IntraAlpha
Create free account Start free

Vanguard Malvern Funds Vanguard Short-Term Inflation-Protected Securities Index Fund ETF Shares VTIP

i

Market dataready · fetched 2026-11-12T00:44:27.740Z

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 · 2026-11-11T22:05:04.891159868Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T00:44:27.302944+00:00

Share price$48.57
1D+0.1%
AH$48.53$48.55$48.58$48.60$48.625:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVTIP
Sold putSold callAH

Vanguard Malvern Funds Vanguard Short-Term Inflation-Protected Securities Index Fund ETF Shares options

Live interpolated VTIP call and put midpoint premiums by absolute delta.Vanguard Malvern Funds Vanguard Short-Term Inflation-Protected Securities Index Fund ETF Shares$0.15$1.51$2.88$4.24$5.60$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —25Δ P unavailable: no unambiguous, price-consistent delta bracketP —30Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —50Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —55Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —60Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —65Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —70Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICEVTIP PRICE$0.30$0.40$0.50$0.60$0.70$5.21
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ49.6519.0%2.8%
25Δ49.5221.7%2.8%
30Δ49.3924.3%2.7%
35Δ49.2627.0%2.7%
40Δ49.1329.7%2.6%
45Δ
50Δ
55Δ
60Δ
65Δ
70Δ
75Δ53.0275.3%1.6%
80Δ

20Δ

Calls
Pseudo strike
49.65
IV
19.0%
B/E move
2.8%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
49.52
IV
21.7%
B/E move
2.8%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
49.39
IV
24.3%
B/E move
2.7%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
49.26
IV
27.0%
B/E move
2.7%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
49.13
IV
29.7%
B/E move
2.6%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
53.02
IV
75.3%
B/E move
1.6%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend10.13%
Daily EOD
VTIP10.1%10.1%10.1%2026-10-22: 10.13%Oct 22
1 observations2026-10-22 — 2026-10-22
Table
DateIV (%)
10.13%