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

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Market dataready · fetched 2026-10-22T21:23:12.948Z

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 · 2026-10-22T20:49:24.975061117Z

FundamentalsAlpha Vantage · ready · fetched 2026-10-22T21:23:11.552245+00:00

Share price$48.84
1D+0.2%
AH$48.71$48.75$48.79$48.84$48.885:30 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$0.19$1.20$2.21$3.22$4.22$46.66$48.09$49.52$50.95$52.3720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VTIP spot · $48.84VTIP PRICE$0.32$0.44$0.56$0.68$0.80$0.92$1.04$1.39$1.82$2.50$3.36$3.93$3.93$0.30$0.39$0.48$0.50$0.46$0.41$0.40$0.54$0.69$0.83$0.97$1.11$1.63
PutsCheap0.94×
CallsExpensive2.67×
SkewBullish-10.60 pp
Implied moveBullish±$1.45
TiltBullish42.7% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ49.729.0%2.5%47.5513.6%3.3%
25Δ49.6110.7%2.5%47.7315.1%3.1%
30Δ49.4912.3%2.5%47.9116.6%2.9%
35Δ49.3814.0%2.5%48.1515.9%2.5%
40Δ49.2615.7%2.5%48.4512.7%1.7%
45Δ49.1517.3%2.5%48.769.5%1.0%
50Δ49.0319.0%2.5%49.047.1%0.4%
55Δ48.6621.9%2.5%49.217.5%0.4%
60Δ48.2025.3%2.4%49.397.9%0.3%
65Δ47.4930.0%2.3%49.578.4%0.2%
70Δ46.5935.8%2.3%49.748.8%0.1%
75Δ45.9137.9%2.0%49.929.3%0.1%
80Δ45.6432.9%1.5%50.4511.7%0.0%

20Δ

Calls
Pseudo strike
49.72
IV
9.0%
B/E move
2.5%
Puts
Pseudo strike
47.55
IV
13.6%
B/E move
3.3%

25Δ

Calls
Pseudo strike
49.61
IV
10.7%
B/E move
2.5%
Puts
Pseudo strike
47.73
IV
15.1%
B/E move
3.1%

30Δ

Calls
Pseudo strike
49.49
IV
12.3%
B/E move
2.5%
Puts
Pseudo strike
47.91
IV
16.6%
B/E move
2.9%

35Δ

Calls
Pseudo strike
49.38
IV
14.0%
B/E move
2.5%
Puts
Pseudo strike
48.15
IV
15.9%
B/E move
2.5%

40Δ

Calls
Pseudo strike
49.26
IV
15.7%
B/E move
2.5%
Puts
Pseudo strike
48.45
IV
12.7%
B/E move
1.7%

45Δ

Calls
Pseudo strike
49.15
IV
17.3%
B/E move
2.5%
Puts
Pseudo strike
48.76
IV
9.5%
B/E move
1.0%

50Δ

Calls
Pseudo strike
49.03
IV
19.0%
B/E move
2.5%
Puts
Pseudo strike
49.04
IV
7.1%
B/E move
0.4%

55Δ

Calls
Pseudo strike
48.66
IV
21.9%
B/E move
2.5%
Puts
Pseudo strike
49.21
IV
7.5%
B/E move
0.4%

60Δ

Calls
Pseudo strike
48.20
IV
25.3%
B/E move
2.4%
Puts
Pseudo strike
49.39
IV
7.9%
B/E move
0.3%

65Δ

Calls
Pseudo strike
47.49
IV
30.0%
B/E move
2.3%
Puts
Pseudo strike
49.57
IV
8.4%
B/E move
0.2%

70Δ

Calls
Pseudo strike
46.59
IV
35.8%
B/E move
2.3%
Puts
Pseudo strike
49.74
IV
8.8%
B/E move
0.1%

75Δ

Calls
Pseudo strike
45.91
IV
37.9%
B/E move
2.0%
Puts
Pseudo strike
49.92
IV
9.3%
B/E move
0.1%

80Δ

Calls
Pseudo strike
45.64
IV
32.9%
B/E move
1.5%
Puts
Pseudo strike
50.45
IV
11.7%
B/E move
0.0%

Options history

No recorded observations