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Vanguard Mortgage-Backed Securities ETF VMBS

i

Market dataready · fetched 2026-11-12T01:51:27.269Z

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 · 2026-11-11T23:08:14.941120243Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T01:51:26.859923+00:00

Share price$45.26
1D-0.1%
AH$45.12$45.16$45.20$45.24$45.285:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVMBS
Sold putSold callAH

Vanguard Mortgage-Backed Securities ETF options

Live interpolated VMBS call and put midpoint premiums by absolute delta.Vanguard Mortgage-Backed Securities ETF$0.04$0.23$0.43$0.62$0.82$43.02$44.11$45.21$46.31$47.4120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VMBS spot · $45.26VMBS PRICE$0.07$0.10$0.12$0.14$0.17$0.19$0.21$0.24$0.26$0.29$0.31$0.33$0.45$0.06$0.07$0.13$0.19$0.25$0.32$0.38$0.44$0.51$0.57$0.63$0.70$0.76
PutsCheap0.34×
CallsCheap0.26×
SkewBearish+2.40 pp
Implied moveBearish±$0.60
TiltBearish27.0% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ45.857.3%1.5%44.708.5%1.4%
25Δ45.787.1%1.4%44.967.1%0.8%
30Δ45.716.9%1.3%45.087.1%0.7%
35Δ45.646.8%1.1%45.177.5%0.6%
40Δ45.566.6%1.0%45.267.9%0.6%
45Δ45.496.5%0.9%45.358.2%0.5%
50Δ45.426.3%0.8%45.448.6%0.5%
55Δ45.346.2%0.7%45.539.0%0.4%
60Δ45.276.0%0.6%45.629.3%0.3%
65Δ45.205.8%0.5%45.719.7%0.3%
70Δ45.135.7%0.4%45.8010.1%0.2%
75Δ45.055.5%0.3%45.8910.4%0.2%
80Δ44.896.3%0.2%45.9810.8%0.1%

20Δ

Calls
Pseudo strike
45.85
IV
7.3%
B/E move
1.5%
Puts
Pseudo strike
44.70
IV
8.5%
B/E move
1.4%

25Δ

Calls
Pseudo strike
45.78
IV
7.1%
B/E move
1.4%
Puts
Pseudo strike
44.96
IV
7.1%
B/E move
0.8%

30Δ

Calls
Pseudo strike
45.71
IV
6.9%
B/E move
1.3%
Puts
Pseudo strike
45.08
IV
7.1%
B/E move
0.7%

35Δ

Calls
Pseudo strike
45.64
IV
6.8%
B/E move
1.1%
Puts
Pseudo strike
45.17
IV
7.5%
B/E move
0.6%

40Δ

Calls
Pseudo strike
45.56
IV
6.6%
B/E move
1.0%
Puts
Pseudo strike
45.26
IV
7.9%
B/E move
0.6%

45Δ

Calls
Pseudo strike
45.49
IV
6.5%
B/E move
0.9%
Puts
Pseudo strike
45.35
IV
8.2%
B/E move
0.5%

50Δ

Calls
Pseudo strike
45.42
IV
6.3%
B/E move
0.8%
Puts
Pseudo strike
45.44
IV
8.6%
B/E move
0.5%

55Δ

Calls
Pseudo strike
45.34
IV
6.2%
B/E move
0.7%
Puts
Pseudo strike
45.53
IV
9.0%
B/E move
0.4%

60Δ

Calls
Pseudo strike
45.27
IV
6.0%
B/E move
0.6%
Puts
Pseudo strike
45.62
IV
9.3%
B/E move
0.3%

65Δ

Calls
Pseudo strike
45.20
IV
5.8%
B/E move
0.5%
Puts
Pseudo strike
45.71
IV
9.7%
B/E move
0.3%

70Δ

Calls
Pseudo strike
45.13
IV
5.7%
B/E move
0.4%
Puts
Pseudo strike
45.80
IV
10.1%
B/E move
0.2%

75Δ

Calls
Pseudo strike
45.05
IV
5.5%
B/E move
0.3%
Puts
Pseudo strike
45.89
IV
10.4%
B/E move
0.2%

80Δ

Calls
Pseudo strike
44.89
IV
6.3%
B/E move
0.2%
Puts
Pseudo strike
45.98
IV
10.8%
B/E move
0.1%

Options history

IV · four-Friday blend10.87%
Daily EOD
VMBS7.5%9.4%11.4%2026-10-20: 8.58%2026-10-21: 7.72%2026-10-26: 8.97%2026-10-27: 11.11%2026-10-28: 10.87%Oct 20Oct 26Oct 28
5 observations2026-10-20 — 2026-10-28
Table
DateIV (%)
8.58%
7.72%
8.97%
11.11%
10.87%