IntraAlpha
Create free account Start free

Amplify BlackSwan Growth & Treasure Core ETF SWAN

i

Market dataready · fetched 2026-11-03T19:45:03.192Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2027-04-16

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 · 2026-11-03T19:42:30.160594307Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-03T19:45:00.514722+00:00

Share price$32.19
1D+0.3%
$32.06$32.10$32.14$32.17$32.215:30 AM6:30 AM9:00 AM1:00 PMSWAN
Sold putSold call

Amplify BlackSwan Growth & Treasure Core ETF options

Live interpolated SWAN call and put midpoint premiums by absolute delta.Amplify BlackSwan Growth & Treasure Core ETF$1.09$2.32$3.54$4.77$5.99$28.64$30.44$32.24$34.03$35.8320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICELive SWAN spot · $32.19SWAN PRICE$1.23$1.23$1.23$1.27$1.35$1.46$1.60$1.75$1.89$2.02$2.16$1.30$1.34$1.41$1.50$1.64$1.90$2.18$2.46$2.73$3.01$3.62$5.64
Puts——
Calls——
Skew——
Implied moveBearish±$3.64
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ26.5446.3%21.6%
25Δ41.8043.8%33.7%28.6636.7%15.1%
30Δ37.8933.4%21.5%30.1130.7%10.8%
35Δ35.7826.7%15.0%31.1426.7%7.9%
40Δ34.5622.6%11.3%31.9424.2%5.9%
45Δ33.7419.9%9.0%32.5423.3%4.8%
50Δ33.1118.2%7.4%33.1222.6%3.9%
55Δ32.6217.1%6.3%33.7021.8%3.0%
60Δ32.1616.2%5.3%34.2821.0%2.0%
65Δ31.7815.1%4.6%34.8620.3%1.1%
70Δ31.4514.0%4.0%35.6720.9%0.5%
75Δ31.1113.0%3.3%37.7227.2%0.4%
80Δ

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
26.54
IV
46.3%
B/E move
21.6%

25Δ

Calls
Pseudo strike
41.80
IV
43.8%
B/E move
33.7%
Puts
Pseudo strike
28.66
IV
36.7%
B/E move
15.1%

30Δ

Calls
Pseudo strike
37.89
IV
33.4%
B/E move
21.5%
Puts
Pseudo strike
30.11
IV
30.7%
B/E move
10.8%

35Δ

Calls
Pseudo strike
35.78
IV
26.7%
B/E move
15.0%
Puts
Pseudo strike
31.14
IV
26.7%
B/E move
7.9%

40Δ

Calls
Pseudo strike
34.56
IV
22.6%
B/E move
11.3%
Puts
Pseudo strike
31.94
IV
24.2%
B/E move
5.9%

45Δ

Calls
Pseudo strike
33.74
IV
19.9%
B/E move
9.0%
Puts
Pseudo strike
32.54
IV
23.3%
B/E move
4.8%

50Δ

Calls
Pseudo strike
33.11
IV
18.2%
B/E move
7.4%
Puts
Pseudo strike
33.12
IV
22.6%
B/E move
3.9%

55Δ

Calls
Pseudo strike
32.62
IV
17.1%
B/E move
6.3%
Puts
Pseudo strike
33.70
IV
21.8%
B/E move
3.0%

60Δ

Calls
Pseudo strike
32.16
IV
16.2%
B/E move
5.3%
Puts
Pseudo strike
34.28
IV
21.0%
B/E move
2.0%

65Δ

Calls
Pseudo strike
31.78
IV
15.1%
B/E move
4.6%
Puts
Pseudo strike
34.86
IV
20.3%
B/E move
1.1%

70Δ

Calls
Pseudo strike
31.45
IV
14.0%
B/E move
4.0%
Puts
Pseudo strike
35.67
IV
20.9%
B/E move
0.5%

75Δ

Calls
Pseudo strike
31.11
IV
13.0%
B/E move
3.3%
Puts
Pseudo strike
37.72
IV
27.2%
B/E move
0.4%

80Δ

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

Options history

IV · four-Friday blend16.77%
Daily EOD
SWAN13.8%15.4%17.0%2026-10-19: 14.06%2026-10-20: 14.45%2026-10-21: 14.37%2026-10-22: 14.32%2026-10-23: 15.11%2026-10-26: 14.12%2026-10-28: 16.73%2026-10-29: 16.13%2026-10-30: 16.77%Oct 19Oct 23Oct 30
9 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
14.06%
14.45%
14.37%
14.32%
15.11%
14.12%
16.73%
16.13%
16.77%