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Simplify Managed Futures Strategy ETF CTA

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Market dataready · fetched 2026-11-06T20:51:49.301Z

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 · 2026-11-06T20:50:26.749343892Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-06T20:51:48.458675+00:00

Share price$26.78
1D-0.2%
$26.59$26.66$26.74$26.82$26.895:30 AM6:30 AM9:00 AM1:00 PMCTA
Sold putSold call

Simplify Managed Futures Strategy ETF options

Live interpolated CTA call and put midpoint premiums by absolute delta.Simplify Managed Futures Strategy ETF$0.29$0.94$1.59$2.24$2.88$23.69$25.63$27.57$29.51$31.4520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —25Δ P unavailable: no unambiguous, price-consistent delta bracketP —30Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive CTA spot · $26.77CTA PRICE$0.36$0.58$0.83$1.07$1.22$1.31$1.45$1.60$1.77$1.95$2.15$2.36$2.70$1.39$1.54$1.67$1.79$1.90$2.02$2.15$2.28$2.41
Puts——
CallsExpensive2.62×
Skew——
Implied moveBearish±$3.12
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ30.0864.6%13.7%
25Δ29.7573.1%13.3%
30Δ29.4582.6%13.1%
35Δ29.1692.2%12.9%
40Δ28.5490.7%11.2%26.0784.5%7.9%
45Δ27.7380.9%8.5%26.5978.8%6.4%
50Δ27.1375.6%6.7%27.0873.1%5.1%
55Δ26.6471.8%5.5%27.4667.6%4.1%
60Δ26.1768.3%4.3%27.8462.1%3.1%
65Δ25.7565.2%3.5%28.1657.3%2.4%
70Δ25.3562.4%2.7%28.4353.2%1.9%
75Δ24.9559.7%2.0%28.7049.0%1.3%
80Δ24.4958.4%1.5%28.9844.8%0.8%

20Δ

Calls
Pseudo strike
30.08
IV
64.6%
B/E move
13.7%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
29.75
IV
73.1%
B/E move
13.3%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
29.45
IV
82.6%
B/E move
13.1%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
29.16
IV
92.2%
B/E move
12.9%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
28.54
IV
90.7%
B/E move
11.2%
Puts
Pseudo strike
26.07
IV
84.5%
B/E move
7.9%

45Δ

Calls
Pseudo strike
27.73
IV
80.9%
B/E move
8.5%
Puts
Pseudo strike
26.59
IV
78.8%
B/E move
6.4%

50Δ

Calls
Pseudo strike
27.13
IV
75.6%
B/E move
6.7%
Puts
Pseudo strike
27.08
IV
73.1%
B/E move
5.1%

55Δ

Calls
Pseudo strike
26.64
IV
71.8%
B/E move
5.5%
Puts
Pseudo strike
27.46
IV
67.6%
B/E move
4.1%

60Δ

Calls
Pseudo strike
26.17
IV
68.3%
B/E move
4.3%
Puts
Pseudo strike
27.84
IV
62.1%
B/E move
3.1%

65Δ

Calls
Pseudo strike
25.75
IV
65.2%
B/E move
3.5%
Puts
Pseudo strike
28.16
IV
57.3%
B/E move
2.4%

70Δ

Calls
Pseudo strike
25.35
IV
62.4%
B/E move
2.7%
Puts
Pseudo strike
28.43
IV
53.2%
B/E move
1.9%

75Δ

Calls
Pseudo strike
24.95
IV
59.7%
B/E move
2.0%
Puts
Pseudo strike
28.70
IV
49.0%
B/E move
1.3%

80Δ

Calls
Pseudo strike
24.49
IV
58.4%
B/E move
1.5%
Puts
Pseudo strike
28.98
IV
44.8%
B/E move
0.8%

Options history

IV · four-Friday blend43.76%
Daily EOD
CTA38.8%41.6%44.3%2026-10-19: 40.44%2026-10-20: 39.73%2026-10-21: 40.83%2026-10-22: 40.43%2026-10-23: 42.05%2026-10-26: 42.69%2026-10-27: 39.21%2026-10-28: 41.85%2026-10-29: 43.91%2026-10-30: 43.76%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
40.44%
39.73%
40.83%
40.43%
42.05%
42.69%
39.21%
41.85%
43.91%
43.76%