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State Street SPDR Portfolio S&P 500 ETF SPYM

i

Market dataready · fetched 2026-11-08T07:18:31.275Z

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 2026-11-08T07:18:30.774943+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$0.95$1.62$2.28$2.95$83.13$85.17$87.20$89.24$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$0.62$0.76$0.89$1.16$1.43$2.30$2.49$2.63$2.76$0.48$0.60$0.74$0.83$0.97$1.11$1.24$1.28$1.31$1.70$1.86$1.90
Puts——
Calls——
Skew——
Implied moveBullish±$2.27
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ88.2423.2%2.3%84.5331.1%2.9%
30Δ87.9624.6%2.2%85.0630.3%2.4%
35Δ87.6626.0%2.0%85.4830.5%2.1%
40Δ87.3426.6%1.8%85.9228.4%1.7%
45Δ86.9826.3%1.5%86.3027.6%1.4%
50Δ86.6429.1%1.4%86.6426.8%1.2%
55Δ86.2630.9%1.3%86.9725.8%1.0%
60Δ87.2023.3%0.7%
65Δ85.2337.6%1.1%87.4220.6%0.5%
70Δ84.8435.6%0.9%87.8722.8%0.4%
75Δ84.5332.5%0.7%88.1122.0%0.4%
80Δ84.2229.4%0.5%88.2519.5%0.2%

20Δ

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

25Δ

Calls
Pseudo strike
88.24
IV
23.2%
B/E move
2.3%
Puts
Pseudo strike
84.53
IV
31.1%
B/E move
2.9%

30Δ

Calls
Pseudo strike
87.96
IV
24.6%
B/E move
2.2%
Puts
Pseudo strike
85.06
IV
30.3%
B/E move
2.4%

35Δ

Calls
Pseudo strike
87.66
IV
26.0%
B/E move
2.0%
Puts
Pseudo strike
85.48
IV
30.5%
B/E move
2.1%

40Δ

Calls
Pseudo strike
87.34
IV
26.6%
B/E move
1.8%
Puts
Pseudo strike
85.92
IV
28.4%
B/E move
1.7%

45Δ

Calls
Pseudo strike
86.98
IV
26.3%
B/E move
1.5%
Puts
Pseudo strike
86.30
IV
27.6%
B/E move
1.4%

50Δ

Calls
Pseudo strike
86.64
IV
29.1%
B/E move
1.4%
Puts
Pseudo strike
86.64
IV
26.8%
B/E move
1.2%

55Δ

Calls
Pseudo strike
86.26
IV
30.9%
B/E move
1.3%
Puts
Pseudo strike
86.97
IV
25.8%
B/E move
1.0%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
87.20
IV
23.3%
B/E move
0.7%

65Δ

Calls
Pseudo strike
85.23
IV
37.6%
B/E move
1.1%
Puts
Pseudo strike
87.42
IV
20.6%
B/E move
0.5%

70Δ

Calls
Pseudo strike
84.84
IV
35.6%
B/E move
0.9%
Puts
Pseudo strike
87.87
IV
22.8%
B/E move
0.4%

75Δ

Calls
Pseudo strike
84.53
IV
32.5%
B/E move
0.7%
Puts
Pseudo strike
88.11
IV
22.0%
B/E move
0.4%

80Δ

Calls
Pseudo strike
84.22
IV
29.4%
B/E move
0.5%
Puts
Pseudo strike
88.25
IV
19.5%
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%