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iPath Series B S&P 500 VIX Mid-Term Futures ETN VXZ

i

Market dataready · fetched 2026-11-13T19:10:56.037Z

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 · 2026-11-13T16:01:51.336057712Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-13T19:10:55.501185+00:00

Share price$46.97
1D+0.9%
$46.52$46.65$46.78$46.91$47.045:30 AM6:30 AM9:00 AM1:00 PMVXZ
Sold putSold call

iPath Series B S&P 500 VIX Mid-Term Futures ETN options

Live interpolated VXZ call and put midpoint premiums by absolute delta.iPath Series B S&P 500 VIX Mid-Term Futures ETN$0.24$1.40$2.55$3.70$4.85$44.18$45.62$47.07$48.52$49.9620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive VXZ spot · $46.97VXZ PRICE$0.37$0.43$0.55$0.67$0.78$0.86$0.93$1.01$1.08$1.15$1.22$1.33$1.53$0.38$0.46$0.63$0.80$1.11$1.47$1.74$1.87$2.02$2.51$3.19$4.52
Puts——
CallsExpensive1.05×
Skew——
Implied moveBearish±$2.68
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ50.1652.6%7.6%44.4050.4%6.3%
25Δ49.2146.3%5.7%45.1844.5%4.8%
30Δ48.6845.0%4.8%45.5447.0%4.4%
35Δ48.2645.0%4.2%45.8949.5%4.0%
40Δ47.8543.8%3.5%46.3054.9%3.8%
45Δ47.4740.5%2.9%46.7361.5%3.6%
50Δ47.0837.2%2.2%47.1663.8%3.3%
55Δ46.8334.6%1.8%47.6058.8%2.6%
60Δ46.6032.1%1.5%48.0654.6%2.0%
65Δ46.3829.7%1.2%48.6657.9%1.7%
70Δ46.1627.2%0.9%49.4563.5%1.5%
75Δ45.9325.2%0.6%50.8277.1%1.4%
80Δ45.6624.3%0.5%

20Δ

Calls
Pseudo strike
50.16
IV
52.6%
B/E move
7.6%
Puts
Pseudo strike
44.40
IV
50.4%
B/E move
6.3%

25Δ

Calls
Pseudo strike
49.21
IV
46.3%
B/E move
5.7%
Puts
Pseudo strike
45.18
IV
44.5%
B/E move
4.8%

30Δ

Calls
Pseudo strike
48.68
IV
45.0%
B/E move
4.8%
Puts
Pseudo strike
45.54
IV
47.0%
B/E move
4.4%

35Δ

Calls
Pseudo strike
48.26
IV
45.0%
B/E move
4.2%
Puts
Pseudo strike
45.89
IV
49.5%
B/E move
4.0%

40Δ

Calls
Pseudo strike
47.85
IV
43.8%
B/E move
3.5%
Puts
Pseudo strike
46.30
IV
54.9%
B/E move
3.8%

45Δ

Calls
Pseudo strike
47.47
IV
40.5%
B/E move
2.9%
Puts
Pseudo strike
46.73
IV
61.5%
B/E move
3.6%

50Δ

Calls
Pseudo strike
47.08
IV
37.2%
B/E move
2.2%
Puts
Pseudo strike
47.16
IV
63.8%
B/E move
3.3%

55Δ

Calls
Pseudo strike
46.83
IV
34.6%
B/E move
1.8%
Puts
Pseudo strike
47.60
IV
58.8%
B/E move
2.6%

60Δ

Calls
Pseudo strike
46.60
IV
32.1%
B/E move
1.5%
Puts
Pseudo strike
48.06
IV
54.6%
B/E move
2.0%

65Δ

Calls
Pseudo strike
46.38
IV
29.7%
B/E move
1.2%
Puts
Pseudo strike
48.66
IV
57.9%
B/E move
1.7%

70Δ

Calls
Pseudo strike
46.16
IV
27.2%
B/E move
0.9%
Puts
Pseudo strike
49.45
IV
63.5%
B/E move
1.5%

75Δ

Calls
Pseudo strike
45.93
IV
25.2%
B/E move
0.6%
Puts
Pseudo strike
50.82
IV
77.1%
B/E move
1.4%

80Δ

Calls
Pseudo strike
45.66
IV
24.3%
B/E move
0.5%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend47.56%
Daily EOD
VXZ35.4%47.2%59.0%2026-10-19: 37.05%2026-10-20: 40.48%2026-10-21: 42.46%2026-10-22: 42.70%2026-10-23: 41.13%2026-10-26: 42.24%2026-10-27: 42.20%2026-10-28: 57.33%2026-10-29: 43.44%2026-10-30: 47.56%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
37.05%
40.48%
42.46%
42.70%
41.13%
42.24%
42.20%
57.33%
43.44%
47.56%