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State Street SPDR S&P 500 ETF Trust SPY

i

Market dataready · fetched 2026-11-07T01:13:29.382Z

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 · 2026-11-07T01:00:00.017169108Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-07T01:10:56.366705+00:00

Share price$735.29
1D+0.1%
AH$734$736$738$740$7425:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSPY
Sold putSold callAH

State Street SPDR S&P 500 ETF Trust options

Live interpolated SPY call and put midpoint premiums by absolute delta.State Street SPDR S&P 500 ETF Trust$1.41$8.83$16.26$23.68$31.11$705.89$723.31$740.73$758.16$775.5820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SPY spot · $735.29SPY PRICE$2.21$3.06$4.04$5.15$6.42$7.86$9.52$11.42$13.65$16.37$19.57$23.64$28.97$3.21$4.09$5.02$6.00$7.02$8.11$9.26$10.48$11.76$13.15$14.63$16.27$17.97
PutsFair1.03×
CallsExpensive1.34×
SkewBullish-1.85 pp
Implied moveBalanced±$18.78
TiltBullish8.9% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ753.2219.7%2.7%712.8727.7%3.5%
25Δ750.3320.4%2.5%718.3726.4%2.9%
30Δ747.5421.1%2.2%722.8325.4%2.4%
35Δ744.8021.8%2.0%726.6924.5%2.0%
40Δ742.0322.5%1.8%730.1323.7%1.7%
45Δ739.2023.2%1.6%733.2723.0%1.4%
50Δ736.2423.9%1.4%736.1922.4%1.1%
55Δ733.1224.7%1.3%738.9621.7%0.9%
60Δ729.7425.5%1.1%741.6021.0%0.7%
65Δ725.9726.6%1.0%744.1820.4%0.6%
70Δ721.7327.7%0.8%746.7119.7%0.4%
75Δ716.6929.1%0.7%749.2719.0%0.3%
80Δ710.4330.9%0.6%751.7818.1%0.2%

20Δ

Calls
Pseudo strike
753.22
IV
19.7%
B/E move
2.7%
Puts
Pseudo strike
712.87
IV
27.7%
B/E move
3.5%

25Δ

Calls
Pseudo strike
750.33
IV
20.4%
B/E move
2.5%
Puts
Pseudo strike
718.37
IV
26.4%
B/E move
2.9%

30Δ

Calls
Pseudo strike
747.54
IV
21.1%
B/E move
2.2%
Puts
Pseudo strike
722.83
IV
25.4%
B/E move
2.4%

35Δ

Calls
Pseudo strike
744.80
IV
21.8%
B/E move
2.0%
Puts
Pseudo strike
726.69
IV
24.5%
B/E move
2.0%

40Δ

Calls
Pseudo strike
742.03
IV
22.5%
B/E move
1.8%
Puts
Pseudo strike
730.13
IV
23.7%
B/E move
1.7%

45Δ

Calls
Pseudo strike
739.20
IV
23.2%
B/E move
1.6%
Puts
Pseudo strike
733.27
IV
23.0%
B/E move
1.4%

50Δ

Calls
Pseudo strike
736.24
IV
23.9%
B/E move
1.4%
Puts
Pseudo strike
736.19
IV
22.4%
B/E move
1.1%

55Δ

Calls
Pseudo strike
733.12
IV
24.7%
B/E move
1.3%
Puts
Pseudo strike
738.96
IV
21.7%
B/E move
0.9%

60Δ

Calls
Pseudo strike
729.74
IV
25.5%
B/E move
1.1%
Puts
Pseudo strike
741.60
IV
21.0%
B/E move
0.7%

65Δ

Calls
Pseudo strike
725.97
IV
26.6%
B/E move
1.0%
Puts
Pseudo strike
744.18
IV
20.4%
B/E move
0.6%

70Δ

Calls
Pseudo strike
721.73
IV
27.7%
B/E move
0.8%
Puts
Pseudo strike
746.71
IV
19.7%
B/E move
0.4%

75Δ

Calls
Pseudo strike
716.69
IV
29.1%
B/E move
0.7%
Puts
Pseudo strike
749.27
IV
19.0%
B/E move
0.3%

80Δ

Calls
Pseudo strike
710.43
IV
30.9%
B/E move
0.6%
Puts
Pseudo strike
751.78
IV
18.1%
B/E move
0.2%

Options history

IV · four-Friday blend16.47%
Daily close
SPY10.0%13.5%16.9%2026-08-10: 12.15%2026-08-11: 12.11%2026-08-12: 10.97%2026-08-13: 10.73%2026-08-14: 10.45%2026-08-17: 11.05%2026-08-18: 11.85%2026-08-19: 11.23%2026-08-20: 13.08%2026-08-21: 11.68%2026-08-24: 12.62%2026-08-25: 12.48%2026-08-26: 12.92%2026-08-27: 11.56%2026-08-28: 10.61%2026-08-31: 11.39%2026-09-01: 13.02%2026-09-02: 11.92%2026-09-03: 11.12%2026-09-04: 10.68%2026-09-08: 12.73%2026-09-09: 13.70%2026-09-10: 16.11%2026-09-11: 12.07%2026-09-14: 13.87%2026-09-15: 15.04%2026-09-16: 15.11%2026-09-17: 12.19%2026-09-18: 11.00%2026-09-21: 11.24%2026-09-22: 10.78%2026-09-23: 11.90%2026-09-24: 12.44%2026-09-25: 11.43%2026-09-28: 13.02%2026-09-29: 13.20%2026-09-30: 13.60%2026-10-01: 13.64%2026-10-02: 11.46%2026-10-05: 11.49%2026-10-06: 11.01%2026-10-07: 11.02%2026-10-08: 11.20%2026-10-09: 10.62%2026-10-12: 11.07%2026-10-13: 11.38%2026-10-14: 13.25%2026-10-15: 12.07%2026-10-16: 14.27%2026-10-19: 14.17%2026-10-20: 13.68%2026-10-21: 13.40%2026-10-22: 16.11%2026-10-23: 15.79%2026-10-26: 15.33%2026-10-27: 14.64%2026-10-28: 14.13%2026-10-29: 13.27%2026-10-30: 16.47%Aug 10Sep 21Oct 30
59 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
12.15%
12.11%
10.97%
10.73%
10.45%
11.05%
11.85%
11.23%
13.08%
11.68%
12.62%
12.48%
12.92%
11.56%
10.61%
11.39%
13.02%
11.92%
11.12%
10.68%
12.73%
13.70%
16.11%
12.07%
13.87%
15.04%
15.11%
12.19%
11.00%
11.24%
10.78%
11.90%
12.44%
11.43%
13.02%
13.20%
13.60%
13.64%
11.46%
11.49%
11.01%
11.02%
11.20%
10.62%
11.07%
11.38%
13.25%
12.07%
14.27%
14.17%
13.68%
13.40%
16.11%
15.79%
15.33%
14.64%
14.13%
13.27%
16.47%

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