Component Review
Component Review
Open component review ↗- 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
Delta Surface
CallsPuts◆ Market bucketHVCall IVPut IV
Downside IV : HV——downside
Upside IV : HV——upside
Blended skewBearish+0.26 ppput IV − call IV
Implied moveBalanced±$2.66C $1.32 · P $1.34 · ±0.34%
Premium tiltBullish2.5% CALLselected surface share
Contract detail13 delta buckets · calls + puts
| Abs. delta | Calls | Puts | ||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Mid | Strike | IV | Moneyness | Extrinsic | Gamma | Γ $ / 1% | Theta/day | Θ burn | Vega/1% | Rho/1% | B/E move | Mid | Strike | IV | Moneyness | Extrinsic | Gamma | Γ $ / 1% | Theta/day | Θ burn | Vega/1% | Rho/1% | B/E move | |
| 20Δ | $0.34 | 773.8144 | 15.7% | +0.33% | $0.34 | 0.09157 | $2.72 | -1.834 | 537.2% | 0.054 | 0.001 | 0.38% | $0.42 | 768.0840 | 19.5% | -0.41% | $0.42 | 0.07437 | $2.21 | -2.292 | 544.4% | 0.054 | -0.001 | 0.46% |
| 25Δ | $0.46 | 773.3337 | 15.8% | +0.27% | $0.46 | 0.10257 | $3.05 | -2.099 | 454.8% | 0.061 | 0.001 | 0.33% | $0.55 | 768.7602 | 19.0% | -0.32% | $0.55 | 0.08636 | $2.57 | -2.530 | 460.5% | 0.061 | -0.001 | 0.39% |
| 30Δ | $0.59 | 772.8743 | 16.0% | +0.21% | $0.59 | 0.11169 | $3.32 | -2.335 | 393.9% | 0.067 | 0.001 | 0.29% | $0.69 | 769.3501 | 18.5% | -0.25% | $0.69 | 0.09650 | $2.87 | -2.696 | 392.9% | 0.067 | -0.001 | 0.33% |
| 35Δ | $0.75 | 772.4634 | 16.2% | +0.16% | $0.75 | 0.11654 | $3.47 | -2.504 | 334.4% | 0.071 | 0.002 | 0.26% | $0.83 | 769.8926 | 18.1% | -0.17% | $0.83 | 0.10564 | $3.14 | -2.821 | 341.1% | 0.071 | -0.002 | 0.28% |
| 40Δ | $0.91 | 772.0524 | 16.4% | +0.11% | $0.91 | 0.12139 | $3.61 | -2.673 | 295.4% | 0.074 | 0.002 | 0.22% | $0.99 | 770.3620 | 17.8% | -0.11% | $0.99 | 0.11138 | $3.31 | -2.874 | 290.7% | 0.074 | -0.002 | 0.24% |
| 45Δ | $1.11 | 771.6464 | 16.7% | +0.05% | $1.11 | 0.12133 | $3.61 | -2.761 | 249.0% | 0.076 | 0.002 | 0.20% | $1.16 | 770.8133 | 17.5% | -0.06% | $1.16 | 0.11627 | $3.46 | -2.910 | 251.7% | 0.076 | -0.002 | 0.21% |
| 50Δ ATM | $1.32 | 771.2410 | 17.0% | +0.00% | $1.32 | 0.12054 | $3.59 | -2.836 | 214.9% | 0.076 | 0.002 | 0.17% | $1.34 | 771.2407 | 17.2% | +0.00% | $1.34 | 0.11886 | $3.53 | -2.878 | 214.9% | 0.076 | -0.002 | 0.17% |
| 55Δ | $1.56 | 770.8189 | 17.3% | -0.05% | $1.14 | 0.11799 | $3.51 | -2.868 | 183.8% | 0.076 | 0.003 | 0.15% | $1.53 | 771.6511 | 16.9% | +0.05% | $1.12 | 0.11981 | $3.56 | -2.798 | 182.3% | 0.076 | -0.003 | 0.15% |
| 60Δ | $1.84 | 770.3721 | 17.6% | -0.11% | $0.98 | 0.11284 | $3.36 | -2.836 | 153.8% | 0.074 | 0.003 | 0.13% | $1.74 | 772.0634 | 16.6% | +0.11% | $0.92 | 0.11986 | $3.56 | -2.706 | 155.5% | 0.074 | -0.003 | 0.12% |
| 65Δ | $2.15 | 769.9095 | 17.9% | -0.17% | $0.82 | 0.10696 | $3.18 | -2.789 | 129.9% | 0.071 | 0.003 | 0.11% | $2.01 | 772.4863 | 16.5% | +0.16% | $0.76 | 0.11470 | $3.41 | -2.548 | 127.0% | 0.071 | -0.003 | 0.10% |
| 70Δ | $2.55 | 769.3679 | 18.4% | -0.24% | $0.68 | 0.09750 | $2.90 | -2.667 | 104.6% | 0.067 | 0.003 | 0.09% | $2.27 | 772.9091 | 16.4% | +0.22% | $0.60 | 0.10955 | $3.26 | -2.389 | 105.1% | 0.067 | -0.003 | 0.08% |
| 75Δ | $3.00 | 768.7850 | 18.8% | -0.32% | $0.54 | 0.08720 | $2.59 | -2.507 | 83.6% | 0.061 | 0.004 | 0.07% | $2.62 | 773.3879 | 16.2% | +0.28% | $0.47 | 0.10006 | $2.98 | -2.152 | 82.1% | 0.061 | -0.004 | 0.06% |
| 80Δ | $3.54 | 768.1143 | 19.3% | -0.41% | $0.42 | 0.07512 | $2.23 | -2.265 | 63.9% | 0.054 | 0.004 | 0.05% | $2.99 | 773.8822 | 16.1% | +0.34% | $0.35 | 0.08937 | $2.66 | -1.892 | 63.3% | 0.054 | -0.004 | 0.05% |
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