IntraAlpha
Create free account Start free

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

i

Market datapartial · fetched 2026-10-23T17:42:36.823Z

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 · 2026-10-23T17:41:04.204208106Z

FundamentalsAlpha Vantage · unavailable

Share price$48.84
1D+0.0%
$48.80$48.82$48.84$48.86$48.885:30 AM6:30 AM9:00 AM1:00 PMVTIP
Sold putSold call

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$0.00$1.12$2.24$3.36$4.48$46.64$47.63$48.61$49.60$50.5820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VTIP spot · $48.84VTIP PRICE$0.08$0.11$0.13$0.16$0.18$0.20$0.31$0.95$1.59$2.23$2.87$3.51$4.16$0.10$0.13$0.16$0.19$0.21$0.24$0.27$0.44$0.62$0.80$0.98$1.16$2.27
PutsCheap0.54×
CallsCheap0.93×
SkewBullish-2.10 pp
Implied moveBullish±$0.58
TiltBullish37.2% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ49.714.9%2.0%48.216.1%1.5%
25Δ49.594.8%1.8%48.345.9%1.3%
30Δ49.474.7%1.6%48.475.7%1.1%
35Δ49.354.6%1.4%48.605.5%0.9%
40Δ49.234.5%1.2%48.735.4%0.7%
45Δ49.114.4%1.0%48.865.2%0.5%
50Δ48.914.7%0.8%48.995.0%0.3%
55Δ48.247.6%0.7%49.185.9%0.2%
60Δ47.5710.5%0.7%49.376.9%0.2%
65Δ46.9013.4%0.6%49.577.9%0.1%
70Δ46.2316.3%0.5%49.768.9%0.1%
75Δ45.5519.3%0.5%49.959.9%0.1%
80Δ44.8822.2%0.4%51.0416.0%0.1%

20Δ

Calls
Pseudo strike
49.71
IV
4.9%
B/E move
2.0%
Puts
Pseudo strike
48.21
IV
6.1%
B/E move
1.5%

25Δ

Calls
Pseudo strike
49.59
IV
4.8%
B/E move
1.8%
Puts
Pseudo strike
48.34
IV
5.9%
B/E move
1.3%

30Δ

Calls
Pseudo strike
49.47
IV
4.7%
B/E move
1.6%
Puts
Pseudo strike
48.47
IV
5.7%
B/E move
1.1%

35Δ

Calls
Pseudo strike
49.35
IV
4.6%
B/E move
1.4%
Puts
Pseudo strike
48.60
IV
5.5%
B/E move
0.9%

40Δ

Calls
Pseudo strike
49.23
IV
4.5%
B/E move
1.2%
Puts
Pseudo strike
48.73
IV
5.4%
B/E move
0.7%

45Δ

Calls
Pseudo strike
49.11
IV
4.4%
B/E move
1.0%
Puts
Pseudo strike
48.86
IV
5.2%
B/E move
0.5%

50Δ

Calls
Pseudo strike
48.91
IV
4.7%
B/E move
0.8%
Puts
Pseudo strike
48.99
IV
5.0%
B/E move
0.3%

55Δ

Calls
Pseudo strike
48.24
IV
7.6%
B/E move
0.7%
Puts
Pseudo strike
49.18
IV
5.9%
B/E move
0.2%

60Δ

Calls
Pseudo strike
47.57
IV
10.5%
B/E move
0.7%
Puts
Pseudo strike
49.37
IV
6.9%
B/E move
0.2%

65Δ

Calls
Pseudo strike
46.90
IV
13.4%
B/E move
0.6%
Puts
Pseudo strike
49.57
IV
7.9%
B/E move
0.1%

70Δ

Calls
Pseudo strike
46.23
IV
16.3%
B/E move
0.5%
Puts
Pseudo strike
49.76
IV
8.9%
B/E move
0.1%

75Δ

Calls
Pseudo strike
45.55
IV
19.3%
B/E move
0.5%
Puts
Pseudo strike
49.95
IV
9.9%
B/E move
0.1%

80Δ

Calls
Pseudo strike
44.88
IV
22.2%
B/E move
0.4%
Puts
Pseudo strike
51.04
IV
16.0%
B/E move
0.1%

Options history

No recorded observations