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State Street SPDR Portfolio S&P 500 ETF SPYM

i

Market dataready · fetched 2026-11-07T02:11:39.143Z

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 · 2026-11-07T01:00:00.149244443Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-07T02:11:38.700679+00:00

Share price$86.56
1D+0.2%
AH$86.36$86.59$86.82$87.05$87.285:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSPYM
Sold putSold callAH

State Street SPDR Portfolio S&P 500 ETF options

Live interpolated SPYM call and put midpoint premiums by absolute delta.State Street SPDR Portfolio S&P 500 ETF$0.28$0.94$1.61$2.27$2.93$83.08$85.13$87.18$89.23$91.2820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive SPYM spot · $86.56SPYM PRICE$0.35$0.47$0.61$0.75$0.88$1.15$1.41$2.28$2.48$2.61$2.74$0.48$0.60$0.75$0.84$0.98$1.11$1.25$1.28$1.32$1.76$1.86$1.91
Puts——
Calls——
Skew——
Implied moveBalanced±$2.26
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ88.2519.5%2.4%84.5426.4%2.9%
30Δ87.9720.6%2.2%85.0725.7%2.4%
35Δ87.6721.8%2.0%85.4925.9%2.1%
40Δ87.3522.3%1.8%85.9424.1%1.7%
45Δ87.0022.0%1.5%86.3123.5%1.4%
50Δ86.6624.3%1.4%86.6622.8%1.2%
55Δ86.2825.9%1.3%87.0022.0%0.9%
60Δ87.2219.7%0.7%
65Δ85.2631.6%1.1%87.4517.5%0.5%
70Δ84.8629.9%0.9%87.9420.1%0.4%
75Δ84.5627.3%0.7%88.1318.6%0.3%
80Δ84.2524.7%0.5%88.2816.5%0.2%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
88.25
IV
19.5%
B/E move
2.4%
Puts
Pseudo strike
84.54
IV
26.4%
B/E move
2.9%

30Δ

Calls
Pseudo strike
87.97
IV
20.6%
B/E move
2.2%
Puts
Pseudo strike
85.07
IV
25.7%
B/E move
2.4%

35Δ

Calls
Pseudo strike
87.67
IV
21.8%
B/E move
2.0%
Puts
Pseudo strike
85.49
IV
25.9%
B/E move
2.1%

40Δ

Calls
Pseudo strike
87.35
IV
22.3%
B/E move
1.8%
Puts
Pseudo strike
85.94
IV
24.1%
B/E move
1.7%

45Δ

Calls
Pseudo strike
87.00
IV
22.0%
B/E move
1.5%
Puts
Pseudo strike
86.31
IV
23.5%
B/E move
1.4%

50Δ

Calls
Pseudo strike
86.66
IV
24.3%
B/E move
1.4%
Puts
Pseudo strike
86.66
IV
22.8%
B/E move
1.2%

55Δ

Calls
Pseudo strike
86.28
IV
25.9%
B/E move
1.3%
Puts
Pseudo strike
87.00
IV
22.0%
B/E move
0.9%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
87.22
IV
19.7%
B/E move
0.7%

65Δ

Calls
Pseudo strike
85.26
IV
31.6%
B/E move
1.1%
Puts
Pseudo strike
87.45
IV
17.5%
B/E move
0.5%

70Δ

Calls
Pseudo strike
84.86
IV
29.9%
B/E move
0.9%
Puts
Pseudo strike
87.94
IV
20.1%
B/E move
0.4%

75Δ

Calls
Pseudo strike
84.56
IV
27.3%
B/E move
0.7%
Puts
Pseudo strike
88.13
IV
18.6%
B/E move
0.3%

80Δ

Calls
Pseudo strike
84.25
IV
24.7%
B/E move
0.5%
Puts
Pseudo strike
88.28
IV
16.5%
B/E move
0.2%

Options history

IV · four-Friday blend17.42%
Daily EOD
SPYM13.6%16.4%19.2%2026-10-19: 14.21%2026-10-20: 14.02%2026-10-21: 14.14%2026-10-22: 16.14%2026-10-23: 15.94%2026-10-26: 15.33%2026-10-27: 15.55%2026-10-28: 15.52%2026-10-29: 18.80%2026-10-30: 17.42%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
14.21%
14.02%
14.14%
16.14%
15.94%
15.33%
15.55%
15.52%
18.80%
17.42%