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Vanguard ESG U.S. Corporate Bond ETF VCEB

i

Market dataready · fetched 2026-11-12T02:55:39.775Z

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 · 2026-11-12T01:00:07.794230142Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T02:55:39.338875+00:00

Share price$60.20
1D+0.1%
AH$60.03$60.08$60.14$60.19$60.255:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVCEB
Sold putSold callAH

Vanguard ESG U.S. Corporate Bond ETF options

Live interpolated VCEB call and put midpoint premiums by absolute delta.Vanguard ESG U.S. Corporate Bond ETF$0.52$0.83$1.14$1.45$1.75$57.52$58.87$60.22$61.56$62.9120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VCEB spot · $60.20VCEB PRICE$0.55$0.55$0.55$0.55$0.57$0.60$0.63$0.66$0.75$0.98$1.21$1.44$1.67$0.55$0.55$0.55$0.57$0.59$0.62$0.69$0.76$0.83$0.90$0.97$1.26$1.59
PutsExpensive3.26×
CallsExpensive4.46×
SkewBullish-0.35 pp
Implied moveBearish±$1.31
TiltBalanced1.3% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ64.9855.0%8.9%56.5451.2%7.0%
25Δ63.0240.8%5.6%58.0038.4%4.6%
30Δ61.9432.0%3.8%58.8330.5%3.2%
35Δ61.3126.1%2.8%59.3226.0%2.4%
40Δ60.8822.1%2.1%59.7122.2%1.8%
45Δ60.6420.0%1.7%60.0519.3%1.3%
50Δ60.4017.9%1.4%60.2418.3%1.1%
55Δ60.1615.7%1.0%60.4217.3%0.9%
60Δ59.9014.5%0.8%60.6116.3%0.7%
65Δ59.6114.8%0.7%60.7915.3%0.5%
70Δ59.3215.1%0.5%60.9814.3%0.3%
75Δ59.0315.4%0.4%61.3215.3%0.2%
80Δ58.7415.8%0.3%61.6816.6%0.2%

20Δ

Calls
Pseudo strike
64.98
IV
55.0%
B/E move
8.9%
Puts
Pseudo strike
56.54
IV
51.2%
B/E move
7.0%

25Δ

Calls
Pseudo strike
63.02
IV
40.8%
B/E move
5.6%
Puts
Pseudo strike
58.00
IV
38.4%
B/E move
4.6%

30Δ

Calls
Pseudo strike
61.94
IV
32.0%
B/E move
3.8%
Puts
Pseudo strike
58.83
IV
30.5%
B/E move
3.2%

35Δ

Calls
Pseudo strike
61.31
IV
26.1%
B/E move
2.8%
Puts
Pseudo strike
59.32
IV
26.0%
B/E move
2.4%

40Δ

Calls
Pseudo strike
60.88
IV
22.1%
B/E move
2.1%
Puts
Pseudo strike
59.71
IV
22.2%
B/E move
1.8%

45Δ

Calls
Pseudo strike
60.64
IV
20.0%
B/E move
1.7%
Puts
Pseudo strike
60.05
IV
19.3%
B/E move
1.3%

50Δ

Calls
Pseudo strike
60.40
IV
17.9%
B/E move
1.4%
Puts
Pseudo strike
60.24
IV
18.3%
B/E move
1.1%

55Δ

Calls
Pseudo strike
60.16
IV
15.7%
B/E move
1.0%
Puts
Pseudo strike
60.42
IV
17.3%
B/E move
0.9%

60Δ

Calls
Pseudo strike
59.90
IV
14.5%
B/E move
0.8%
Puts
Pseudo strike
60.61
IV
16.3%
B/E move
0.7%

65Δ

Calls
Pseudo strike
59.61
IV
14.8%
B/E move
0.7%
Puts
Pseudo strike
60.79
IV
15.3%
B/E move
0.5%

70Δ

Calls
Pseudo strike
59.32
IV
15.1%
B/E move
0.5%
Puts
Pseudo strike
60.98
IV
14.3%
B/E move
0.3%

75Δ

Calls
Pseudo strike
59.03
IV
15.4%
B/E move
0.4%
Puts
Pseudo strike
61.32
IV
15.3%
B/E move
0.2%

80Δ

Calls
Pseudo strike
58.74
IV
15.8%
B/E move
0.3%
Puts
Pseudo strike
61.68
IV
16.6%
B/E move
0.2%

Options history

IV · four-Friday blend12.69%
Daily EOD
VCEB9.6%32.0%54.3%2026-10-19: 39.96%2026-10-20: 46.45%2026-10-21: 46.92%2026-10-22: 46.84%2026-10-23: 47.61%2026-10-26: 49.18%2026-10-27: 49.59%2026-10-28: 50.35%2026-10-29: 51.26%2026-10-30: 12.69%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
39.96%
46.45%
46.92%
46.84%
47.61%
49.18%
49.59%
50.35%
51.26%
12.69%