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Vanguard Mortgage-Backed Securities ETF VMBS

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Market datapartial · fetched 2026-10-22T23:45:31.854Z

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 · 2026-10-22T23:33:27.630211209Z

FundamentalsAlpha Vantage · unavailable

Share price$45.35
1D+0.8%
AH$44.99$45.10$45.21$45.31$45.425:30 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$0.09$0.58$1.07$1.56$2.05$40.85$43.06$45.27$47.48$49.6920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VMBS spot · $45.35VMBS PRICE$0.50$0.50$0.14$0.16$0.18$0.20$0.22$0.25$0.27$0.29$0.31$0.33$0.35$0.51$0.49$0.39$0.31$0.42$0.53$0.63$0.74$0.85$1.10$1.48$1.91
PutsCheap0.55×
CallsCheap0.32×
SkewBearish+7.18 pp
Implied moveBearish±$0.86
TiltBearish43.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ49.9436.9%11.2%41.9935.3%8.5%
25Δ48.0927.4%7.1%43.3226.1%5.6%
30Δ45.955.9%1.6%44.2017.6%3.4%
35Δ45.865.6%1.5%45.0210.0%1.4%
40Δ45.775.3%1.3%45.2010.4%1.3%
45Δ45.695.0%1.2%45.3810.7%1.1%
50Δ45.604.7%1.1%45.5611.1%0.9%
55Δ45.524.4%0.9%45.7411.4%0.8%
60Δ45.434.1%0.8%45.9211.8%0.6%
65Δ45.353.8%0.6%46.2213.0%0.5%
70Δ45.263.5%0.5%46.6315.1%0.4%
75Δ45.183.2%0.4%47.0917.4%0.4%
80Δ45.092.9%0.2%

20Δ

Calls
Pseudo strike
49.94
IV
36.9%
B/E move
11.2%
Puts
Pseudo strike
41.99
IV
35.3%
B/E move
8.5%

25Δ

Calls
Pseudo strike
48.09
IV
27.4%
B/E move
7.1%
Puts
Pseudo strike
43.32
IV
26.1%
B/E move
5.6%

30Δ

Calls
Pseudo strike
45.95
IV
5.9%
B/E move
1.6%
Puts
Pseudo strike
44.20
IV
17.6%
B/E move
3.4%

35Δ

Calls
Pseudo strike
45.86
IV
5.6%
B/E move
1.5%
Puts
Pseudo strike
45.02
IV
10.0%
B/E move
1.4%

40Δ

Calls
Pseudo strike
45.77
IV
5.3%
B/E move
1.3%
Puts
Pseudo strike
45.20
IV
10.4%
B/E move
1.3%

45Δ

Calls
Pseudo strike
45.69
IV
5.0%
B/E move
1.2%
Puts
Pseudo strike
45.38
IV
10.7%
B/E move
1.1%

50Δ

Calls
Pseudo strike
45.60
IV
4.7%
B/E move
1.1%
Puts
Pseudo strike
45.56
IV
11.1%
B/E move
0.9%

55Δ

Calls
Pseudo strike
45.52
IV
4.4%
B/E move
0.9%
Puts
Pseudo strike
45.74
IV
11.4%
B/E move
0.8%

60Δ

Calls
Pseudo strike
45.43
IV
4.1%
B/E move
0.8%
Puts
Pseudo strike
45.92
IV
11.8%
B/E move
0.6%

65Δ

Calls
Pseudo strike
45.35
IV
3.8%
B/E move
0.6%
Puts
Pseudo strike
46.22
IV
13.0%
B/E move
0.5%

70Δ

Calls
Pseudo strike
45.26
IV
3.5%
B/E move
0.5%
Puts
Pseudo strike
46.63
IV
15.1%
B/E move
0.4%

75Δ

Calls
Pseudo strike
45.18
IV
3.2%
B/E move
0.4%
Puts
Pseudo strike
47.09
IV
17.4%
B/E move
0.4%

80Δ

Calls
Pseudo strike
45.09
IV
2.9%
B/E move
0.2%
Puts
Pseudo strike
IV
B/E move

Options history

No recorded observations