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Vanguard Consumer Discretionary ETF VCR

i

Market dataready · fetched 2026-11-13T02:14:13.647Z

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 · 2026-11-13T01:00:00.001922529Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-13T02:14:13.259486+00:00

Share price$400.29
1D-0.9%
AH$399$401$403$405$4075:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVCR
Sold putSold callAH

Vanguard Consumer Discretionary ETF options

Live interpolated VCR call and put midpoint premiums by absolute delta.Vanguard Consumer Discretionary ETF$1.33$5.16$9.00$12.84$16.67$382.22$392.00$401.78$411.56$421.3420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VCR spot · $400.29VCR PRICE$1.74$2.25$2.82$3.44$4.11$4.95$5.79$6.81$8.00$9.19$11.42$13.65$15.57$1.76$2.32$3.02$3.73$4.38$5.02$5.84$6.83$7.82$9.03$10.33$11.69$13.48
PutsExpensive1.15×
CallsCheap0.88×
SkewBullish-1.54 pp
Implied moveBalanced±$11.63
TiltBullish2.6% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ414.6126.8%4.0%387.8926.2%3.5%
25Δ411.5925.9%3.4%390.8525.3%2.9%
30Δ408.9725.3%2.9%392.9325.7%2.6%
35Δ406.7825.0%2.5%395.0026.1%2.3%
40Δ404.6524.7%2.1%397.0025.3%1.9%
45Δ402.7824.8%1.9%399.0024.4%1.6%
50Δ400.9224.8%1.6%400.9023.9%1.3%
55Δ399.0125.0%1.4%402.6923.9%1.1%
60Δ397.0525.3%1.2%404.4923.8%0.9%
65Δ395.1025.6%1.0%406.3923.6%0.7%
70Δ392.3527.4%0.9%408.3323.4%0.6%
75Δ389.5928.8%0.7%410.3123.2%0.4%
80Δ387.0028.2%0.6%412.6122.8%0.3%

20Δ

Calls
Pseudo strike
414.61
IV
26.8%
B/E move
4.0%
Puts
Pseudo strike
387.89
IV
26.2%
B/E move
3.5%

25Δ

Calls
Pseudo strike
411.59
IV
25.9%
B/E move
3.4%
Puts
Pseudo strike
390.85
IV
25.3%
B/E move
2.9%

30Δ

Calls
Pseudo strike
408.97
IV
25.3%
B/E move
2.9%
Puts
Pseudo strike
392.93
IV
25.7%
B/E move
2.6%

35Δ

Calls
Pseudo strike
406.78
IV
25.0%
B/E move
2.5%
Puts
Pseudo strike
395.00
IV
26.1%
B/E move
2.3%

40Δ

Calls
Pseudo strike
404.65
IV
24.7%
B/E move
2.1%
Puts
Pseudo strike
397.00
IV
25.3%
B/E move
1.9%

45Δ

Calls
Pseudo strike
402.78
IV
24.8%
B/E move
1.9%
Puts
Pseudo strike
399.00
IV
24.4%
B/E move
1.6%

50Δ

Calls
Pseudo strike
400.92
IV
24.8%
B/E move
1.6%
Puts
Pseudo strike
400.90
IV
23.9%
B/E move
1.3%

55Δ

Calls
Pseudo strike
399.01
IV
25.0%
B/E move
1.4%
Puts
Pseudo strike
402.69
IV
23.9%
B/E move
1.1%

60Δ

Calls
Pseudo strike
397.05
IV
25.3%
B/E move
1.2%
Puts
Pseudo strike
404.49
IV
23.8%
B/E move
0.9%

65Δ

Calls
Pseudo strike
395.10
IV
25.6%
B/E move
1.0%
Puts
Pseudo strike
406.39
IV
23.6%
B/E move
0.7%

70Δ

Calls
Pseudo strike
392.35
IV
27.4%
B/E move
0.9%
Puts
Pseudo strike
408.33
IV
23.4%
B/E move
0.6%

75Δ

Calls
Pseudo strike
389.59
IV
28.8%
B/E move
0.7%
Puts
Pseudo strike
410.31
IV
23.2%
B/E move
0.4%

80Δ

Calls
Pseudo strike
387.00
IV
28.2%
B/E move
0.6%
Puts
Pseudo strike
412.61
IV
22.8%
B/E move
0.3%

Options history

IV · four-Friday blend21.14%
Daily EOD
VCR20.2%20.9%21.6%2026-10-19: 20.31%2026-10-20: 20.54%2026-10-21: 20.67%2026-10-22: 20.99%2026-10-23: 21.36%2026-10-26: 21.52%2026-10-27: 20.63%2026-10-28: 20.62%2026-10-29: 20.38%2026-10-30: 21.14%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
20.31%
20.54%
20.67%
20.99%
21.36%
21.52%
20.63%
20.62%
20.38%
21.14%