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Vanguard FTSE All-World EX-US Small-Cap Index Fund VSS

i

Market dataready · fetched 2026-11-12T00:58:35.942Z

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 · 2026-11-11T23:30:00.003998185Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T00:58:35.445079+00:00

Share price$149.77
1D+0.3%
AH$149.05$149.34$149.62$149.90$150.185:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVSS
Sold putSold callAH

Vanguard FTSE All-World EX-US Small-Cap Index Fund options

Live interpolated VSS call and put midpoint premiums by absolute delta.Vanguard FTSE All-World EX-US Small-Cap Index Fund$1.67$2.41$3.15$3.90$4.64$140.75$145.32$149.88$154.45$159.0120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VSS spot · $149.77VSS PRICE$1.75$1.76$1.82$1.86$2.05$2.17$2.38$2.62$2.87$3.11$3.41$3.72$4.13$1.79$1.80$1.96$2.00$2.17$2.30$2.47$2.64$2.85$3.10$3.42$3.78$4.43
PutsExpensive1.71×
CallsExpensive1.21×
SkewBullish-0.96 pp
Implied moveBalanced±$4.86
TiltBalanced1.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ165.5971.0%11.7%138.2165.9%8.9%
25Δ159.1553.1%7.4%142.7149.8%5.9%
30Δ155.5842.5%5.1%145.1242.6%4.4%
35Δ153.3635.0%3.6%147.0135.4%3.2%
40Δ152.0131.7%2.9%148.2331.9%2.5%
45Δ150.9128.2%2.2%149.2028.4%1.9%
50Δ150.0626.3%1.8%149.9326.1%1.5%
55Δ149.3824.8%1.5%150.6623.8%1.2%
60Δ148.7123.3%1.2%151.3122.0%0.9%
65Δ148.0421.8%0.9%151.8820.7%0.7%
70Δ147.4720.7%0.7%152.4519.8%0.5%
75Δ146.8919.7%0.6%153.0419.0%0.3%
80Δ146.2918.8%0.4%153.8519.2%0.2%

20Δ

Calls
Pseudo strike
165.59
IV
71.0%
B/E move
11.7%
Puts
Pseudo strike
138.21
IV
65.9%
B/E move
8.9%

25Δ

Calls
Pseudo strike
159.15
IV
53.1%
B/E move
7.4%
Puts
Pseudo strike
142.71
IV
49.8%
B/E move
5.9%

30Δ

Calls
Pseudo strike
155.58
IV
42.5%
B/E move
5.1%
Puts
Pseudo strike
145.12
IV
42.6%
B/E move
4.4%

35Δ

Calls
Pseudo strike
153.36
IV
35.0%
B/E move
3.6%
Puts
Pseudo strike
147.01
IV
35.4%
B/E move
3.2%

40Δ

Calls
Pseudo strike
152.01
IV
31.7%
B/E move
2.9%
Puts
Pseudo strike
148.23
IV
31.9%
B/E move
2.5%

45Δ

Calls
Pseudo strike
150.91
IV
28.2%
B/E move
2.2%
Puts
Pseudo strike
149.20
IV
28.4%
B/E move
1.9%

50Δ

Calls
Pseudo strike
150.06
IV
26.3%
B/E move
1.8%
Puts
Pseudo strike
149.93
IV
26.1%
B/E move
1.5%

55Δ

Calls
Pseudo strike
149.38
IV
24.8%
B/E move
1.5%
Puts
Pseudo strike
150.66
IV
23.8%
B/E move
1.2%

60Δ

Calls
Pseudo strike
148.71
IV
23.3%
B/E move
1.2%
Puts
Pseudo strike
151.31
IV
22.0%
B/E move
0.9%

65Δ

Calls
Pseudo strike
148.04
IV
21.8%
B/E move
0.9%
Puts
Pseudo strike
151.88
IV
20.7%
B/E move
0.7%

70Δ

Calls
Pseudo strike
147.47
IV
20.7%
B/E move
0.7%
Puts
Pseudo strike
152.45
IV
19.8%
B/E move
0.5%

75Δ

Calls
Pseudo strike
146.89
IV
19.7%
B/E move
0.6%
Puts
Pseudo strike
153.04
IV
19.0%
B/E move
0.3%

80Δ

Calls
Pseudo strike
146.29
IV
18.8%
B/E move
0.4%
Puts
Pseudo strike
153.85
IV
19.2%
B/E move
0.2%

Options history

IV · four-Friday blend31.52%
Daily EOD
VSS16.6%26.3%35.9%2026-10-19: 29.74%2026-10-20: 22.75%2026-10-21: 29.77%2026-10-22: 19.60%2026-10-23: 21.87%2026-10-26: 17.97%2026-10-27: 20.51%2026-10-28: 28.30%2026-10-29: 34.61%2026-10-30: 31.52%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
29.74%
22.75%
29.77%
19.60%
21.87%
17.97%
20.51%
28.30%
34.61%
31.52%