IntraAlpha
Create free account Start free

Vanguard Long-Term Corporate Bond ETF VCLT

i

Market dataready · fetched 2026-10-24T05:34:28.176Z

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 · 2026-10-23T20:45:55.3170042Z

FundamentalsAlpha Vantage · ready · fetched 2026-10-24T05:34:28.232813+00:00

Share price$70.38
1D-0.2%
AH$70.30$70.40$70.49$70.59$70.695:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVCLT
Sold putSold callAH

Vanguard Long-Term Corporate Bond ETF options

Live interpolated VCLT call and put midpoint premiums by absolute delta.Vanguard Long-Term Corporate Bond ETF$0.02$1.39$2.75$4.12$5.48$66.37$68.35$70.33$72.31$74.2920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VCLT spot · $70.38VCLT PRICE$0.17$0.25$0.32$0.39$0.47$0.51$0.54$0.58$0.62$0.66$0.69$0.79$1.24$0.34$0.47$0.56$0.48$0.61$0.83$1.06$1.29$1.60$1.92$2.47$3.45$5.09
PutsCheap0.90×
CallsCheap0.44×
SkewBearish+8.05 pp
Implied moveBearish±$1.60
TiltBearish47.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ71.937.8%2.4%68.4413.8%3.2%
25Δ71.718.0%2.2%68.7415.0%3.0%
30Δ71.488.2%2.0%69.1015.3%2.6%
35Δ71.258.4%1.8%69.7810.7%1.5%
40Δ71.038.6%1.6%70.1810.1%1.1%
45Δ70.878.1%1.4%70.4511.4%1.1%
50Δ70.727.6%1.3%70.7212.7%1.0%
55Δ70.577.0%1.1%70.9814.0%1.0%
60Δ70.426.4%0.9%71.4014.8%0.8%
65Δ70.275.8%0.8%71.8315.5%0.7%
70Δ70.135.2%0.6%72.4617.2%0.6%
75Δ69.935.0%0.5%73.4820.6%0.5%
80Δ69.476.5%0.5%75.1526.2%0.5%

20Δ

Calls
Pseudo strike
71.93
IV
7.8%
B/E move
2.4%
Puts
Pseudo strike
68.44
IV
13.8%
B/E move
3.2%

25Δ

Calls
Pseudo strike
71.71
IV
8.0%
B/E move
2.2%
Puts
Pseudo strike
68.74
IV
15.0%
B/E move
3.0%

30Δ

Calls
Pseudo strike
71.48
IV
8.2%
B/E move
2.0%
Puts
Pseudo strike
69.10
IV
15.3%
B/E move
2.6%

35Δ

Calls
Pseudo strike
71.25
IV
8.4%
B/E move
1.8%
Puts
Pseudo strike
69.78
IV
10.7%
B/E move
1.5%

40Δ

Calls
Pseudo strike
71.03
IV
8.6%
B/E move
1.6%
Puts
Pseudo strike
70.18
IV
10.1%
B/E move
1.1%

45Δ

Calls
Pseudo strike
70.87
IV
8.1%
B/E move
1.4%
Puts
Pseudo strike
70.45
IV
11.4%
B/E move
1.1%

50Δ

Calls
Pseudo strike
70.72
IV
7.6%
B/E move
1.3%
Puts
Pseudo strike
70.72
IV
12.7%
B/E move
1.0%

55Δ

Calls
Pseudo strike
70.57
IV
7.0%
B/E move
1.1%
Puts
Pseudo strike
70.98
IV
14.0%
B/E move
1.0%

60Δ

Calls
Pseudo strike
70.42
IV
6.4%
B/E move
0.9%
Puts
Pseudo strike
71.40
IV
14.8%
B/E move
0.8%

65Δ

Calls
Pseudo strike
70.27
IV
5.8%
B/E move
0.8%
Puts
Pseudo strike
71.83
IV
15.5%
B/E move
0.7%

70Δ

Calls
Pseudo strike
70.13
IV
5.2%
B/E move
0.6%
Puts
Pseudo strike
72.46
IV
17.2%
B/E move
0.6%

75Δ

Calls
Pseudo strike
69.93
IV
5.0%
B/E move
0.5%
Puts
Pseudo strike
73.48
IV
20.6%
B/E move
0.5%

80Δ

Calls
Pseudo strike
69.47
IV
6.5%
B/E move
0.5%
Puts
Pseudo strike
75.15
IV
26.2%
B/E move
0.5%

Options history

No recorded observations