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Market datapartial · fetched 2026-11-04T07:35:59.340Z
Delta surfaceAlpaca · derived absolute-delta buckets ·
Calculation methodologyOptions 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 dataPriceAlpaca · sip · 2026-11-04T01:00:00.128554831Z
FundamentalsAlpha Vantage · unavailable
| Delta | Calls | Puts | ||||
|---|---|---|---|---|---|---|
| Pseudo strike | IV | B/E move | Pseudo strike | IV | B/E move | |
| 20Δ | ||||||
| 25Δ | ||||||
| 30Δ | ||||||
| 35Δ | ||||||
| 40Δ | ||||||
| 45Δ | ||||||
| 50Δ | ||||||
| 55Δ | ||||||
| 60Δ | ||||||
| 65Δ | ||||||
| 70Δ | ||||||
| 75Δ | ||||||
| 80Δ | ||||||
| Date | IV (%) |
|---|---|
| 36.26% | |
| 36.67% | |
| 41.64% | |
| 31.09% | |
| 37.50% | |
| 37.28% | |
| 40.55% | |
| 33.71% | |
| 35.87% | |
| 42.12% | |
| 39.42% | |
| 39.79% | |
| 40.94% | |
| 38.25% | |
| 40.59% | |
| 38.78% | |
| 38.68% | |
| 36.95% | |
| 35.78% | |
| 39.37% | |
| 40.66% | |
| 62.00% | |
| 49.62% | |
| 45.00% | |
| 46.71% | |
| 48.11% | |
| 49.45% | |
| 49.53% | |
| 48.05% | |
| 51.04% | |
| 54.27% | |
| 59.94% | |
| 52.87% | |
| 49.73% | |
| 49.37% | |
| 51.45% | |
| 56.07% | |
| 58.33% | |
| 62.99% | |
| 65.78% | |
| 64.56% | |
| 63.15% |