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Vanguard Short-Term Treasury ETF VGSH

i

Market dataready · fetched 2026-11-12T00:52:14.779Z

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 · 2026-11-12T00:18:43.596574567Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T00:52:14.297756+00:00

Share price$57.62
1D-0.0%
AH$57.57$57.59$57.61$57.63$57.665:30 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$0.00$0.57$1.14$1.70$2.27$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —35Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —40Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —45Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —50Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —55Δ C unavailable: no unambiguous, price-consistent delta bracketC —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICEVGSH PRICE$0.05$1.54$1.69$1.84$1.32$1.49$1.66$1.83$1.97$2.11
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ58.155.6%1.0%
25Δ
30Δ
35Δ
40Δ
45Δ
50Δ
55Δ58.0930.7%1.5%
60Δ58.4129.7%1.2%
65Δ56.7828.4%1.2%58.7428.7%0.9%
70Δ56.5026.9%1.0%59.0427.5%0.7%
75Δ56.2125.5%0.7%59.2825.4%0.5%
80Δ59.5123.4%0.4%

20Δ

Calls
Pseudo strike
58.15
IV
5.6%
B/E move
1.0%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
58.09
IV
30.7%
B/E move
1.5%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
58.41
IV
29.7%
B/E move
1.2%

65Δ

Calls
Pseudo strike
56.78
IV
28.4%
B/E move
1.2%
Puts
Pseudo strike
58.74
IV
28.7%
B/E move
0.9%

70Δ

Calls
Pseudo strike
56.50
IV
26.9%
B/E move
1.0%
Puts
Pseudo strike
59.04
IV
27.5%
B/E move
0.7%

75Δ

Calls
Pseudo strike
56.21
IV
25.5%
B/E move
0.7%
Puts
Pseudo strike
59.28
IV
25.4%
B/E move
0.5%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
59.51
IV
23.4%
B/E move
0.4%

Options history

IV · four-Friday blend42.96%
Daily EOD
VGSH41.6%51.7%61.9%2026-10-19: 48.68%2026-10-20: 48.51%2026-10-21: 50.65%2026-10-22: 51.19%2026-10-23: 52.85%2026-10-26: 55.70%2026-10-27: 57.39%2026-10-28: 60.48%2026-10-29: 42.96%Oct 19Oct 23Oct 29
9 observations2026-10-19 — 2026-10-29
Table
DateIV (%)
48.68%
48.51%
50.65%
51.19%
52.85%
55.70%
57.39%
60.48%
42.96%