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Vanguard S&P 500 ETF VOO

i

Market dataready · fetched 2026-11-11T04:13:58.278Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-11T01:00:00.139671862Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T04:13:57.032392+00:00

NewsAlpha Vantage · collected 2026-11-10T00:05:54.610226+00:00

Share price$689.50
1D+0.2%
AH$685$686$688$690$6925:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVOO
Sold putSold callAH

Vanguard S&P 500 ETF options

Live interpolated VOO call and put midpoint premiums by absolute delta.Vanguard S&P 500 ETF$0.69$3.89$7.09$10.29$13.49$674.92$681.87$688.81$695.76$702.7120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VOO spot · $689.50VOO PRICE$1.04$1.44$1.86$2.32$2.83$3.59$4.37$5.23$6.27$7.60$8.79$10.63$12.57$1.41$1.86$2.32$2.75$3.14$3.73$4.40$4.87$5.31$5.93$6.61$7.62$8.82
PutsExpensive1.09×
CallsExpensive1.06×
SkewBullish-0.75 pp
Implied moveBalanced±$8.77
TiltBullish7.7% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ697.7014.9%1.3%679.2820.1%1.7%
25Δ696.3115.3%1.2%681.5119.7%1.4%
30Δ694.9715.7%1.1%683.4719.3%1.2%
35Δ693.6215.7%0.9%685.3318.5%1.0%
40Δ692.3015.9%0.8%687.0117.5%0.8%
45Δ691.0616.8%0.7%688.4517.3%0.7%
50Δ689.8017.7%0.7%689.8117.4%0.6%
55Δ688.3718.1%0.6%691.0416.6%0.5%
60Δ686.8118.7%0.5%692.2415.6%0.4%
65Δ685.0619.8%0.5%693.4215.1%0.3%
70Δ683.3219.8%0.4%694.5814.6%0.2%
75Δ681.0420.9%0.3%695.9914.5%0.2%
80Δ678.6621.3%0.3%697.5314.6%0.1%

20Δ

Calls
Pseudo strike
697.70
IV
14.9%
B/E move
1.3%
Puts
Pseudo strike
679.28
IV
20.1%
B/E move
1.7%

25Δ

Calls
Pseudo strike
696.31
IV
15.3%
B/E move
1.2%
Puts
Pseudo strike
681.51
IV
19.7%
B/E move
1.4%

30Δ

Calls
Pseudo strike
694.97
IV
15.7%
B/E move
1.1%
Puts
Pseudo strike
683.47
IV
19.3%
B/E move
1.2%

35Δ

Calls
Pseudo strike
693.62
IV
15.7%
B/E move
0.9%
Puts
Pseudo strike
685.33
IV
18.5%
B/E move
1.0%

40Δ

Calls
Pseudo strike
692.30
IV
15.9%
B/E move
0.8%
Puts
Pseudo strike
687.01
IV
17.5%
B/E move
0.8%

45Δ

Calls
Pseudo strike
691.06
IV
16.8%
B/E move
0.7%
Puts
Pseudo strike
688.45
IV
17.3%
B/E move
0.7%

50Δ

Calls
Pseudo strike
689.80
IV
17.7%
B/E move
0.7%
Puts
Pseudo strike
689.81
IV
17.4%
B/E move
0.6%

55Δ

Calls
Pseudo strike
688.37
IV
18.1%
B/E move
0.6%
Puts
Pseudo strike
691.04
IV
16.6%
B/E move
0.5%

60Δ

Calls
Pseudo strike
686.81
IV
18.7%
B/E move
0.5%
Puts
Pseudo strike
692.24
IV
15.6%
B/E move
0.4%

65Δ

Calls
Pseudo strike
685.06
IV
19.8%
B/E move
0.5%
Puts
Pseudo strike
693.42
IV
15.1%
B/E move
0.3%

70Δ

Calls
Pseudo strike
683.32
IV
19.8%
B/E move
0.4%
Puts
Pseudo strike
694.58
IV
14.6%
B/E move
0.2%

75Δ

Calls
Pseudo strike
681.04
IV
20.9%
B/E move
0.3%
Puts
Pseudo strike
695.99
IV
14.5%
B/E move
0.2%

80Δ

Calls
Pseudo strike
678.66
IV
21.3%
B/E move
0.3%
Puts
Pseudo strike
697.53
IV
14.6%
B/E move
0.1%

Options history

IV · four-Friday blend15.81%
Daily close
VOO9.7%16.0%22.2%2026-08-12: 11.07%2026-08-13: 10.89%2026-08-14: 10.62%2026-08-17: 11.25%2026-08-18: 11.75%2026-08-19: 11.34%2026-08-20: 13.13%2026-08-21: 11.76%2026-08-24: 12.75%2026-08-25: 12.62%2026-08-26: 12.88%2026-08-27: 11.81%2026-08-28: 10.94%2026-08-31: 11.73%2026-09-01: 12.99%2026-09-02: 12.06%2026-09-03: 11.13%2026-09-04: 10.62%2026-09-08: 12.81%2026-09-09: 13.60%2026-09-10: 15.90%2026-09-11: 12.31%2026-09-14: 13.86%2026-09-15: 14.93%2026-09-16: 15.43%2026-09-17: 12.50%2026-09-18: 11.02%2026-09-21: 11.18%2026-09-22: 10.76%2026-09-23: 11.77%2026-09-24: 12.07%2026-09-25: 11.45%2026-09-28: 12.94%2026-09-29: 13.08%2026-09-30: 13.82%2026-10-01: 13.64%2026-10-02: 11.26%2026-10-05: 11.75%2026-10-06: 11.43%2026-10-07: 11.12%2026-10-08: 11.97%2026-10-09: 10.57%2026-10-12: 11.04%2026-10-13: 11.67%2026-10-14: 13.44%2026-10-15: 12.21%2026-10-16: 14.80%2026-10-19: 14.44%2026-10-20: 13.80%2026-10-21: 13.21%2026-10-22: 16.40%2026-10-23: 15.86%2026-10-26: 15.36%2026-10-27: 14.64%2026-10-28: 14.19%2026-10-29: 13.47%2026-10-30: 16.67%2026-11-03: 19.32%2026-11-06: 21.37%2026-11-09: 17.01%2026-11-10: 15.81%Aug 12Sep 24Nov 10
61 observations2026-08-12 — 2026-11-10
Table
DateIV (%)
11.07%
10.89%
10.62%
11.25%
11.75%
11.34%
13.13%
11.76%
12.75%
12.62%
12.88%
11.81%
10.94%
11.73%
12.99%
12.06%
11.13%
10.62%
12.81%
13.60%
15.90%
12.31%
13.86%
14.93%
15.43%
12.50%
11.02%
11.18%
10.76%
11.77%
12.07%
11.45%
12.94%
13.08%
13.82%
13.64%
11.26%
11.75%
11.43%
11.12%
11.97%
10.57%
11.04%
11.67%
13.44%
12.21%
14.80%
14.44%
13.80%
13.21%
16.40%
15.86%
15.36%
14.64%
14.19%
13.47%
16.67%
19.32%
21.37%
17.01%
15.81%

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