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WisdomTree Floating Rate Treasury Fund USFR

i

Market dataready · fetched 2026-11-06T22:14:29.763Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-20

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 · 2026-11-06T22:05:55.299334339Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-06T22:14:29.335575+00:00

Share price$50.45
1D+0.0%
AH$50.41$50.43$50.45$50.46$50.485:30 AM6:30 AM9:00 AM1:00 PM2:00 PMUSFR
Sold putSold callAH

WisdomTree Floating Rate Treasury Fund options

Live interpolated USFR call and put midpoint premiums by absolute delta.WisdomTree Floating Rate Treasury Fund$0.04$0.31$0.59$0.86$1.13$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —25Δ P unavailable: no unambiguous, price-consistent delta bracketP —30Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICEUSFR PRICE$0.07$0.10$0.13$0.16$0.19$0.22$0.25$0.28$0.31$0.34$0.37$0.40$0.43$1.05
Puts——
CallsExpensive3.26×
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ50.904.1%1.0%
25Δ50.834.1%1.0%
30Δ50.774.1%0.9%
35Δ50.704.0%0.8%
40Δ50.634.0%0.7%
45Δ50.574.0%0.7%
50Δ50.504.0%0.6%
55Δ50.434.0%0.5%
60Δ50.374.0%0.4%
65Δ50.304.0%0.4%
70Δ50.234.0%0.3%
75Δ50.174.0%0.2%
80Δ50.104.0%0.2%51.4810.2%0.0%

20Δ

Calls
Pseudo strike
50.90
IV
4.1%
B/E move
1.0%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
50.83
IV
4.1%
B/E move
1.0%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
50.77
IV
4.1%
B/E move
0.9%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
50.70
IV
4.0%
B/E move
0.8%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
50.63
IV
4.0%
B/E move
0.7%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
50.57
IV
4.0%
B/E move
0.7%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
50.50
IV
4.0%
B/E move
0.6%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
50.43
IV
4.0%
B/E move
0.5%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
50.37
IV
4.0%
B/E move
0.4%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
50.30
IV
4.0%
B/E move
0.4%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
50.23
IV
4.0%
B/E move
0.3%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
50.17
IV
4.0%
B/E move
0.2%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
50.10
IV
4.0%
B/E move
0.2%
Puts
Pseudo strike
51.48
IV
10.2%
B/E move
0.0%

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations