IntraAlpha
Create free account Start free

iShares 1-3 Year Treasury Bond ETF SHY

i

Market dataready · fetched 2026-11-04T02:45:15.032Z

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 · 2026-11-03T21:35:37.50967296Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-04T02:45:14.506154+00:00

Share price$81.41
1D-0.1%
AH$81.35$81.40$81.44$81.48$81.535:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSHY
Sold putSold callAH

iShares 1-3 Year Treasury Bond ETF options

Live interpolated SHY call and put midpoint premiums by absolute delta.iShares 1-3 Year Treasury Bond ETF$0.00$1.30$2.59$3.89$5.19$79.00$79.84$80.68$81.52$82.3520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SHY spot · $81.41SHY PRICE$0.06$0.11$0.16$0.21$0.26$0.31$0.37$0.42$0.47$0.52$0.57$0.62$0.89$0.34$0.71$1.08$1.46$1.83$2.20$2.57$2.95$3.32$3.69$4.06$4.43$4.81
PutsExpensive3.97×
CallsExpensive1.52×
SkewBearish+8.41 pp
Implied moveBearish±$2.94
TiltBearish74.1% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ81.982.8%0.8%81.314.4%0.5%
25Δ81.902.9%0.7%81.725.6%0.5%
30Δ81.813.0%0.7%82.126.9%0.5%
35Δ81.733.1%0.7%82.528.2%0.4%
40Δ81.643.2%0.6%82.929.4%0.4%
45Δ81.563.4%0.6%83.3310.7%0.4%
50Δ81.473.5%0.5%83.7312.0%0.3%
55Δ81.393.6%0.5%84.1313.2%0.3%
60Δ81.303.7%0.4%84.5314.5%0.2%
65Δ81.223.8%0.4%84.9415.8%0.2%
70Δ81.134.0%0.4%85.3417.0%0.2%
75Δ81.054.1%0.3%85.7418.3%0.1%
80Δ80.765.1%0.3%86.1419.6%0.1%

20Δ

Calls
Pseudo strike
81.98
IV
2.8%
B/E move
0.8%
Puts
Pseudo strike
81.31
IV
4.4%
B/E move
0.5%

25Δ

Calls
Pseudo strike
81.90
IV
2.9%
B/E move
0.7%
Puts
Pseudo strike
81.72
IV
5.6%
B/E move
0.5%

30Δ

Calls
Pseudo strike
81.81
IV
3.0%
B/E move
0.7%
Puts
Pseudo strike
82.12
IV
6.9%
B/E move
0.5%

35Δ

Calls
Pseudo strike
81.73
IV
3.1%
B/E move
0.7%
Puts
Pseudo strike
82.52
IV
8.2%
B/E move
0.4%

40Δ

Calls
Pseudo strike
81.64
IV
3.2%
B/E move
0.6%
Puts
Pseudo strike
82.92
IV
9.4%
B/E move
0.4%

45Δ

Calls
Pseudo strike
81.56
IV
3.4%
B/E move
0.6%
Puts
Pseudo strike
83.33
IV
10.7%
B/E move
0.4%

50Δ

Calls
Pseudo strike
81.47
IV
3.5%
B/E move
0.5%
Puts
Pseudo strike
83.73
IV
12.0%
B/E move
0.3%

55Δ

Calls
Pseudo strike
81.39
IV
3.6%
B/E move
0.5%
Puts
Pseudo strike
84.13
IV
13.2%
B/E move
0.3%

60Δ

Calls
Pseudo strike
81.30
IV
3.7%
B/E move
0.4%
Puts
Pseudo strike
84.53
IV
14.5%
B/E move
0.2%

65Δ

Calls
Pseudo strike
81.22
IV
3.8%
B/E move
0.4%
Puts
Pseudo strike
84.94
IV
15.8%
B/E move
0.2%

70Δ

Calls
Pseudo strike
81.13
IV
4.0%
B/E move
0.4%
Puts
Pseudo strike
85.34
IV
17.0%
B/E move
0.2%

75Δ

Calls
Pseudo strike
81.05
IV
4.1%
B/E move
0.3%
Puts
Pseudo strike
85.74
IV
18.3%
B/E move
0.1%

80Δ

Calls
Pseudo strike
80.76
IV
5.1%
B/E move
0.3%
Puts
Pseudo strike
86.14
IV
19.6%
B/E move
0.1%

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations