IntraAlpha
Create free account Start free

State Street SPDR Portfolio High Yield Bond ETF SPHY

i

Market dataready · fetched 2026-11-04T00:47:52.564Z

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 · 2026-11-03T23:30:00.003117054Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-04T00:47:52.102403+00:00

Share price$22.44
1D+0.0%
AH$22.39$22.41$22.43$22.45$22.475:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSPHY
Sold putSold callAH

State Street SPDR Portfolio High Yield Bond ETF options

Live interpolated SPHY call and put midpoint premiums by absolute delta.State Street SPDR Portfolio High Yield Bond ETF$0.13$0.46$0.80$1.13$1.46$21.92$22.33$22.74$23.15$23.5720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ25Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive SPHY spot · $22.44SPHY PRICE$0.17$0.22$0.27$0.32$0.37$0.42$0.47$0.52$0.57$0.62$0.67$0.85$1.03$0.40$0.24$0.35$0.47$0.58$0.69$0.80$0.92$1.03$1.14$1.25$1.37
Puts——
CallsExpensive2.97×
Skew——
Implied moveBearish±$1.16
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ23.5719.6%5.8%20.0569.4%12.4%
25Δ23.4119.7%5.3%
30Δ23.2619.8%4.8%22.1915.5%2.2%
35Δ23.1019.8%4.4%22.3416.2%2.0%
40Δ22.9419.9%3.9%22.4916.9%1.8%
45Δ22.7919.9%3.4%22.6517.6%1.6%
50Δ22.6320.0%2.9%22.8018.3%1.5%
55Δ22.4720.0%2.5%22.9519.0%1.3%
60Δ22.3120.1%2.0%23.1119.8%1.1%
65Δ22.1620.2%1.5%23.2620.5%0.9%
70Δ22.0020.2%1.1%23.4121.2%0.8%
75Δ21.7820.5%0.9%23.5621.9%0.6%
80Δ21.5620.9%0.7%23.7222.6%0.4%

20Δ

Calls
Pseudo strike
23.57
IV
19.6%
B/E move
5.8%
Puts
Pseudo strike
20.05
IV
69.4%
B/E move
12.4%

25Δ

Calls
Pseudo strike
23.41
IV
19.7%
B/E move
5.3%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
23.26
IV
19.8%
B/E move
4.8%
Puts
Pseudo strike
22.19
IV
15.5%
B/E move
2.2%

35Δ

Calls
Pseudo strike
23.10
IV
19.8%
B/E move
4.4%
Puts
Pseudo strike
22.34
IV
16.2%
B/E move
2.0%

40Δ

Calls
Pseudo strike
22.94
IV
19.9%
B/E move
3.9%
Puts
Pseudo strike
22.49
IV
16.9%
B/E move
1.8%

45Δ

Calls
Pseudo strike
22.79
IV
19.9%
B/E move
3.4%
Puts
Pseudo strike
22.65
IV
17.6%
B/E move
1.6%

50Δ

Calls
Pseudo strike
22.63
IV
20.0%
B/E move
2.9%
Puts
Pseudo strike
22.80
IV
18.3%
B/E move
1.5%

55Δ

Calls
Pseudo strike
22.47
IV
20.0%
B/E move
2.5%
Puts
Pseudo strike
22.95
IV
19.0%
B/E move
1.3%

60Δ

Calls
Pseudo strike
22.31
IV
20.1%
B/E move
2.0%
Puts
Pseudo strike
23.11
IV
19.8%
B/E move
1.1%

65Δ

Calls
Pseudo strike
22.16
IV
20.2%
B/E move
1.5%
Puts
Pseudo strike
23.26
IV
20.5%
B/E move
0.9%

70Δ

Calls
Pseudo strike
22.00
IV
20.2%
B/E move
1.1%
Puts
Pseudo strike
23.41
IV
21.2%
B/E move
0.8%

75Δ

Calls
Pseudo strike
21.78
IV
20.5%
B/E move
0.9%
Puts
Pseudo strike
23.56
IV
21.9%
B/E move
0.6%

80Δ

Calls
Pseudo strike
21.56
IV
20.9%
B/E move
0.7%
Puts
Pseudo strike
23.72
IV
22.6%
B/E move
0.4%

Options history

IV · four-Friday blend20.00%
Daily EOD
SPHY19.9%20.5%21.2%2026-10-20: 21.09%2026-10-23: 20.00%Oct 20Oct 23
2 observations2026-10-20 — 2026-10-23
Table
DateIV (%)
21.09%
20.00%