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ProShares Ulta SmallCap600 SAA

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Market dataready · fetched 2026-11-07T06:48:05.527Z

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 · 2026-11-07T01:00:00.116807472Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-07T06:48:05.040460+00:00

Share price$31.85
1D+0.5%
AH$31.39$31.58$31.77$31.95$32.145:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSAA
Sold putSold callAH

ProShares Ulta SmallCap600 options

Live interpolated SAA call and put midpoint premiums by absolute delta.ProShares Ulta SmallCap600$0.24$0.95$1.65$2.36$3.06$28.20$30.02$31.83$33.65$35.4620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SAA spot · $31.85SAA PRICE$0.32$0.39$0.46$0.55$0.68$0.80$0.93$1.15$1.37$1.60$1.93$2.25$2.86$0.41$0.46$0.54$0.61$0.72$0.83$0.94$1.07$1.21$1.35$1.49$1.71$1.94
PutsCheap0.82×
CallsExpensive1.09×
SkewBullish-5.03 pp
Implied moveBalanced±$1.87
TiltBullish7.0% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ34.7349.0%10.1%29.2257.3%9.5%
25Δ33.9244.0%7.7%30.0848.3%7.0%
30Δ33.4241.4%6.4%30.5744.7%5.7%
35Δ32.9439.2%5.2%31.0441.4%4.5%
40Δ32.6239.7%4.6%31.3540.1%3.8%
45Δ32.3140.2%4.0%31.6638.8%3.2%
50Δ31.9940.7%3.4%31.9737.4%2.6%
55Δ31.6542.3%3.0%32.2436.3%2.2%
60Δ31.3143.8%2.6%32.5035.2%1.8%
65Δ30.9745.4%2.3%32.7634.1%1.4%
70Δ30.5347.0%1.9%33.0233.0%1.0%
75Δ30.1048.6%1.6%33.3232.1%0.8%
80Δ29.4053.6%1.3%33.6231.2%0.5%

20Δ

Calls
Pseudo strike
34.73
IV
49.0%
B/E move
10.1%
Puts
Pseudo strike
29.22
IV
57.3%
B/E move
9.5%

25Δ

Calls
Pseudo strike
33.92
IV
44.0%
B/E move
7.7%
Puts
Pseudo strike
30.08
IV
48.3%
B/E move
7.0%

30Δ

Calls
Pseudo strike
33.42
IV
41.4%
B/E move
6.4%
Puts
Pseudo strike
30.57
IV
44.7%
B/E move
5.7%

35Δ

Calls
Pseudo strike
32.94
IV
39.2%
B/E move
5.2%
Puts
Pseudo strike
31.04
IV
41.4%
B/E move
4.5%

40Δ

Calls
Pseudo strike
32.62
IV
39.7%
B/E move
4.6%
Puts
Pseudo strike
31.35
IV
40.1%
B/E move
3.8%

45Δ

Calls
Pseudo strike
32.31
IV
40.2%
B/E move
4.0%
Puts
Pseudo strike
31.66
IV
38.8%
B/E move
3.2%

50Δ

Calls
Pseudo strike
31.99
IV
40.7%
B/E move
3.4%
Puts
Pseudo strike
31.97
IV
37.4%
B/E move
2.6%

55Δ

Calls
Pseudo strike
31.65
IV
42.3%
B/E move
3.0%
Puts
Pseudo strike
32.24
IV
36.3%
B/E move
2.2%

60Δ

Calls
Pseudo strike
31.31
IV
43.8%
B/E move
2.6%
Puts
Pseudo strike
32.50
IV
35.2%
B/E move
1.8%

65Δ

Calls
Pseudo strike
30.97
IV
45.4%
B/E move
2.3%
Puts
Pseudo strike
32.76
IV
34.1%
B/E move
1.4%

70Δ

Calls
Pseudo strike
30.53
IV
47.0%
B/E move
1.9%
Puts
Pseudo strike
33.02
IV
33.0%
B/E move
1.0%

75Δ

Calls
Pseudo strike
30.10
IV
48.6%
B/E move
1.6%
Puts
Pseudo strike
33.32
IV
32.1%
B/E move
0.8%

80Δ

Calls
Pseudo strike
29.40
IV
53.6%
B/E move
1.3%
Puts
Pseudo strike
33.62
IV
31.2%
B/E move
0.5%

Options history

IV · four-Friday blend29.63%
Daily EOD
SAA26.5%28.7%30.9%2026-10-19: 29.94%2026-10-20: 27.98%2026-10-21: 29.07%2026-10-22: 30.11%2026-10-23: 30.57%2026-10-26: 29.80%2026-10-27: 29.59%2026-10-28: 26.83%2026-10-29: 27.60%2026-10-30: 29.63%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
29.94%
27.98%
29.07%
30.11%
30.57%
29.80%
29.59%
26.83%
27.60%
29.63%