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Market datapartial · fetched 2026-11-06T22:51:55.048Z
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 dataPriceAlpaca · sip · 2026-11-06T21:10:01.354712587Z
FundamentalsAlpha 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 (%) |
|---|---|
| 73.43% | |
| 72.64% | |
| 71.95% | |
| 71.99% | |
| 71.71% | |
| 74.05% | |
| 78.33% | |
| 87.49% | |
| 93.92% | |
| 78.82% | |
| 79.77% | |
| 76.96% | |
| 80.49% | |
| 77.06% | |
| 87.24% | |
| 79.34% | |
| 79.13% | |
| 76.90% | |
| 76.75% | |
| 75.72% | |
| 75.64% | |
| 79.68% | |
| 73.09% | |
| 76.20% | |
| 77.36% | |
| 79.71% | |
| 85.48% | |
| 77.00% | |
| 75.55% | |
| 77.55% | |
| 77.25% | |
| 79.51% | |
| 79.05% | |
| 79.07% | |
| 77.97% | |
| 77.37% | |
| 75.86% | |
| 80.00% |