IntraAlpha
Create free account Start free

State Street Consumer Staples Select Sector SPDR ETF XLP

i

Market dataready · fetched 2026-10-20T06:05:20.827Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-20

Calculation methodology

Options historyRecorded provider observations · delta-comparison-v1 · expiration-specific

History data

PriceAlpaca · sip · 2026-10-20T00:00:00.130219089Z

FundamentalsAlpha Vantage · ready

Share price$87.21
1D+0.4%
AH$86.77$86.97$87.17$87.37$87.575:30 AM6:30 AM9:00 AM1:00 PM2:00 PMXLP
Sold putSold callAH

State Street Consumer Staples Select Sector SPDR ETF options

Live interpolated XLP call and put midpoint premiums by absolute delta.State Street Consumer Staples Select Sector SPDR ETF$1.03$2.02$3.00$3.99$4.97$77.08$82.31$87.54$92.77$98.0020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive XLP spot · $87.21XLP PRICE$2.45$1.74$2.45$1.66$2.55$1.14$2.50$2.89$3.13$3.38$4.41$3.93$4.47$2.45$2.52$1.77$2.49$2.59$1.88$2.56$2.86$2.51$4.43$3.61$4.39$4.69
PutsExpensive1.80×
CallsExpensive1.83×
SkewBullish-2.59 pp
Implied moveBalanced±$5.06
TiltBearish2.7% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ116.1797.4%36.0%74.2776.6%17.7%
25Δ98.2750.2%14.7%78.8860.7%12.4%
30Δ96.4954.5%13.4%84.0631.9%5.6%
35Δ90.8228.9%6.0%84.3238.7%6.2%
40Δ90.4937.4%6.7%85.7833.6%4.6%
45Δ88.0113.5%2.2%86.9921.0%2.4%
50Δ87.7825.9%3.5%87.7423.9%2.3%
55Δ86.9425.7%3.0%88.4523.1%1.9%
60Δ86.1723.9%2.4%88.8117.4%1.0%
65Δ85.5122.4%1.9%90.4126.6%1.4%
70Δ84.4025.7%1.8%90.2319.0%0.7%
75Δ84.3319.6%1.2%91.1720.0%0.5%
80Δ83.5819.3%1.0%91.6918.4%0.2%

20Δ

Calls
Pseudo strike
116.17
IV
97.4%
B/E move
36.0%
Puts
Pseudo strike
74.27
IV
76.6%
B/E move
17.7%

25Δ

Calls
Pseudo strike
98.27
IV
50.2%
B/E move
14.7%
Puts
Pseudo strike
78.88
IV
60.7%
B/E move
12.4%

30Δ

Calls
Pseudo strike
96.49
IV
54.5%
B/E move
13.4%
Puts
Pseudo strike
84.06
IV
31.9%
B/E move
5.6%

35Δ

Calls
Pseudo strike
90.82
IV
28.9%
B/E move
6.0%
Puts
Pseudo strike
84.32
IV
38.7%
B/E move
6.2%

40Δ

Calls
Pseudo strike
90.49
IV
37.4%
B/E move
6.7%
Puts
Pseudo strike
85.78
IV
33.6%
B/E move
4.6%

45Δ

Calls
Pseudo strike
88.01
IV
13.5%
B/E move
2.2%
Puts
Pseudo strike
86.99
IV
21.0%
B/E move
2.4%

50Δ

Calls
Pseudo strike
87.78
IV
25.9%
B/E move
3.5%
Puts
Pseudo strike
87.74
IV
23.9%
B/E move
2.3%

55Δ

Calls
Pseudo strike
86.94
IV
25.7%
B/E move
3.0%
Puts
Pseudo strike
88.45
IV
23.1%
B/E move
1.9%

60Δ

Calls
Pseudo strike
86.17
IV
23.9%
B/E move
2.4%
Puts
Pseudo strike
88.81
IV
17.4%
B/E move
1.0%

65Δ

Calls
Pseudo strike
85.51
IV
22.4%
B/E move
1.9%
Puts
Pseudo strike
90.41
IV
26.6%
B/E move
1.4%

70Δ

Calls
Pseudo strike
84.40
IV
25.7%
B/E move
1.8%
Puts
Pseudo strike
90.23
IV
19.0%
B/E move
0.7%

75Δ

Calls
Pseudo strike
84.33
IV
19.6%
B/E move
1.2%
Puts
Pseudo strike
91.17
IV
20.0%
B/E move
0.5%

80Δ

Calls
Pseudo strike
83.58
IV
19.3%
B/E move
1.0%
Puts
Pseudo strike
91.69
IV
18.4%
B/E move
0.2%

Options history

XLP24.6424.6624.692026-10-19T20:02:50.752000+00:00: 24.66%Oct 19Oct 19
Table
ObservationIVSkewImplied move
24.66%9.60 pp5.80%