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Vanguard Short-Term Treasury ETF VGSH

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Market datapartial · fetched 2026-10-22T20:15:01.189Z

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 · 2026-10-22T20:09:57.049254379Z

FundamentalsAlpha Vantage · unavailable

Share price$57.79
1D+0.1%
AH$57.68$57.72$57.77$57.81$57.855:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVGSH
Sold putSold callAH

Vanguard Short-Term Treasury ETF options

Live interpolated VGSH call and put midpoint premiums by absolute delta.Vanguard Short-Term Treasury ETF$0.18$0.80$1.43$2.05$2.68$53.66$55.71$57.77$59.83$61.8820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VGSH spot · $57.78VGSH PRICE$0.97$0.97$0.97$0.97$0.99$1.00$1.10$1.22$1.34$1.47$1.65$1.82$0.97$0.97$0.97$0.97$0.85$0.55$0.25$0.77$1.35$1.77$1.96$2.14$2.50
PutsFair0.99×
CallsFair0.98×
SkewBearish+0.38 pp
Implied moveBullish±$1.25
TiltBearish5.1% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ52.0150.0%11.7%
25Δ63.3642.6%11.3%54.2438.1%7.8%
30Δ61.1733.0%7.6%55.6330.2%5.4%
35Δ59.8826.6%5.3%56.5524.7%3.8%
40Δ59.0121.7%3.8%57.1718.8%2.5%
45Δ58.5418.8%3.0%57.5711.3%1.3%
50Δ58.0715.9%2.2%57.973.9%0.1%
55Δ57.7614.9%1.9%58.378.5%0.3%
60Δ57.4914.2%1.6%58.7613.9%0.6%
65Δ57.2113.5%1.3%59.1216.9%0.8%
70Δ56.9112.9%1.0%59.4316.1%0.5%
75Δ56.5812.4%0.8%59.7415.3%0.3%
80Δ56.2411.9%0.5%60.2015.4%0.1%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
52.01
IV
50.0%
B/E move
11.7%

25Δ

Calls
Pseudo strike
63.36
IV
42.6%
B/E move
11.3%
Puts
Pseudo strike
54.24
IV
38.1%
B/E move
7.8%

30Δ

Calls
Pseudo strike
61.17
IV
33.0%
B/E move
7.6%
Puts
Pseudo strike
55.63
IV
30.2%
B/E move
5.4%

35Δ

Calls
Pseudo strike
59.88
IV
26.6%
B/E move
5.3%
Puts
Pseudo strike
56.55
IV
24.7%
B/E move
3.8%

40Δ

Calls
Pseudo strike
59.01
IV
21.7%
B/E move
3.8%
Puts
Pseudo strike
57.17
IV
18.8%
B/E move
2.5%

45Δ

Calls
Pseudo strike
58.54
IV
18.8%
B/E move
3.0%
Puts
Pseudo strike
57.57
IV
11.3%
B/E move
1.3%

50Δ

Calls
Pseudo strike
58.07
IV
15.9%
B/E move
2.2%
Puts
Pseudo strike
57.97
IV
3.9%
B/E move
0.1%

55Δ

Calls
Pseudo strike
57.76
IV
14.9%
B/E move
1.9%
Puts
Pseudo strike
58.37
IV
8.5%
B/E move
0.3%

60Δ

Calls
Pseudo strike
57.49
IV
14.2%
B/E move
1.6%
Puts
Pseudo strike
58.76
IV
13.9%
B/E move
0.6%

65Δ

Calls
Pseudo strike
57.21
IV
13.5%
B/E move
1.3%
Puts
Pseudo strike
59.12
IV
16.9%
B/E move
0.8%

70Δ

Calls
Pseudo strike
56.91
IV
12.9%
B/E move
1.0%
Puts
Pseudo strike
59.43
IV
16.1%
B/E move
0.5%

75Δ

Calls
Pseudo strike
56.58
IV
12.4%
B/E move
0.8%
Puts
Pseudo strike
59.74
IV
15.3%
B/E move
0.3%

80Δ

Calls
Pseudo strike
56.24
IV
11.9%
B/E move
0.5%
Puts
Pseudo strike
60.20
IV
15.4%
B/E move
0.1%

Options history

No recorded observations