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

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Market datapartial · fetched 2026-10-23T00:36:29.268Z

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 · 2026-10-23T00:00:00.130097079Z

FundamentalsAlpha Vantage · unavailable

Share price$149.91
1D-0.3%
AH$149.41$149.71$150.02$150.33$150.635:30 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$1.84$3.33$4.83$6.32$7.81$138.69$144.49$150.29$156.10$161.9020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VSS spot · $149.91VSS PRICE$2.00$2.04$2.18$2.36$2.45$2.45$2.88$3.56$4.04$4.66$5.32$6.37$7.38$2.14$2.28$2.43$2.45$2.45$2.45$3.09$3.58$3.78$4.01$4.38$5.40$6.15
PutsExpensive1.31×
CallsExpensive1.89×
SkewBullish-1.82 pp
Implied moveBearish±$5.98
TiltBullish3.3% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ168.9045.3%14.0%136.7343.3%10.2%
25Δ161.4134.2%9.0%141.5734.5%7.1%
30Δ157.4128.4%6.5%144.6129.0%5.2%
35Δ154.9024.7%4.9%146.9423.8%3.6%
40Δ152.9921.1%3.7%148.5419.8%2.5%
45Δ151.6117.7%2.8%149.6916.7%1.8%
50Δ150.5617.5%2.4%150.6317.6%1.6%
55Δ149.6018.8%2.2%151.4817.7%1.3%
60Δ148.6118.3%1.8%152.2616.1%1.0%
65Δ147.6118.4%1.6%152.9514.8%0.6%
70Δ146.5618.2%1.3%153.6514.1%0.4%
75Δ145.2319.0%1.1%154.8715.0%0.3%
80Δ143.9019.2%0.9%155.8614.7%0.1%

20Δ

Calls
Pseudo strike
168.90
IV
45.3%
B/E move
14.0%
Puts
Pseudo strike
136.73
IV
43.3%
B/E move
10.2%

25Δ

Calls
Pseudo strike
161.41
IV
34.2%
B/E move
9.0%
Puts
Pseudo strike
141.57
IV
34.5%
B/E move
7.1%

30Δ

Calls
Pseudo strike
157.41
IV
28.4%
B/E move
6.5%
Puts
Pseudo strike
144.61
IV
29.0%
B/E move
5.2%

35Δ

Calls
Pseudo strike
154.90
IV
24.7%
B/E move
4.9%
Puts
Pseudo strike
146.94
IV
23.8%
B/E move
3.6%

40Δ

Calls
Pseudo strike
152.99
IV
21.1%
B/E move
3.7%
Puts
Pseudo strike
148.54
IV
19.8%
B/E move
2.5%

45Δ

Calls
Pseudo strike
151.61
IV
17.7%
B/E move
2.8%
Puts
Pseudo strike
149.69
IV
16.7%
B/E move
1.8%

50Δ

Calls
Pseudo strike
150.56
IV
17.5%
B/E move
2.4%
Puts
Pseudo strike
150.63
IV
17.6%
B/E move
1.6%

55Δ

Calls
Pseudo strike
149.60
IV
18.8%
B/E move
2.2%
Puts
Pseudo strike
151.48
IV
17.7%
B/E move
1.3%

60Δ

Calls
Pseudo strike
148.61
IV
18.3%
B/E move
1.8%
Puts
Pseudo strike
152.26
IV
16.1%
B/E move
1.0%

65Δ

Calls
Pseudo strike
147.61
IV
18.4%
B/E move
1.6%
Puts
Pseudo strike
152.95
IV
14.8%
B/E move
0.6%

70Δ

Calls
Pseudo strike
146.56
IV
18.2%
B/E move
1.3%
Puts
Pseudo strike
153.65
IV
14.1%
B/E move
0.4%

75Δ

Calls
Pseudo strike
145.23
IV
19.0%
B/E move
1.1%
Puts
Pseudo strike
154.87
IV
15.0%
B/E move
0.3%

80Δ

Calls
Pseudo strike
143.90
IV
19.2%
B/E move
0.9%
Puts
Pseudo strike
155.86
IV
14.7%
B/E move
0.1%

Options history

No recorded observations