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Vanguard Scottsdale Funds Vanguard Russell 1000 Value ETF VONV

i

Market dataready · fetched 2026-11-12T03:17:18.806Z

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 · 2026-11-11T21:00:00.092404405Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T03:17:18.419686+00:00

Share price$115.70
1D+0.3%
AH$115.02$115.21$115.39$115.57$115.765:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVONV
Sold putSold callAH

Vanguard Scottsdale Funds Vanguard Russell 1000 Value ETF options

Live interpolated VONV call and put midpoint premiums by absolute delta.Vanguard Scottsdale Funds Vanguard Russell 1000 Value ETF$0.67$1.75$2.83$3.91$4.99$108.46$112.16$115.85$119.55$123.2420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive VONV spot · $115.70VONV PRICE$0.86$1.00$1.04$1.16$1.26$1.30$1.34$2.76$3.05$3.35$1.00$1.00$1.00$0.79$0.87$0.95$2.48$2.94$3.36$3.74$4.68
Puts——
Calls——
Skew——
Implied moveBullish±$2.22
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ109.0748.3%6.6%
25Δ111.6636.5%4.4%
30Δ118.2324.9%2.9%113.2428.8%3.0%
35Δ117.6424.4%2.5%
40Δ116.8520.7%1.9%115.1415.2%1.2%
45Δ116.3519.5%1.6%115.4814.3%0.9%
50Δ115.9018.1%1.3%115.8213.3%0.7%
55Δ115.5916.2%1.0%
60Δ115.2714.3%0.8%117.0524.7%1.0%
65Δ117.6925.2%0.8%
70Δ113.8421.6%0.8%118.3225.0%0.6%
75Δ113.3820.4%0.6%118.9124.2%0.5%
80Δ112.9319.1%0.5%119.9826.1%0.3%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
109.07
IV
48.3%
B/E move
6.6%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
111.66
IV
36.5%
B/E move
4.4%

30Δ

Calls
Pseudo strike
118.23
IV
24.9%
B/E move
2.9%
Puts
Pseudo strike
113.24
IV
28.8%
B/E move
3.0%

35Δ

Calls
Pseudo strike
117.64
IV
24.4%
B/E move
2.5%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
116.85
IV
20.7%
B/E move
1.9%
Puts
Pseudo strike
115.14
IV
15.2%
B/E move
1.2%

45Δ

Calls
Pseudo strike
116.35
IV
19.5%
B/E move
1.6%
Puts
Pseudo strike
115.48
IV
14.3%
B/E move
0.9%

50Δ

Calls
Pseudo strike
115.90
IV
18.1%
B/E move
1.3%
Puts
Pseudo strike
115.82
IV
13.3%
B/E move
0.7%

55Δ

Calls
Pseudo strike
115.59
IV
16.2%
B/E move
1.0%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
115.27
IV
14.3%
B/E move
0.8%
Puts
Pseudo strike
117.05
IV
24.7%
B/E move
1.0%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
117.69
IV
25.2%
B/E move
0.8%

70Δ

Calls
Pseudo strike
113.84
IV
21.6%
B/E move
0.8%
Puts
Pseudo strike
118.32
IV
25.0%
B/E move
0.6%

75Δ

Calls
Pseudo strike
113.38
IV
20.4%
B/E move
0.6%
Puts
Pseudo strike
118.91
IV
24.2%
B/E move
0.5%

80Δ

Calls
Pseudo strike
112.93
IV
19.1%
B/E move
0.5%
Puts
Pseudo strike
119.98
IV
26.1%
B/E move
0.3%

Options history

IV · four-Friday blend14.66%
Daily EOD
VONV12.1%14.8%17.6%2026-10-19: 13.37%2026-10-20: 14.68%2026-10-21: 13.93%2026-10-22: 13.04%2026-10-23: 15.08%2026-10-26: 16.21%2026-10-27: 17.23%2026-10-28: 14.62%2026-10-29: 12.47%2026-10-30: 14.66%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
13.37%
14.68%
13.93%
13.04%
15.08%
16.21%
17.23%
14.62%
12.47%
14.66%