IntraAlpha
Create free account Start free

Vanguard Morningstar Total Stock Market ETF VTI

i

Market dataready · fetched 2026-11-10T22:26:09.144Z

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 · 2026-11-10T22:25:55.105172035Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-10T22:26:08.574045+00:00

Share price$370.00
1D+0.2%
AH$367.06$367.96$368.85$369.74$370.635:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVTI
Sold putSold callAH

Vanguard Morningstar Total Stock Market ETF options

Live interpolated VTI call and put midpoint premiums by absolute delta.Vanguard Morningstar Total Stock Market ETF$0.70$3.69$6.67$9.66$12.64$353.95$361.65$369.34$377.04$384.7320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VTI spot · $370.00VTI PRICE$1.02$1.37$1.72$2.31$2.99$3.66$4.33$5.18$6.15$7.12$8.10$9.09$10.08$1.38$1.84$2.30$2.70$3.07$3.44$4.01$4.84$5.67$6.50$7.93$9.71$11.78
PutsCheap0.83×
CallsCheap0.88×
SkewBearish+0.88 pp
Implied moveBullish±$8.34
TiltBalanced1.6% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ378.1114.1%2.5%360.4519.8%3.0%
25Δ376.7214.4%2.2%362.4019.5%2.6%
30Δ375.3314.8%1.9%364.3619.3%2.1%
35Δ374.0815.4%1.7%366.0318.5%1.8%
40Δ372.8816.2%1.6%367.5817.4%1.5%
45Δ371.6816.9%1.4%369.1216.3%1.2%
50Δ370.4817.7%1.3%370.5715.8%0.9%
55Δ369.0918.2%1.2%371.8916.1%0.8%
60Δ367.5818.5%1.0%373.2016.3%0.7%
65Δ366.0618.8%0.9%374.5216.6%0.5%
70Δ364.5518.8%0.7%376.3517.3%0.4%
75Δ363.0818.1%0.6%378.4718.4%0.3%
80Δ361.6017.3%0.5%380.8819.4%0.2%

20Δ

Calls
Pseudo strike
378.11
IV
14.1%
B/E move
2.5%
Puts
Pseudo strike
360.45
IV
19.8%
B/E move
3.0%

25Δ

Calls
Pseudo strike
376.72
IV
14.4%
B/E move
2.2%
Puts
Pseudo strike
362.40
IV
19.5%
B/E move
2.6%

30Δ

Calls
Pseudo strike
375.33
IV
14.8%
B/E move
1.9%
Puts
Pseudo strike
364.36
IV
19.3%
B/E move
2.1%

35Δ

Calls
Pseudo strike
374.08
IV
15.4%
B/E move
1.7%
Puts
Pseudo strike
366.03
IV
18.5%
B/E move
1.8%

40Δ

Calls
Pseudo strike
372.88
IV
16.2%
B/E move
1.6%
Puts
Pseudo strike
367.58
IV
17.4%
B/E move
1.5%

45Δ

Calls
Pseudo strike
371.68
IV
16.9%
B/E move
1.4%
Puts
Pseudo strike
369.12
IV
16.3%
B/E move
1.2%

50Δ

Calls
Pseudo strike
370.48
IV
17.7%
B/E move
1.3%
Puts
Pseudo strike
370.57
IV
15.8%
B/E move
0.9%

55Δ

Calls
Pseudo strike
369.09
IV
18.2%
B/E move
1.2%
Puts
Pseudo strike
371.89
IV
16.1%
B/E move
0.8%

60Δ

Calls
Pseudo strike
367.58
IV
18.5%
B/E move
1.0%
Puts
Pseudo strike
373.20
IV
16.3%
B/E move
0.7%

65Δ

Calls
Pseudo strike
366.06
IV
18.8%
B/E move
0.9%
Puts
Pseudo strike
374.52
IV
16.6%
B/E move
0.5%

70Δ

Calls
Pseudo strike
364.55
IV
18.8%
B/E move
0.7%
Puts
Pseudo strike
376.35
IV
17.3%
B/E move
0.4%

75Δ

Calls
Pseudo strike
363.08
IV
18.1%
B/E move
0.6%
Puts
Pseudo strike
378.47
IV
18.4%
B/E move
0.3%

80Δ

Calls
Pseudo strike
361.60
IV
17.3%
B/E move
0.5%
Puts
Pseudo strike
380.88
IV
19.4%
B/E move
0.2%

Options history

IV · four-Friday blend16.19%
Daily close
VTI12.2%14.3%16.5%2026-08-12: 13.40%2026-08-13: 13.23%2026-08-14: 12.85%2026-08-17: 13.19%2026-08-18: 14.19%2026-08-19: 13.21%2026-08-21: 13.48%2026-08-24: 14.20%2026-08-25: 13.85%2026-08-26: 13.64%2026-08-27: 13.13%2026-08-28: 13.02%2026-08-31: 13.13%2026-09-01: 13.77%2026-09-02: 13.14%2026-09-03: 12.99%2026-09-04: 12.60%2026-09-08: 13.63%2026-09-09: 14.04%2026-09-10: 14.81%2026-09-11: 13.51%2026-09-14: 15.05%2026-09-15: 15.30%2026-09-16: 15.87%2026-09-18: 13.28%2026-09-21: 13.19%2026-09-22: 13.41%2026-09-23: 13.26%2026-09-24: 13.49%2026-09-25: 13.18%2026-09-28: 13.72%2026-09-29: 13.81%2026-09-30: 14.21%2026-10-01: 14.14%2026-10-02: 13.30%2026-10-05: 13.14%2026-10-06: 12.68%2026-10-07: 13.22%2026-10-08: 13.01%2026-10-09: 12.49%2026-10-13: 12.62%2026-10-14: 14.09%2026-10-16: 14.63%2026-10-19: 14.25%2026-10-20: 14.07%2026-10-21: 13.97%2026-10-22: 15.49%2026-10-23: 15.76%2026-10-26: 15.08%2026-10-27: 14.71%2026-10-28: 14.46%2026-10-29: 14.09%2026-10-30: 16.19%Aug 12Sep 22Oct 30
53 observations2026-08-12 — 2026-10-30
Table
DateIV (%)
13.40%
13.23%
12.85%
13.19%
14.19%
13.21%
13.48%
14.20%
13.85%
13.64%
13.13%
13.02%
13.13%
13.77%
13.14%
12.99%
12.60%
13.63%
14.04%
14.81%
13.51%
15.05%
15.30%
15.87%
13.28%
13.19%
13.41%
13.26%
13.49%
13.18%
13.72%
13.81%
14.21%
14.14%
13.30%
13.14%
12.68%
13.22%
13.01%
12.49%
12.62%
14.09%
14.63%
14.25%
14.07%
13.97%
15.49%
15.76%
15.08%
14.71%
14.46%
14.09%
16.19%