Component Review

Component Review

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Value
Spot call and put pricing differences at comparable delta and expiration.
Evidence
derived historical

Inspect captured option quotes

SPY · Historical OPRA snapshots
Underlying at capture
$771.24
Expiration
2026-08-28
Included quotes
≤120s old · Strikes within $25
Model
IV/delta inferred · r=0 · q=0

SPY options

Historical modeled SPY call and put midpoint premiums by absolute delta.SPY$0.25$1.13$2.02$2.91$3.800%5%10%15%19%20Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICECaptured SPY spot · $771.24IV$0.34$0.46$0.59$0.75$0.91$1.11$1.32$1.56$1.84$2.15$2.55$3.00$3.54$0.42$0.55$0.69$0.83$0.99$1.16$1.34$1.53$1.74$2.01$2.27$2.62$2.99
Puts——
Calls——
SkewBearish+0.26 pp
Implied moveBalanced±$2.66
TiltBullish2.5% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ773.8115.7%0.4%768.0819.5%0.5%
25Δ773.3315.8%0.3%768.7619.0%0.4%
30Δ772.8716.0%0.3%769.3518.5%0.3%
35Δ772.4616.2%0.3%769.8918.1%0.3%
40Δ772.0516.4%0.2%770.3617.8%0.2%
45Δ771.6516.7%0.2%770.8117.5%0.2%
50Δ771.2417.0%0.2%771.2417.2%0.2%
55Δ770.8217.3%0.1%771.6516.9%0.1%
60Δ770.3717.6%0.1%772.0616.6%0.1%
65Δ769.9117.9%0.1%772.4916.5%0.1%
70Δ769.3718.4%0.1%772.9116.4%0.1%
75Δ768.7818.8%0.1%773.3916.2%0.1%
80Δ768.1119.3%0.1%773.8816.1%0.0%

20Δ

Calls
Pseudo strike
773.81
IV
15.7%
B/E move
0.4%
Puts
Pseudo strike
768.08
IV
19.5%
B/E move
0.5%

25Δ

Calls
Pseudo strike
773.33
IV
15.8%
B/E move
0.3%
Puts
Pseudo strike
768.76
IV
19.0%
B/E move
0.4%

30Δ

Calls
Pseudo strike
772.87
IV
16.0%
B/E move
0.3%
Puts
Pseudo strike
769.35
IV
18.5%
B/E move
0.3%

35Δ

Calls
Pseudo strike
772.46
IV
16.2%
B/E move
0.3%
Puts
Pseudo strike
769.89
IV
18.1%
B/E move
0.3%

40Δ

Calls
Pseudo strike
772.05
IV
16.4%
B/E move
0.2%
Puts
Pseudo strike
770.36
IV
17.8%
B/E move
0.2%

45Δ

Calls
Pseudo strike
771.65
IV
16.7%
B/E move
0.2%
Puts
Pseudo strike
770.81
IV
17.5%
B/E move
0.2%

50Δ

Calls
Pseudo strike
771.24
IV
17.0%
B/E move
0.2%
Puts
Pseudo strike
771.24
IV
17.2%
B/E move
0.2%

55Δ

Calls
Pseudo strike
770.82
IV
17.3%
B/E move
0.1%
Puts
Pseudo strike
771.65
IV
16.9%
B/E move
0.1%

60Δ

Calls
Pseudo strike
770.37
IV
17.6%
B/E move
0.1%
Puts
Pseudo strike
772.06
IV
16.6%
B/E move
0.1%

65Δ

Calls
Pseudo strike
769.91
IV
17.9%
B/E move
0.1%
Puts
Pseudo strike
772.49
IV
16.5%
B/E move
0.1%

70Δ

Calls
Pseudo strike
769.37
IV
18.4%
B/E move
0.1%
Puts
Pseudo strike
772.91
IV
16.4%
B/E move
0.1%

75Δ

Calls
Pseudo strike
768.78
IV
18.8%
B/E move
0.1%
Puts
Pseudo strike
773.39
IV
16.2%
B/E move
0.1%

80Δ

Calls
Pseudo strike
768.11
IV
19.3%
B/E move
0.1%
Puts
Pseudo strike
773.88
IV
16.1%
B/E move
0.0%
Source evidence
Provider / feed
Alpaca / opra
Source contracts
354
SHA-256
9961ce920b26c909c7540beeb78972f4104305ab8b51cb57ff813550ead394e4
Source artifact
Data/market-data/prospective-best-v2/2026-08-28-gate-060-alpaca-opra.json.gz
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