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Vanguard Scottsdale Funds Vanguard Russell 2000 ETF VTWO

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Market datapartial · fetched 2026-10-22T20:47:53.450Z

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 · 2026-10-22T20:00:00.375952104Z

FundamentalsAlpha Vantage · unavailable

Share price$111.79
1D+0.6%
AH$110.94$111.19$111.44$111.69$111.945:30 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$0.47$2.34$4.21$6.08$7.95$103.09$107.20$111.32$115.43$119.5520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VTWO spot · $111.79VTWO PRICE$0.67$0.88$1.03$1.34$1.68$1.92$2.28$2.92$3.48$3.78$4.67$4.93$5.81$0.90$1.12$1.40$1.70$2.09$2.49$2.88$3.37$4.00$4.51$5.31$6.12$7.41
PutsExpensive1.31×
CallsExpensive1.16×
SkewBearish+3.00 pp
Implied moveBearish±$5.15
TiltBearish10.0% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ117.5119.1%5.7%106.0024.7%6.0%
25Δ116.4919.2%5.0%107.5523.0%4.8%
30Δ115.2417.6%4.0%108.6822.5%4.0%
35Δ114.5318.4%3.7%109.6822.1%3.4%
40Δ113.8819.3%3.4%110.5922.3%2.9%
45Δ113.0318.5%2.8%111.4722.4%2.5%
50Δ112.2918.7%2.5%112.3522.0%2.1%
55Δ111.4720.5%2.3%113.2422.0%1.7%
60Δ110.6721.4%2.1%114.1922.6%1.4%
65Δ109.8920.1%1.7%115.0822.0%1.1%
70Δ108.8221.7%1.5%116.1622.4%0.8%
75Δ108.1719.9%1.2%117.2622.3%0.6%
80Δ107.0420.3%1.0%118.7823.2%0.4%

20Δ

Calls
Pseudo strike
117.51
IV
19.1%
B/E move
5.7%
Puts
Pseudo strike
106.00
IV
24.7%
B/E move
6.0%

25Δ

Calls
Pseudo strike
116.49
IV
19.2%
B/E move
5.0%
Puts
Pseudo strike
107.55
IV
23.0%
B/E move
4.8%

30Δ

Calls
Pseudo strike
115.24
IV
17.6%
B/E move
4.0%
Puts
Pseudo strike
108.68
IV
22.5%
B/E move
4.0%

35Δ

Calls
Pseudo strike
114.53
IV
18.4%
B/E move
3.7%
Puts
Pseudo strike
109.68
IV
22.1%
B/E move
3.4%

40Δ

Calls
Pseudo strike
113.88
IV
19.3%
B/E move
3.4%
Puts
Pseudo strike
110.59
IV
22.3%
B/E move
2.9%

45Δ

Calls
Pseudo strike
113.03
IV
18.5%
B/E move
2.8%
Puts
Pseudo strike
111.47
IV
22.4%
B/E move
2.5%

50Δ

Calls
Pseudo strike
112.29
IV
18.7%
B/E move
2.5%
Puts
Pseudo strike
112.35
IV
22.0%
B/E move
2.1%

55Δ

Calls
Pseudo strike
111.47
IV
20.5%
B/E move
2.3%
Puts
Pseudo strike
113.24
IV
22.0%
B/E move
1.7%

60Δ

Calls
Pseudo strike
110.67
IV
21.4%
B/E move
2.1%
Puts
Pseudo strike
114.19
IV
22.6%
B/E move
1.4%

65Δ

Calls
Pseudo strike
109.89
IV
20.1%
B/E move
1.7%
Puts
Pseudo strike
115.08
IV
22.0%
B/E move
1.1%

70Δ

Calls
Pseudo strike
108.82
IV
21.7%
B/E move
1.5%
Puts
Pseudo strike
116.16
IV
22.4%
B/E move
0.8%

75Δ

Calls
Pseudo strike
108.17
IV
19.9%
B/E move
1.2%
Puts
Pseudo strike
117.26
IV
22.3%
B/E move
0.6%

80Δ

Calls
Pseudo strike
107.04
IV
20.3%
B/E move
1.0%
Puts
Pseudo strike
118.78
IV
23.2%
B/E move
0.4%

Options history

No recorded observations