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Vanguard Morningstar Small-Cap Value ETF VBR

i

Market dataready · fetched 2026-11-12T03:23:06.396Z

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 · 2026-11-12T01:00:00.014433071Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T03:23:05.968219+00:00

Share price$248.65
1D+0.2%
AH$247.18$247.60$248.02$248.44$248.875:30 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$0.48$3.00$5.52$8.04$10.57$237.16$243.29$249.41$255.54$261.6720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VBR spot · $248.65VBR PRICE$0.75$1.05$1.36$1.67$1.97$2.31$2.81$3.31$3.81$4.31$4.81$5.53$6.47$1.29$1.49$1.67$1.97$2.31$2.65$2.99$3.32$4.19$5.14$6.09$7.04$9.84
PutsCheap0.91×
CallsCheap0.62×
SkewBearish+4.18 pp
Implied moveBearish±$5.80
TiltBearish10.9% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ254.6917.1%2.7%239.8229.3%4.1%
25Δ253.7217.2%2.5%242.0826.1%3.2%
30Δ252.7517.3%2.2%244.3722.4%2.4%
35Δ251.7817.4%1.9%245.7420.9%2.0%
40Δ250.8117.5%1.7%246.7720.2%1.7%
45Δ249.8517.6%1.4%247.8019.4%1.4%
50Δ248.9717.5%1.3%248.8218.7%1.1%
55Δ248.0817.5%1.1%249.8518.0%0.9%
60Δ247.2017.4%0.9%251.0518.6%0.7%
65Δ246.3117.3%0.8%252.2719.4%0.6%
70Δ245.4317.3%0.6%253.5020.2%0.5%
75Δ244.3617.1%0.5%254.7321.1%0.4%
80Δ243.1316.7%0.4%257.7024.9%0.3%

20Δ

Calls
Pseudo strike
254.69
IV
17.1%
B/E move
2.7%
Puts
Pseudo strike
239.82
IV
29.3%
B/E move
4.1%

25Δ

Calls
Pseudo strike
253.72
IV
17.2%
B/E move
2.5%
Puts
Pseudo strike
242.08
IV
26.1%
B/E move
3.2%

30Δ

Calls
Pseudo strike
252.75
IV
17.3%
B/E move
2.2%
Puts
Pseudo strike
244.37
IV
22.4%
B/E move
2.4%

35Δ

Calls
Pseudo strike
251.78
IV
17.4%
B/E move
1.9%
Puts
Pseudo strike
245.74
IV
20.9%
B/E move
2.0%

40Δ

Calls
Pseudo strike
250.81
IV
17.5%
B/E move
1.7%
Puts
Pseudo strike
246.77
IV
20.2%
B/E move
1.7%

45Δ

Calls
Pseudo strike
249.85
IV
17.6%
B/E move
1.4%
Puts
Pseudo strike
247.80
IV
19.4%
B/E move
1.4%

50Δ

Calls
Pseudo strike
248.97
IV
17.5%
B/E move
1.3%
Puts
Pseudo strike
248.82
IV
18.7%
B/E move
1.1%

55Δ

Calls
Pseudo strike
248.08
IV
17.5%
B/E move
1.1%
Puts
Pseudo strike
249.85
IV
18.0%
B/E move
0.9%

60Δ

Calls
Pseudo strike
247.20
IV
17.4%
B/E move
0.9%
Puts
Pseudo strike
251.05
IV
18.6%
B/E move
0.7%

65Δ

Calls
Pseudo strike
246.31
IV
17.3%
B/E move
0.8%
Puts
Pseudo strike
252.27
IV
19.4%
B/E move
0.6%

70Δ

Calls
Pseudo strike
245.43
IV
17.3%
B/E move
0.6%
Puts
Pseudo strike
253.50
IV
20.2%
B/E move
0.5%

75Δ

Calls
Pseudo strike
244.36
IV
17.1%
B/E move
0.5%
Puts
Pseudo strike
254.73
IV
21.1%
B/E move
0.4%

80Δ

Calls
Pseudo strike
243.13
IV
16.7%
B/E move
0.4%
Puts
Pseudo strike
257.70
IV
24.9%
B/E move
0.3%

Options history

IV · four-Friday blend16.33%
Daily EOD
VBR15.8%16.2%16.6%2026-10-19: 16.42%2026-10-20: 16.04%2026-10-21: 16.00%2026-10-22: 16.19%2026-10-23: 16.33%2026-10-26: 16.59%2026-10-27: 16.45%2026-10-28: 15.89%2026-10-29: 15.83%2026-10-30: 16.33%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
16.42%
16.04%
16.00%
16.19%
16.33%
16.59%
16.45%
15.89%
15.83%
16.33%