IntraAlpha Necessary cookies keep sign-in working. Analytics is optional and helps us understand product usage.
Consent could not be saved. Analytics is off. Retry your choice here.
Market datapartial · fetched 2026-11-05T22:23:38.834Z
Delta surfaceAlpaca · derived absolute-delta buckets ·
Calculation methodologyOptions 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 dataFundamentalsAlpha Vantage · unavailable
| Delta | Calls | Puts | ||||
|---|---|---|---|---|---|---|
| Pseudo strike | IV | B/E move | Pseudo strike | IV | B/E move | |
| 20Δ | ||||||
| 25Δ | ||||||
| 30Δ | ||||||
| 35Δ | ||||||
| 40Δ | ||||||
| 45Δ | ||||||
| 50Δ | ||||||
| 55Δ | ||||||
| 60Δ | ||||||
| 65Δ | ||||||
| 70Δ | ||||||
| 75Δ | ||||||
| 80Δ | ||||||
| Date | IV (%) |
|---|---|
| 59.54% | |
| 60.27% | |
| 58.85% | |
| 60.14% | |
| 62.41% | |
| 63.37% | |
| 65.19% | |
| 63.01% | |
| 64.54% | |
| 62.63% | |
| 64.48% | |
| 62.05% | |
| 64.98% | |
| 61.22% | |
| 61.50% | |
| 63.49% | |
| 63.46% | |
| 62.13% | |
| 59.33% | |
| 57.71% | |
| 59.88% | |
| 61.62% | |
| 59.29% | |
| 60.42% | |
| 62.15% | |
| 59.44% | |
| 57.40% | |
| 59.91% | |
| 62.41% | |
| 57.33% | |
| 55.86% | |
| 50.93% | |
| 55.07% | |
| 53.47% | |
| 54.50% | |
| 53.75% | |
| 56.18% | |
| 56.32% | |
| 58.80% | |
| 68.21% | |
| 60.93% |