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Vanguard U.S. Quality Factor ETF VFQY

i

Market dataready · fetched 2026-11-13T02:49:26.797Z

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 · 2026-11-13T01:00:07.860176942Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-13T02:49:26.458381+00:00

Share price$177.35
1D-0.8%
AH$177.21$177.73$178.24$178.76$179.285:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVFQY
Sold putSold callAH

Vanguard U.S. Quality Factor ETF options

Live interpolated VFQY call and put midpoint premiums by absolute delta.Vanguard U.S. Quality Factor ETF$0.56$1.45$2.34$3.22$4.11$-0.18$0.16$0.50$0.84$1.1820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ45Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICEVFQY PRICE$0.66$0.76$0.89$1.03$1.23$1.46$1.80$2.15$2.19$2.23$2.52$3.02$3.85$0.74$0.82$0.91$1.00$1.07$2.27$2.52$2.82$3.15$3.49$3.83
Puts——
CallsCheap0.29×
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ182.7923.3%3.4%172.2325.1%3.3%
25Δ181.1520.1%2.6%173.9721.0%2.4%
30Δ180.0918.3%2.0%175.1118.3%1.8%
35Δ179.3317.2%1.7%175.9616.2%1.3%
40Δ178.6816.7%1.4%176.5714.5%1.0%
45Δ178.1116.6%1.2%
50Δ177.5417.3%1.1%
55Δ176.9818.0%1.0%178.1618.3%0.8%
60Δ176.5816.0%0.8%178.7217.5%0.7%
65Δ176.1814.0%0.6%179.2816.9%0.5%
70Δ175.6613.5%0.5%179.8416.5%0.4%
75Δ175.0414.2%0.4%180.3715.8%0.3%
80Δ174.1115.6%0.3%180.9015.0%0.2%

20Δ

Calls
Pseudo strike
182.79
IV
23.3%
B/E move
3.4%
Puts
Pseudo strike
172.23
IV
25.1%
B/E move
3.3%

25Δ

Calls
Pseudo strike
181.15
IV
20.1%
B/E move
2.6%
Puts
Pseudo strike
173.97
IV
21.0%
B/E move
2.4%

30Δ

Calls
Pseudo strike
180.09
IV
18.3%
B/E move
2.0%
Puts
Pseudo strike
175.11
IV
18.3%
B/E move
1.8%

35Δ

Calls
Pseudo strike
179.33
IV
17.2%
B/E move
1.7%
Puts
Pseudo strike
175.96
IV
16.2%
B/E move
1.3%

40Δ

Calls
Pseudo strike
178.68
IV
16.7%
B/E move
1.4%
Puts
Pseudo strike
176.57
IV
14.5%
B/E move
1.0%

45Δ

Calls
Pseudo strike
178.11
IV
16.6%
B/E move
1.2%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
177.54
IV
17.3%
B/E move
1.1%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
176.98
IV
18.0%
B/E move
1.0%
Puts
Pseudo strike
178.16
IV
18.3%
B/E move
0.8%

60Δ

Calls
Pseudo strike
176.58
IV
16.0%
B/E move
0.8%
Puts
Pseudo strike
178.72
IV
17.5%
B/E move
0.7%

65Δ

Calls
Pseudo strike
176.18
IV
14.0%
B/E move
0.6%
Puts
Pseudo strike
179.28
IV
16.9%
B/E move
0.5%

70Δ

Calls
Pseudo strike
175.66
IV
13.5%
B/E move
0.5%
Puts
Pseudo strike
179.84
IV
16.5%
B/E move
0.4%

75Δ

Calls
Pseudo strike
175.04
IV
14.2%
B/E move
0.4%
Puts
Pseudo strike
180.37
IV
15.8%
B/E move
0.3%

80Δ

Calls
Pseudo strike
174.11
IV
15.6%
B/E move
0.3%
Puts
Pseudo strike
180.90
IV
15.0%
B/E move
0.2%

Options history

IV · four-Friday blend14.23%
Daily EOD
VFQY13.1%16.0%18.9%2026-10-19: 17.58%2026-10-20: 17.21%2026-10-21: 13.51%2026-10-22: 15.46%2026-10-23: 18.39%2026-10-26: 14.36%2026-10-27: 18.47%2026-10-28: 15.43%2026-10-29: 18.36%2026-10-30: 14.23%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
17.58%
17.21%
13.51%
15.46%
18.39%
14.36%
18.47%
15.43%
18.36%
14.23%