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Market datapartial · fetched 2026-11-05T17:02:34.090Z
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 · 2026-11-05T17:02:18.437507536Z
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 (%) |
|---|---|
| 46.47% | |
| 48.17% | |
| 47.70% | |
| 46.17% | |
| 44.88% | |
| 46.38% | |
| 45.95% | |
| 45.51% | |
| 45.56% | |
| 45.16% | |
| 45.57% | |
| 45.10% | |
| 44.20% | |
| 44.41% | |
| 44.74% | |
| 46.53% | |
| 46.38% | |
| 47.93% | |
| 47.66% | |
| 47.26% | |
| 46.10% | |
| 46.23% | |
| 45.44% | |
| 46.58% | |
| 46.63% | |
| 46.31% | |
| 45.57% | |
| 45.92% | |
| 46.63% | |
| 45.97% | |
| 49.81% | |
| 49.46% | |
| 49.18% | |
| 49.13% | |
| 46.03% | |
| 45.75% | |
| 46.34% | |
| 46.04% | |
| 44.39% | |
| 45.04% | |
| 48.25% |