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Vanguard High Dividend Yield ETF VYM

i

Market dataready · fetched 2026-11-12T03:20:36.044Z

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 · 2026-11-12T01:00:00.000913281Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T03:20:35.641040+00:00

Share price$164.99
1D+0.6%
AH$163.77$164.13$164.49$164.84$165.205:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVYM
Sold putSold callAH

Vanguard High Dividend Yield ETF options

Live interpolated VYM call and put midpoint premiums by absolute delta.Vanguard High Dividend Yield ETF$0.26$1.29$2.32$3.35$4.38$157.23$160.84$164.45$168.06$171.6720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive VYM spot · $164.99VYM PRICE$0.38$0.39$0.52$0.64$0.79$0.99$1.18$1.39$1.61$1.83$2.21$2.60$2.87$0.43$0.63$0.82$0.72$1.01$1.30$1.67$2.17$2.39$2.50$3.89$4.08
Puts——
CallsCheap0.55×
Skew——
Implied moveBearish±$2.86
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ168.2913.7%2.2%162.2813.8%1.9%
25Δ166.9610.1%1.4%162.6415.1%1.8%
30Δ166.5910.3%1.3%162.9916.4%1.7%
35Δ166.2310.5%1.1%164.0511.5%1.0%
40Δ165.8710.7%1.0%164.4212.8%1.0%
45Δ165.5211.1%0.9%164.7814.2%0.9%
50Δ165.1711.4%0.8%165.2315.7%0.9%
55Δ164.8011.6%0.7%165.8117.5%0.8%
60Δ164.4111.6%0.6%166.2817.0%0.7%
65Δ164.0311.5%0.5%166.6915.4%0.5%
70Δ163.5311.9%0.5%168.0520.5%0.5%
75Δ163.0312.4%0.4%168.4918.7%0.4%
80Δ162.6411.6%0.3%

20Δ

Calls
Pseudo strike
168.29
IV
13.7%
B/E move
2.2%
Puts
Pseudo strike
162.28
IV
13.8%
B/E move
1.9%

25Δ

Calls
Pseudo strike
166.96
IV
10.1%
B/E move
1.4%
Puts
Pseudo strike
162.64
IV
15.1%
B/E move
1.8%

30Δ

Calls
Pseudo strike
166.59
IV
10.3%
B/E move
1.3%
Puts
Pseudo strike
162.99
IV
16.4%
B/E move
1.7%

35Δ

Calls
Pseudo strike
166.23
IV
10.5%
B/E move
1.1%
Puts
Pseudo strike
164.05
IV
11.5%
B/E move
1.0%

40Δ

Calls
Pseudo strike
165.87
IV
10.7%
B/E move
1.0%
Puts
Pseudo strike
164.42
IV
12.8%
B/E move
1.0%

45Δ

Calls
Pseudo strike
165.52
IV
11.1%
B/E move
0.9%
Puts
Pseudo strike
164.78
IV
14.2%
B/E move
0.9%

50Δ

Calls
Pseudo strike
165.17
IV
11.4%
B/E move
0.8%
Puts
Pseudo strike
165.23
IV
15.7%
B/E move
0.9%

55Δ

Calls
Pseudo strike
164.80
IV
11.6%
B/E move
0.7%
Puts
Pseudo strike
165.81
IV
17.5%
B/E move
0.8%

60Δ

Calls
Pseudo strike
164.41
IV
11.6%
B/E move
0.6%
Puts
Pseudo strike
166.28
IV
17.0%
B/E move
0.7%

65Δ

Calls
Pseudo strike
164.03
IV
11.5%
B/E move
0.5%
Puts
Pseudo strike
166.69
IV
15.4%
B/E move
0.5%

70Δ

Calls
Pseudo strike
163.53
IV
11.9%
B/E move
0.5%
Puts
Pseudo strike
168.05
IV
20.5%
B/E move
0.5%

75Δ

Calls
Pseudo strike
163.03
IV
12.4%
B/E move
0.4%
Puts
Pseudo strike
168.49
IV
18.7%
B/E move
0.4%

80Δ

Calls
Pseudo strike
162.64
IV
11.6%
B/E move
0.3%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend12.39%
Daily EOD
VYM11.3%12.1%12.8%2026-10-19: 11.61%2026-10-20: 11.94%2026-10-21: 11.44%2026-10-22: 11.83%2026-10-23: 12.71%2026-10-26: 12.30%2026-10-27: 12.19%2026-10-28: 11.96%2026-10-29: 11.80%2026-10-30: 12.39%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
11.61%
11.94%
11.44%
11.83%
12.71%
12.30%
12.19%
11.96%
11.80%
12.39%