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Vanguard Malvern Funds Vanguard Core Plus Bond ETF VPLS

i

Market dataready · fetched 2026-11-12T02:06:38.147Z

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 · 2026-11-11T21:00:00.174813457Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T02:06:37.764540+00:00

Share price$74.87
1D+0.0%
AH$74.72$74.77$74.82$74.87$74.935:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVPLS
Sold putSold callAH

Vanguard Malvern Funds Vanguard Core Plus Bond ETF options

Live interpolated VPLS call and put midpoint premiums by absolute delta.Vanguard Malvern Funds Vanguard Core Plus Bond ETF$0.82$1.77$2.71$3.66$4.60$70.24$72.54$74.84$77.13$79.4320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VPLS spot · $74.87VPLS PRICE$0.93$0.93$0.93$0.93$0.93$0.97$1.00$1.12$1.24$1.37$1.65$2.09$2.42$0.93$0.93$0.93$0.93$0.95$1.01$1.07$1.27$1.46$1.66$2.10$2.64$4.33
PutsExpensive6.08×
CallsExpensive7.15×
SkewBearish+0.59 pp
Implied moveBearish±$2.08
TiltBearish10.0% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ83.2875.4%12.5%68.9867.8%9.1%
25Δ79.7755.8%7.8%71.2351.4%6.1%
30Δ77.8443.4%5.2%72.6340.7%4.2%
35Δ76.6935.1%3.7%73.5333.3%3.0%
40Δ75.9129.0%2.6%74.1628.2%2.2%
45Δ75.4525.5%2.1%74.5825.4%1.7%
50Δ75.0022.1%1.5%75.0022.7%1.3%
55Δ74.7121.2%1.3%75.3322.6%1.1%
60Δ74.4220.2%1.1%75.6722.5%0.9%
65Δ74.1419.3%0.8%76.0122.4%0.7%
70Δ73.7419.9%0.7%76.5323.9%0.6%
75Δ73.2321.9%0.6%77.1525.8%0.5%
80Δ72.8321.9%0.5%78.9131.9%0.4%

20Δ

Calls
Pseudo strike
83.28
IV
75.4%
B/E move
12.5%
Puts
Pseudo strike
68.98
IV
67.8%
B/E move
9.1%

25Δ

Calls
Pseudo strike
79.77
IV
55.8%
B/E move
7.8%
Puts
Pseudo strike
71.23
IV
51.4%
B/E move
6.1%

30Δ

Calls
Pseudo strike
77.84
IV
43.4%
B/E move
5.2%
Puts
Pseudo strike
72.63
IV
40.7%
B/E move
4.2%

35Δ

Calls
Pseudo strike
76.69
IV
35.1%
B/E move
3.7%
Puts
Pseudo strike
73.53
IV
33.3%
B/E move
3.0%

40Δ

Calls
Pseudo strike
75.91
IV
29.0%
B/E move
2.6%
Puts
Pseudo strike
74.16
IV
28.2%
B/E move
2.2%

45Δ

Calls
Pseudo strike
75.45
IV
25.5%
B/E move
2.1%
Puts
Pseudo strike
74.58
IV
25.4%
B/E move
1.7%

50Δ

Calls
Pseudo strike
75.00
IV
22.1%
B/E move
1.5%
Puts
Pseudo strike
75.00
IV
22.7%
B/E move
1.3%

55Δ

Calls
Pseudo strike
74.71
IV
21.2%
B/E move
1.3%
Puts
Pseudo strike
75.33
IV
22.6%
B/E move
1.1%

60Δ

Calls
Pseudo strike
74.42
IV
20.2%
B/E move
1.1%
Puts
Pseudo strike
75.67
IV
22.5%
B/E move
0.9%

65Δ

Calls
Pseudo strike
74.14
IV
19.3%
B/E move
0.8%
Puts
Pseudo strike
76.01
IV
22.4%
B/E move
0.7%

70Δ

Calls
Pseudo strike
73.74
IV
19.9%
B/E move
0.7%
Puts
Pseudo strike
76.53
IV
23.9%
B/E move
0.6%

75Δ

Calls
Pseudo strike
73.23
IV
21.9%
B/E move
0.6%
Puts
Pseudo strike
77.15
IV
25.8%
B/E move
0.5%

80Δ

Calls
Pseudo strike
72.83
IV
21.9%
B/E move
0.5%
Puts
Pseudo strike
78.91
IV
31.9%
B/E move
0.4%

Options history

IV · four-Friday blend12.46%
Daily EOD
VPLS11.0%11.8%12.6%2026-10-19: 11.41%2026-10-20: 11.48%2026-10-21: 11.13%2026-10-22: 11.66%2026-10-23: 11.95%2026-10-26: 11.90%2026-10-27: 11.76%2026-10-28: 11.64%2026-10-29: 11.57%2026-10-30: 12.46%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
11.41%
11.48%
11.13%
11.66%
11.95%
11.90%
11.76%
11.64%
11.57%
12.46%