IntraAlpha
Create free account Start free

State Street SPDR S&P 1500 Value Tilt ETF VLU

i

Market dataready · fetched 2026-11-12T16:28:17.058Z

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 · 2026-11-12T15:57:08.977300859Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T16:28:16.684630+00:00

Share price$250.14
1D-0.2%
$249.58$249.89$250.20$250.50$250.815:30 AM6:30 AM9:00 AM1:00 PMVLU
Sold putSold call

State Street SPDR S&P 1500 Value Tilt ETF options

Live interpolated VLU call and put midpoint premiums by absolute delta.State Street SPDR S&P 1500 Value Tilt ETF$0.54$2.01$3.47$4.94$6.40$-0.25$0.12$0.50$0.88$1.2520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ50Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICEVLU PRICE$0.70$0.87$1.12$1.36$1.61$1.85$2.10$2.51$3.20$3.90$4.59$5.28$5.98$0.83$0.97$1.13$1.29$1.44$1.60
Puts——
CallsCheap0.85×
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ256.2917.5%2.7%244.1719.8%2.7%
25Δ254.5215.4%2.1%245.7417.6%2.1%
30Δ253.7115.1%1.9%246.7316.4%1.8%
35Δ252.9114.9%1.7%247.7215.2%1.5%
40Δ252.1114.6%1.4%248.7114.0%1.1%
45Δ251.3114.4%1.2%249.7012.7%0.8%
50Δ250.5114.2%1.0%
55Δ249.6614.2%0.8%
60Δ248.7514.8%0.7%
65Δ247.8315.4%0.6%
70Δ246.9216.0%0.5%
75Δ246.0116.6%0.5%
80Δ245.0917.2%0.4%

20Δ

Calls
Pseudo strike
256.29
IV
17.5%
B/E move
2.7%
Puts
Pseudo strike
244.17
IV
19.8%
B/E move
2.7%

25Δ

Calls
Pseudo strike
254.52
IV
15.4%
B/E move
2.1%
Puts
Pseudo strike
245.74
IV
17.6%
B/E move
2.1%

30Δ

Calls
Pseudo strike
253.71
IV
15.1%
B/E move
1.9%
Puts
Pseudo strike
246.73
IV
16.4%
B/E move
1.8%

35Δ

Calls
Pseudo strike
252.91
IV
14.9%
B/E move
1.7%
Puts
Pseudo strike
247.72
IV
15.2%
B/E move
1.5%

40Δ

Calls
Pseudo strike
252.11
IV
14.6%
B/E move
1.4%
Puts
Pseudo strike
248.71
IV
14.0%
B/E move
1.1%

45Δ

Calls
Pseudo strike
251.31
IV
14.4%
B/E move
1.2%
Puts
Pseudo strike
249.70
IV
12.7%
B/E move
0.8%

50Δ

Calls
Pseudo strike
250.51
IV
14.2%
B/E move
1.0%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
249.66
IV
14.2%
B/E move
0.8%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
248.75
IV
14.8%
B/E move
0.7%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
247.83
IV
15.4%
B/E move
0.6%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
246.92
IV
16.0%
B/E move
0.5%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
246.01
IV
16.6%
B/E move
0.5%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
245.09
IV
17.2%
B/E move
0.4%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend13.13%
Daily EOD
VLU11.8%12.5%13.3%2026-10-19: 13.20%2026-10-20: 13.04%2026-10-21: 13.01%2026-10-22: 12.84%2026-10-23: 13.17%2026-10-26: 12.50%2026-10-27: 12.24%2026-10-28: 12.23%2026-10-29: 11.86%2026-10-30: 13.13%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
13.20%
13.04%
13.01%
12.84%
13.17%
12.50%
12.24%
12.23%
11.86%
13.13%