.07
PutsExpensive1.20×
CallsFair0.98×
SkewBearish+2.13 pp
Implied moveBearish±$8.96
TiltBullish2.1% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ249.7814.4%4.3%231.0518.4%4.5%
25Δ248.1013.9%3.8%233.2217.9%3.8%
30Δ246.4313.5%3.2%235.2817.5%3.1%
35Δ244.8213.3%2.7%236.8317.8%2.8%
40Δ243.6413.7%2.5%238.3818.1%2.4%
45Δ242.4614.2%2.3%239.9318.4%2.0%
50Δ241.2714.7%2.0%241.3417.7%1.7%
55Δ240.0915.1%1.8%242.7416.9%1.3%
60Δ237.5416.0%1.6%244.1316.2%1.0%
65Δ234.8716.9%1.4%245.8016.1%0.7%
70Δ232.2017.8%1.2%247.9117.2%0.6%
75Δ229.5418.7%1.0%250.0118.2%0.4%
80Δ226.8719.6%0.7%252.8719.0%0.3%

20Δ

Calls
Pseudo strike
249.78
IV
14.4%
B/E move
4.3%
Puts
Pseudo strike
231.05
IV
18.4%
B/E move
4.5%

25Δ

Calls
Pseudo strike
248.10
IV
13.9%
B/E move
3.8%
Puts
Pseudo strike
233.22
IV
17.9%
B/E move
3.8%

30Δ

Calls
Pseudo strike
246.43
IV
13.5%
B/E move
3.2%
Puts
Pseudo strike
235.28
IV
17.5%
B/E move
3.1%

35Δ

Calls
Pseudo strike
244.82
IV
13.3%
B/E move
2.7%
Puts
Pseudo strike
236.83
IV
17.8%
B/E move
2.8%

40Δ

Calls
Pseudo strike
243.64
IV
13.7%
B/E move
2.5%
Puts
Pseudo strike
238.38
IV
18.1%
B/E move
2.4%

45Δ

Calls
Pseudo strike
242.46
IV
14.2%
B/E move
2.3%
Puts
Pseudo strike
239.93
IV
18.4%
B/E move
2.0%

50Δ

Calls
Pseudo strike
241.27
IV
14.7%
B/E move
2.0%
Puts
Pseudo strike
241.34
IV
17.7%
B/E move
1.7%

55Δ

Calls
Pseudo strike
240.09
IV
15.1%
B/E move
1.8%
Puts
Pseudo strike
242.74
IV
16.9%
B/E move
1.3%

60Δ

Calls
Pseudo strike
237.54
IV
16.0%
B/E move
1.6%
Puts
Pseudo strike
244.13
IV
16.2%
B/E move
1.0%

65Δ

Calls
Pseudo strike
234.87
IV
16.9%
B/E move
1.4%
Puts
Pseudo strike
245.80
IV
16.1%
B/E move
0.7%

70Δ

Calls
Pseudo strike
232.20
IV
17.8%
B/E move
1.2%
Puts
Pseudo strike
247.91
IV
17.2%
B/E move
0.6%

75Δ

Calls
Pseudo strike
229.54
IV
18.7%
B/E move
1.0%
Puts
Pseudo strike
250.01
IV
18.2%
B/E move
0.4%

80Δ

Calls
Pseudo strike
226.87
IV
19.6%
B/E move
0.7%
Puts
Pseudo strike
252.87
IV
19.0%
B/E move
0.3%

Options history

No recorded observations