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State Street SPDR Bloomberg Convertible Securities ETF CWB

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Market dataready · fetched 2026-11-08T06:14:38.749Z

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 · 2026-11-07T01:00:00.111164972Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-08T06:14:38.362766+00:00

Share price$91.35
1D-0.8%
AH$90.97$91.26$91.55$91.83$92.125:30 AM6:30 AM9:00 AM1:00 PM2:00 PMCWB
Sold putSold callAH

State Street SPDR Bloomberg Convertible Securities ETF options

Live interpolated CWB call and put midpoint premiums by absolute delta.State Street SPDR Bloomberg Convertible Securities ETF$0.75$1.91$3.08$4.25$5.41$85.26$88.57$91.89$95.20$98.5120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive CWB spot · $91.35CWB PRICE$0.88$1.16$1.25$1.57$1.83$2.04$2.22$2.80$3.20$3.51$4.17$5.08$1.00$1.26$1.55$1.57$1.65$2.03$2.37$2.63$2.86$3.09$3.67$4.31
Puts——
Calls——
Skew——
Implied moveBalanced±$4.07
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ99.0548.1%9.4%
25Δ87.4138.2%5.4%
30Δ95.0937.1%5.4%88.4737.0%4.5%
35Δ93.7832.4%4.0%89.2637.7%4.0%
40Δ93.1134.4%3.6%90.2432.4%2.9%
45Δ92.3633.8%3.1%91.0028.5%2.2%
50Δ91.6532.0%2.6%91.6129.5%1.9%
55Δ90.9829.8%2.0%92.2129.7%1.7%
60Δ90.2532.5%1.9%92.7828.4%1.3%
65Δ89.5932.3%1.6%93.2926.9%1.0%
70Δ88.9630.9%1.2%93.7725.2%0.7%
75Δ88.1131.9%1.0%94.5225.7%0.5%
80Δ87.0333.8%0.8%95.3026.1%0.4%

20Δ

Calls
Pseudo strike
99.05
IV
48.1%
B/E move
9.4%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
87.41
IV
38.2%
B/E move
5.4%

30Δ

Calls
Pseudo strike
95.09
IV
37.1%
B/E move
5.4%
Puts
Pseudo strike
88.47
IV
37.0%
B/E move
4.5%

35Δ

Calls
Pseudo strike
93.78
IV
32.4%
B/E move
4.0%
Puts
Pseudo strike
89.26
IV
37.7%
B/E move
4.0%

40Δ

Calls
Pseudo strike
93.11
IV
34.4%
B/E move
3.6%
Puts
Pseudo strike
90.24
IV
32.4%
B/E move
2.9%

45Δ

Calls
Pseudo strike
92.36
IV
33.8%
B/E move
3.1%
Puts
Pseudo strike
91.00
IV
28.5%
B/E move
2.2%

50Δ

Calls
Pseudo strike
91.65
IV
32.0%
B/E move
2.6%
Puts
Pseudo strike
91.61
IV
29.5%
B/E move
1.9%

55Δ

Calls
Pseudo strike
90.98
IV
29.8%
B/E move
2.0%
Puts
Pseudo strike
92.21
IV
29.7%
B/E move
1.7%

60Δ

Calls
Pseudo strike
90.25
IV
32.5%
B/E move
1.9%
Puts
Pseudo strike
92.78
IV
28.4%
B/E move
1.3%

65Δ

Calls
Pseudo strike
89.59
IV
32.3%
B/E move
1.6%
Puts
Pseudo strike
93.29
IV
26.9%
B/E move
1.0%

70Δ

Calls
Pseudo strike
88.96
IV
30.9%
B/E move
1.2%
Puts
Pseudo strike
93.77
IV
25.2%
B/E move
0.7%

75Δ

Calls
Pseudo strike
88.11
IV
31.9%
B/E move
1.0%
Puts
Pseudo strike
94.52
IV
25.7%
B/E move
0.5%

80Δ

Calls
Pseudo strike
87.03
IV
33.8%
B/E move
0.8%
Puts
Pseudo strike
95.30
IV
26.1%
B/E move
0.4%

Options history

IV · four-Friday blend21.84%
Daily EOD
CWB20.1%21.0%22.0%2026-10-19: 20.95%2026-10-20: 20.66%2026-10-21: 20.25%2026-10-22: 21.63%2026-10-23: 21.17%2026-10-26: 21.44%2026-10-27: 20.90%2026-10-28: 20.46%2026-10-29: 20.69%2026-10-30: 21.84%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
20.95%
20.66%
20.25%
21.63%
21.17%
21.44%
20.90%
20.46%
20.69%
21.84%