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Vanguard Morningstar Small-Cap Value ETF VBR

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Market dataready · fetched 2026-10-22T22:11:51.890Z

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 · 2026-10-22T20:10:00.004177925Z

FundamentalsAlpha Vantage · ready · fetched 2026-10-22T22:11:50.675471+00:00

Share price$241.54
1D+1.2%
AH$238.51$239.37$240.23$241.08$241.945:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVBR
Sold putSold callAH

Vanguard Morningstar Small-Cap Value ETF options

Live interpolated VBR call and put midpoint premiums by absolute delta.Vanguard Morningstar Small-Cap Value ETF$0.55$4.67$8.78$12.90$17.01$225.98$233.28$240.59$247.90$255.2120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VBR spot · $241.54VBR PRICE$0.99$1.38$1.78$2.18$2.60$3.21$3.81$4.41$5.02$5.93$6.85$7.77$9.04$1.53$2.00$2.57$3.23$3.89$4.44$4.93$5.41$6.14$7.79$9.43$12.08$15.83
PutsExpensive1.28×
CallsCheap0.86×
SkewBearish+4.97 pp
Implied moveBearish±$8.74
TiltBearish18.1% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ250.3113.3%4.0%231.5419.5%4.8%
25Δ248.8213.3%3.6%233.8819.1%4.0%
30Δ247.4913.4%3.2%235.8919.0%3.4%
35Δ246.1613.5%2.8%237.6119.1%3.0%
40Δ244.8413.6%2.4%239.3219.2%2.5%
45Δ243.6513.7%2.2%240.8918.7%2.1%
50Δ242.4513.8%2.0%242.3617.6%1.7%
55Δ241.2613.9%1.7%243.8316.6%1.3%
60Δ240.0614.0%1.5%245.4116.1%0.9%
65Δ238.7114.0%1.3%247.4217.2%0.8%
70Δ237.3514.0%1.1%249.4318.4%0.6%
75Δ235.9914.0%0.9%252.4220.2%0.5%
80Δ234.3314.2%0.8%256.4922.9%0.4%

20Δ

Calls
Pseudo strike
250.31
IV
13.3%
B/E move
4.0%
Puts
Pseudo strike
231.54
IV
19.5%
B/E move
4.8%

25Δ

Calls
Pseudo strike
248.82
IV
13.3%
B/E move
3.6%
Puts
Pseudo strike
233.88
IV
19.1%
B/E move
4.0%

30Δ

Calls
Pseudo strike
247.49
IV
13.4%
B/E move
3.2%
Puts
Pseudo strike
235.89
IV
19.0%
B/E move
3.4%

35Δ

Calls
Pseudo strike
246.16
IV
13.5%
B/E move
2.8%
Puts
Pseudo strike
237.61
IV
19.1%
B/E move
3.0%

40Δ

Calls
Pseudo strike
244.84
IV
13.6%
B/E move
2.4%
Puts
Pseudo strike
239.32
IV
19.2%
B/E move
2.5%

45Δ

Calls
Pseudo strike
243.65
IV
13.7%
B/E move
2.2%
Puts
Pseudo strike
240.89
IV
18.7%
B/E move
2.1%

50Δ

Calls
Pseudo strike
242.45
IV
13.8%
B/E move
2.0%
Puts
Pseudo strike
242.36
IV
17.6%
B/E move
1.7%

55Δ

Calls
Pseudo strike
241.26
IV
13.9%
B/E move
1.7%
Puts
Pseudo strike
243.83
IV
16.6%
B/E move
1.3%

60Δ

Calls
Pseudo strike
240.06
IV
14.0%
B/E move
1.5%
Puts
Pseudo strike
245.41
IV
16.1%
B/E move
0.9%

65Δ

Calls
Pseudo strike
238.71
IV
14.0%
B/E move
1.3%
Puts
Pseudo strike
247.42
IV
17.2%
B/E move
0.8%

70Δ

Calls
Pseudo strike
237.35
IV
14.0%
B/E move
1.1%
Puts
Pseudo strike
249.43
IV
18.4%
B/E move
0.6%

75Δ

Calls
Pseudo strike
235.99
IV
14.0%
B/E move
0.9%
Puts
Pseudo strike
252.42
IV
20.2%
B/E move
0.5%

80Δ

Calls
Pseudo strike
234.33
IV
14.2%
B/E move
0.8%
Puts
Pseudo strike
256.49
IV
22.9%
B/E move
0.4%

Options history

No recorded observations