IntraAlpha
Create free account Start free

Vanguard Scottsdale Funds Vanguard Russell 2000 ETF VTWO

i

Market dataready · fetched 2026-11-13T18:54:10.424Z

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 · 2026-11-13T18:53:55.339317103Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-13T18:54:09.810169+00:00

Share price$111.88
1D-1.1%
$110.91$111.50$112.09$112.67$113.265:30 AM6:30 AM9:00 AM1:00 PMVTWO
Sold putSold call

Vanguard Scottsdale Funds Vanguard Russell 2000 ETF options

Live interpolated VTWO call and put midpoint premiums by absolute delta.Vanguard Scottsdale Funds Vanguard Russell 2000 ETF$0.18$1.07$1.95$2.83$3.71$107.51$109.50$111.49$113.48$115.4720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VTWO spot · $111.88VTWO PRICE$0.28$0.38$0.49$0.60$0.73$0.85$0.98$1.33$1.67$1.99$2.30$2.60$2.91$0.48$0.58$0.68$0.78$0.91$1.08$1.26$1.68$2.10$2.36$2.63$3.02$3.46
PutsExpensive1.29×
CallsFair1.04×
SkewBearish+4.99 pp
Implied moveBearish±$2.24
TiltBearish10.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ114.1716.3%2.3%107.9628.9%3.9%
25Δ113.7316.3%2.0%108.8326.4%3.2%
30Δ113.3616.5%1.8%109.7123.9%2.5%
35Δ113.0016.7%1.5%110.5821.4%1.9%
40Δ112.6616.5%1.3%111.2120.2%1.4%
45Δ112.3316.3%1.2%111.6120.1%1.2%
50Δ111.9916.1%1.0%112.0120.0%1.0%
55Δ111.5918.1%0.9%112.5022.3%0.9%
60Δ111.1820.0%0.9%113.0024.6%0.9%
65Δ110.7520.9%0.8%113.4623.8%0.7%
70Δ110.3021.0%0.6%113.9223.1%0.5%
75Δ109.8520.8%0.5%114.4622.8%0.4%
80Δ109.4119.9%0.4%115.0422.8%0.3%

20Δ

Calls
Pseudo strike
114.17
IV
16.3%
B/E move
2.3%
Puts
Pseudo strike
107.96
IV
28.9%
B/E move
3.9%

25Δ

Calls
Pseudo strike
113.73
IV
16.3%
B/E move
2.0%
Puts
Pseudo strike
108.83
IV
26.4%
B/E move
3.2%

30Δ

Calls
Pseudo strike
113.36
IV
16.5%
B/E move
1.8%
Puts
Pseudo strike
109.71
IV
23.9%
B/E move
2.5%

35Δ

Calls
Pseudo strike
113.00
IV
16.7%
B/E move
1.5%
Puts
Pseudo strike
110.58
IV
21.4%
B/E move
1.9%

40Δ

Calls
Pseudo strike
112.66
IV
16.5%
B/E move
1.3%
Puts
Pseudo strike
111.21
IV
20.2%
B/E move
1.4%

45Δ

Calls
Pseudo strike
112.33
IV
16.3%
B/E move
1.2%
Puts
Pseudo strike
111.61
IV
20.1%
B/E move
1.2%

50Δ

Calls
Pseudo strike
111.99
IV
16.1%
B/E move
1.0%
Puts
Pseudo strike
112.01
IV
20.0%
B/E move
1.0%

55Δ

Calls
Pseudo strike
111.59
IV
18.1%
B/E move
0.9%
Puts
Pseudo strike
112.50
IV
22.3%
B/E move
0.9%

60Δ

Calls
Pseudo strike
111.18
IV
20.0%
B/E move
0.9%
Puts
Pseudo strike
113.00
IV
24.6%
B/E move
0.9%

65Δ

Calls
Pseudo strike
110.75
IV
20.9%
B/E move
0.8%
Puts
Pseudo strike
113.46
IV
23.8%
B/E move
0.7%

70Δ

Calls
Pseudo strike
110.30
IV
21.0%
B/E move
0.6%
Puts
Pseudo strike
113.92
IV
23.1%
B/E move
0.5%

75Δ

Calls
Pseudo strike
109.85
IV
20.8%
B/E move
0.5%
Puts
Pseudo strike
114.46
IV
22.8%
B/E move
0.4%

80Δ

Calls
Pseudo strike
109.41
IV
19.9%
B/E move
0.4%
Puts
Pseudo strike
115.04
IV
22.8%
B/E move
0.3%

Options history

IV · four-Friday blend20.96%
Daily EOD
VTWO18.9%20.0%21.1%2026-10-19: 20.38%2026-10-20: 19.90%2026-10-21: 19.98%2026-10-22: 20.30%2026-10-23: 20.41%2026-10-26: 20.56%2026-10-27: 19.74%2026-10-28: 20.07%2026-10-29: 19.04%2026-10-30: 20.96%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
20.38%
19.90%
19.98%
20.30%
20.41%
20.56%
19.74%
20.07%
19.04%
20.96%