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iShares Core S&P 500 ETF IVV

i

Market dataready · fetched 2026-11-07T01:41:39.638Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-07T01:00:00.062617961Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-07T01:41:39.318032+00:00

Share price$738.68
1D+0.1%
AH$737$739$741$743$7455:30 AM6:30 AM9:00 AM1:00 PM2:00 PMIVV
Sold putSold callAH

iShares Core S&P 500 ETF options

Live interpolated IVV call and put midpoint premiums by absolute delta.iShares Core S&P 500 ETF$1.71$8.83$15.94$23.05$30.17$-0.74$-0.12$0.50$1.12$1.7420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ35Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICEIVV PRICE$2.48$3.27$4.35$6.92$8.19$11.42$13.67$15.90$18.83$22.51$28.12$3.29$4.11$4.90$5.79$8.09$9.12$10.89$12.24$13.93$15.30$17.27$19.07
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ758.8122.0%3.1%715.7328.3%3.6%
25Δ754.7721.8%2.6%721.6026.4%2.9%
30Δ751.8922.7%2.4%726.5024.7%2.3%
35Δ730.3823.6%1.9%
40Δ745.9524.2%1.9%
45Δ742.7324.1%1.7%736.6722.8%1.4%
50Δ739.5821.9%1.1%
55Δ736.5024.5%1.3%742.4822.4%1.0%
60Δ733.1225.4%1.1%745.2421.8%0.8%
65Δ729.6325.7%0.9%748.0821.5%0.6%
70Δ725.6426.5%0.8%750.6120.5%0.5%
75Δ720.9827.4%0.7%753.4920.0%0.3%
80Δ714.5729.8%0.5%756.1519.1%0.2%

20Δ

Calls
Pseudo strike
758.81
IV
22.0%
B/E move
3.1%
Puts
Pseudo strike
715.73
IV
28.3%
B/E move
3.6%

25Δ

Calls
Pseudo strike
754.77
IV
21.8%
B/E move
2.6%
Puts
Pseudo strike
721.60
IV
26.4%
B/E move
2.9%

30Δ

Calls
Pseudo strike
751.89
IV
22.7%
B/E move
2.4%
Puts
Pseudo strike
726.50
IV
24.7%
B/E move
2.3%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
730.38
IV
23.6%
B/E move
1.9%

40Δ

Calls
Pseudo strike
745.95
IV
24.2%
B/E move
1.9%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
742.73
IV
24.1%
B/E move
1.7%
Puts
Pseudo strike
736.67
IV
22.8%
B/E move
1.4%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
739.58
IV
21.9%
B/E move
1.1%

55Δ

Calls
Pseudo strike
736.50
IV
24.5%
B/E move
1.3%
Puts
Pseudo strike
742.48
IV
22.4%
B/E move
1.0%

60Δ

Calls
Pseudo strike
733.12
IV
25.4%
B/E move
1.1%
Puts
Pseudo strike
745.24
IV
21.8%
B/E move
0.8%

65Δ

Calls
Pseudo strike
729.63
IV
25.7%
B/E move
0.9%
Puts
Pseudo strike
748.08
IV
21.5%
B/E move
0.6%

70Δ

Calls
Pseudo strike
725.64
IV
26.5%
B/E move
0.8%
Puts
Pseudo strike
750.61
IV
20.5%
B/E move
0.5%

75Δ

Calls
Pseudo strike
720.98
IV
27.4%
B/E move
0.7%
Puts
Pseudo strike
753.49
IV
20.0%
B/E move
0.3%

80Δ

Calls
Pseudo strike
714.57
IV
29.8%
B/E move
0.5%
Puts
Pseudo strike
756.15
IV
19.1%
B/E move
0.2%

Options history

IV · four-Friday blend16.84%
Daily close
IVV10.0%14.1%18.1%2026-08-10: 12.51%2026-08-11: 12.02%2026-08-12: 11.83%2026-08-13: 11.92%2026-08-14: 10.62%2026-08-17: 11.08%2026-08-18: 12.10%2026-08-19: 11.73%2026-08-20: 13.33%2026-08-21: 11.93%2026-08-24: 13.05%2026-08-25: 12.69%2026-08-26: 13.02%2026-08-27: 11.92%2026-08-28: 11.13%2026-08-31: 11.42%2026-09-01: 13.57%2026-09-02: 12.63%2026-09-03: 11.43%2026-09-04: 10.91%2026-09-08: 13.04%2026-09-09: 14.25%2026-09-10: 16.18%2026-09-11: 12.15%2026-09-14: 13.55%2026-09-15: 15.33%2026-09-16: 15.37%2026-09-17: 13.21%2026-09-18: 10.89%2026-09-21: 11.44%2026-09-22: 10.66%2026-09-23: 11.81%2026-09-24: 13.24%2026-09-25: 11.46%2026-09-28: 13.63%2026-09-29: 13.40%2026-09-30: 13.66%2026-10-01: 14.83%2026-10-02: 12.06%2026-10-05: 11.82%2026-10-06: 11.83%2026-10-07: 11.78%2026-10-08: 12.73%2026-10-09: 10.58%2026-10-12: 11.61%2026-10-13: 11.69%2026-10-14: 14.01%2026-10-15: 12.69%2026-10-16: 15.06%2026-10-19: 14.33%2026-10-20: 14.50%2026-10-21: 13.78%2026-10-22: 17.53%2026-10-23: 16.18%2026-10-26: 15.62%2026-10-27: 14.97%2026-10-28: 14.72%2026-10-29: 14.20%2026-10-30: 16.84%Aug 10Sep 21Oct 30
59 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
12.51%
12.02%
11.83%
11.92%
10.62%
11.08%
12.10%
11.73%
13.33%
11.93%
13.05%
12.69%
13.02%
11.92%
11.13%
11.42%
13.57%
12.63%
11.43%
10.91%
13.04%
14.25%
16.18%
12.15%
13.55%
15.33%
15.37%
13.21%
10.89%
11.44%
10.66%
11.81%
13.24%
11.46%
13.63%
13.40%
13.66%
14.83%
12.06%
11.82%
11.83%
11.78%
12.73%
10.58%
11.61%
11.69%
14.01%
12.69%
15.06%
14.33%
14.50%
13.78%
17.53%
16.18%
15.62%
14.97%
14.72%
14.20%
16.84%