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Vanguard Scottsdale Funds Vanguard Russell 2000 ETF VTWO

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Market dataready · fetched 2026-10-24T17:19:19.924Z

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 · 2026-10-23T20:00:00.391387876Z

FundamentalsAlpha Vantage · ready · fetched 2026-10-24T17:19:19.658909+00:00

Share price$111.39
1D+0.5%
AH$110.43$110.73$111.04$111.34$111.645:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVTWO
Sold putSold callAH

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$0.48$2.41$4.35$6.28$8.21$103.05$107.14$111.22$115.31$119.3920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VTWO spot · $111.39VTWO PRICE$0.69$0.80$1.05$1.33$1.61$1.97$2.39$2.82$3.15$3.69$4.99$6.17$7.65$0.92$1.17$1.47$1.75$1.98$2.17$2.79$3.05$3.46$4.28$4.88$5.08$6.46
PutsExpensive1.29×
CallsExpensive1.26×
SkewBearish+1.10 pp
Implied moveBearish±$5.18
TiltBalanced1.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ117.2920.6%5.9%105.5226.0%6.1%
25Δ115.6118.0%4.5%106.9425.0%5.0%
30Δ114.8718.6%4.1%108.0924.7%4.3%
35Δ114.1319.1%3.6%109.2023.7%3.5%
40Δ113.3619.2%3.2%110.2022.1%2.8%
45Δ112.6219.7%2.9%111.1220.3%2.2%
50Δ111.8920.4%2.6%111.9322.2%2.0%
55Δ111.1020.7%2.3%112.6820.9%1.6%
60Δ110.3620.0%1.9%113.4720.3%1.2%
65Δ109.5120.3%1.6%114.5121.7%1.0%
70Δ108.1624.1%1.6%115.3721.6%0.8%
75Δ106.7426.0%1.4%115.9419.5%0.5%
80Δ105.0428.2%1.2%117.4621.3%0.3%

20Δ

Calls
Pseudo strike
117.29
IV
20.6%
B/E move
5.9%
Puts
Pseudo strike
105.52
IV
26.0%
B/E move
6.1%

25Δ

Calls
Pseudo strike
115.61
IV
18.0%
B/E move
4.5%
Puts
Pseudo strike
106.94
IV
25.0%
B/E move
5.0%

30Δ

Calls
Pseudo strike
114.87
IV
18.6%
B/E move
4.1%
Puts
Pseudo strike
108.09
IV
24.7%
B/E move
4.3%

35Δ

Calls
Pseudo strike
114.13
IV
19.1%
B/E move
3.6%
Puts
Pseudo strike
109.20
IV
23.7%
B/E move
3.5%

40Δ

Calls
Pseudo strike
113.36
IV
19.2%
B/E move
3.2%
Puts
Pseudo strike
110.20
IV
22.1%
B/E move
2.8%

45Δ

Calls
Pseudo strike
112.62
IV
19.7%
B/E move
2.9%
Puts
Pseudo strike
111.12
IV
20.3%
B/E move
2.2%

50Δ

Calls
Pseudo strike
111.89
IV
20.4%
B/E move
2.6%
Puts
Pseudo strike
111.93
IV
22.2%
B/E move
2.0%

55Δ

Calls
Pseudo strike
111.10
IV
20.7%
B/E move
2.3%
Puts
Pseudo strike
112.68
IV
20.9%
B/E move
1.6%

60Δ

Calls
Pseudo strike
110.36
IV
20.0%
B/E move
1.9%
Puts
Pseudo strike
113.47
IV
20.3%
B/E move
1.2%

65Δ

Calls
Pseudo strike
109.51
IV
20.3%
B/E move
1.6%
Puts
Pseudo strike
114.51
IV
21.7%
B/E move
1.0%

70Δ

Calls
Pseudo strike
108.16
IV
24.1%
B/E move
1.6%
Puts
Pseudo strike
115.37
IV
21.6%
B/E move
0.8%

75Δ

Calls
Pseudo strike
106.74
IV
26.0%
B/E move
1.4%
Puts
Pseudo strike
115.94
IV
19.5%
B/E move
0.5%

80Δ

Calls
Pseudo strike
105.04
IV
28.2%
B/E move
1.2%
Puts
Pseudo strike
117.46
IV
21.3%
B/E move
0.3%

Options history

No recorded observations