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Vanguard Consumer Discretionary ETF VCR

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Market dataready · fetched 2026-10-23T01:38:43.874Z

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 · 2026-10-23T00:00:00.003342655Z

FundamentalsAlpha Vantage · ready · fetched 2026-10-23T01:38:43.135377+00:00

Share price$384.23
1D+0.5%
AH$381.93$382.91$383.88$384.85$385.835:30 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$1.56$7.34$13.11$18.88$24.65$355.28$369.42$383.57$397.71$411.8620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VCR spot · $384.23VCR PRICE$2.19$2.95$3.89$4.88$6.00$7.21$8.54$10.14$11.92$13.90$16.10$18.80$22.98$3.05$3.93$4.90$6.00$7.18$8.50$9.91$11.46$12.81$14.08$16.36$18.93$21.61
PutsExpensive1.44×
CallsExpensive1.24×
SkewBearish+1.23 pp
Implied moveBearish±$18.45
TiltBearish3.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ403.1718.3%5.5%364.6224.4%5.9%
25Δ399.9918.8%4.9%369.3523.5%4.9%
30Δ397.1519.2%4.4%373.2922.9%4.1%
35Δ394.3319.6%3.9%376.8022.6%3.5%
40Δ391.5819.9%3.5%380.0722.4%3.0%
45Δ388.8220.2%3.1%383.1322.2%2.5%
50Δ386.0620.4%2.7%386.1622.0%2.1%
55Δ383.2120.8%2.4%389.1521.8%1.7%
60Δ380.2921.3%2.1%391.8921.1%1.3%
65Δ377.1921.4%1.8%394.5420.1%1.0%
70Δ373.9121.7%1.5%397.7920.1%0.7%
75Δ370.2722.1%1.3%401.2220.2%0.5%
80Δ365.3123.5%1.1%404.7519.9%0.3%

20Δ

Calls
Pseudo strike
403.17
IV
18.3%
B/E move
5.5%
Puts
Pseudo strike
364.62
IV
24.4%
B/E move
5.9%

25Δ

Calls
Pseudo strike
399.99
IV
18.8%
B/E move
4.9%
Puts
Pseudo strike
369.35
IV
23.5%
B/E move
4.9%

30Δ

Calls
Pseudo strike
397.15
IV
19.2%
B/E move
4.4%
Puts
Pseudo strike
373.29
IV
22.9%
B/E move
4.1%

35Δ

Calls
Pseudo strike
394.33
IV
19.6%
B/E move
3.9%
Puts
Pseudo strike
376.80
IV
22.6%
B/E move
3.5%

40Δ

Calls
Pseudo strike
391.58
IV
19.9%
B/E move
3.5%
Puts
Pseudo strike
380.07
IV
22.4%
B/E move
3.0%

45Δ

Calls
Pseudo strike
388.82
IV
20.2%
B/E move
3.1%
Puts
Pseudo strike
383.13
IV
22.2%
B/E move
2.5%

50Δ

Calls
Pseudo strike
386.06
IV
20.4%
B/E move
2.7%
Puts
Pseudo strike
386.16
IV
22.0%
B/E move
2.1%

55Δ

Calls
Pseudo strike
383.21
IV
20.8%
B/E move
2.4%
Puts
Pseudo strike
389.15
IV
21.8%
B/E move
1.7%

60Δ

Calls
Pseudo strike
380.29
IV
21.3%
B/E move
2.1%
Puts
Pseudo strike
391.89
IV
21.1%
B/E move
1.3%

65Δ

Calls
Pseudo strike
377.19
IV
21.4%
B/E move
1.8%
Puts
Pseudo strike
394.54
IV
20.1%
B/E move
1.0%

70Δ

Calls
Pseudo strike
373.91
IV
21.7%
B/E move
1.5%
Puts
Pseudo strike
397.79
IV
20.1%
B/E move
0.7%

75Δ

Calls
Pseudo strike
370.27
IV
22.1%
B/E move
1.3%
Puts
Pseudo strike
401.22
IV
20.2%
B/E move
0.5%

80Δ

Calls
Pseudo strike
365.31
IV
23.5%
B/E move
1.1%
Puts
Pseudo strike
404.75
IV
19.9%
B/E move
0.3%

Options history

No recorded observations