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PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund ZROZ

i

Market dataready · fetched 2026-11-12T02:55:09.430Z

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 · 2026-11-12T01:00:00.141179764Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T02:55:09.002985+00:00

Share price$58.03
1D+2.3%
AH$57.43$57.85$58.27$58.69$59.125:30 AM6:30 AM9:00 AM1:00 PM2:00 PMZROZ
Sold putSold callAH

PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund options

Live interpolated ZROZ call and put midpoint premiums by absolute delta.PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund$0.30$0.95$1.59$2.24$2.88$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —60Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICEZROZ PRICE$0.37$0.42$0.47$0.52$1.70$1.81$0.83$1.12$1.90$2.15$2.42$2.70
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ56.4441.6%4.2%
35Δ58.8017.8%2.0%56.7447.6%4.2%
40Δ58.5816.7%1.7%
45Δ58.3615.6%1.4%
50Δ58.1414.6%1.1%
55Δ
60Δ
65Δ59.3132.0%1.1%
70Δ56.8927.3%1.0%59.7031.5%0.8%
75Δ56.6825.0%0.8%60.0930.8%0.6%
80Δ60.4829.4%0.4%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
56.44
IV
41.6%
B/E move
4.2%

35Δ

Calls
Pseudo strike
58.80
IV
17.8%
B/E move
2.0%
Puts
Pseudo strike
56.74
IV
47.6%
B/E move
4.2%

40Δ

Calls
Pseudo strike
58.58
IV
16.7%
B/E move
1.7%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
58.36
IV
15.6%
B/E move
1.4%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
58.14
IV
14.6%
B/E move
1.1%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
59.31
IV
32.0%
B/E move
1.1%

70Δ

Calls
Pseudo strike
56.89
IV
27.3%
B/E move
1.0%
Puts
Pseudo strike
59.70
IV
31.5%
B/E move
0.8%

75Δ

Calls
Pseudo strike
56.68
IV
25.0%
B/E move
0.8%
Puts
Pseudo strike
60.09
IV
30.8%
B/E move
0.6%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
60.48
IV
29.4%
B/E move
0.4%

Options history

IV · four-Friday blend21.98%
Daily EOD
ZROZ20.3%21.6%22.8%2026-10-19: 20.48%2026-10-20: 20.46%2026-10-21: 21.23%2026-10-22: 22.07%2026-10-23: 21.36%2026-10-26: 21.24%2026-10-27: 22.67%2026-10-28: 21.76%2026-10-29: 21.58%2026-10-30: 21.98%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
20.48%
20.46%
21.23%
22.07%
21.36%
21.24%
22.67%
21.76%
21.58%
21.98%