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iShares Core S&P 500 ETF IVV

i

Market dataready · fetched 2026-11-08T05:16:17.734Z

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 2026-11-08T05:16:17.484604+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$8.96$16.21$23.46$30.71$-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$2.50$3.30$4.39$6.97$8.29$11.52$13.77$16.03$19.02$22.85$28.62$3.28$4.09$4.87$5.74$8.00$8.97$10.79$12.10$13.79$15.18$17.11$18.87
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ758.7626.2%3.1%715.6533.4%3.6%
25Δ754.7125.9%2.6%721.5131.1%2.9%
30Δ751.8327.1%2.4%726.4129.1%2.3%
35Δ730.2927.7%1.9%
40Δ745.8428.8%1.9%
45Δ742.6228.8%1.7%736.5426.7%1.4%
50Δ739.4125.5%1.1%
55Δ736.3329.3%1.2%742.2926.3%1.0%
60Δ732.9230.3%1.1%745.0125.5%0.8%
65Δ729.4030.6%0.9%747.8225.1%0.6%
70Δ725.3631.6%0.8%750.3524.0%0.5%
75Δ720.5533.0%0.6%753.2023.5%0.4%
80Δ713.9735.9%0.5%755.8222.4%0.2%

20Δ

Calls
Pseudo strike
758.76
IV
26.2%
B/E move
3.1%
Puts
Pseudo strike
715.65
IV
33.4%
B/E move
3.6%

25Δ

Calls
Pseudo strike
754.71
IV
25.9%
B/E move
2.6%
Puts
Pseudo strike
721.51
IV
31.1%
B/E move
2.9%

30Δ

Calls
Pseudo strike
751.83
IV
27.1%
B/E move
2.4%
Puts
Pseudo strike
726.41
IV
29.1%
B/E move
2.3%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
730.29
IV
27.7%
B/E move
1.9%

40Δ

Calls
Pseudo strike
745.84
IV
28.8%
B/E move
1.9%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
742.62
IV
28.8%
B/E move
1.7%
Puts
Pseudo strike
736.54
IV
26.7%
B/E move
1.4%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
739.41
IV
25.5%
B/E move
1.1%

55Δ

Calls
Pseudo strike
736.33
IV
29.3%
B/E move
1.2%
Puts
Pseudo strike
742.29
IV
26.3%
B/E move
1.0%

60Δ

Calls
Pseudo strike
732.92
IV
30.3%
B/E move
1.1%
Puts
Pseudo strike
745.01
IV
25.5%
B/E move
0.8%

65Δ

Calls
Pseudo strike
729.40
IV
30.6%
B/E move
0.9%
Puts
Pseudo strike
747.82
IV
25.1%
B/E move
0.6%

70Δ

Calls
Pseudo strike
725.36
IV
31.6%
B/E move
0.8%
Puts
Pseudo strike
750.35
IV
24.0%
B/E move
0.5%

75Δ

Calls
Pseudo strike
720.55
IV
33.0%
B/E move
0.6%
Puts
Pseudo strike
753.20
IV
23.5%
B/E move
0.4%

80Δ

Calls
Pseudo strike
713.97
IV
35.9%
B/E move
0.5%
Puts
Pseudo strike
755.82
IV
22.4%
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%