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The RBB Fund, Inc. US Treasury 2 Year Note ETF UTWO

i

Market dataready · fetched 2026-11-05T15:12:39.427Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-12-18

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 · 2026-11-05T15:12:30.654821917Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-05T15:12:38.237652+00:00

Share price$47.64
1D+0.1%
$47.57$47.59$47.61$47.64$47.665:30 AM6:30 AM9:00 AM1:00 PMUTWO
Sold putSold call

The RBB Fund, Inc. US Treasury 2 Year Note ETF options

Live interpolated UTWO call and put midpoint premiums by absolute delta.The RBB Fund, Inc. US Treasury 2 Year Note ETF$0.91$1.49$2.07$2.65$3.22$41.63$44.87$48.12$51.37$54.6120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive UTWO spot · $47.63UTWO PRICE$0.97$1.03$1.17$1.30$1.43$1.57$1.70$1.83$1.97$2.10$2.23$2.37$2.50$1.01$1.04$1.08$1.12$1.15$1.19$1.22$1.40$1.59$1.79$2.10$2.40$3.06
PutsExpensive3.24×
CallsExpensive4.04×
SkewBullish-5.93 pp
Implied moveBullish±$2.92
TiltBullish4.8% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ57.8858.4%23.6%40.1759.9%17.8%
25Δ54.6847.5%16.9%41.4652.9%15.1%
30Δ53.9244.8%15.7%42.7646.0%12.5%
35Δ53.1742.2%14.4%44.0539.0%9.9%
40Δ52.4239.5%13.1%45.3432.1%7.2%
45Δ51.6736.9%11.8%46.6425.2%4.6%
50Δ50.9234.3%10.5%47.9318.2%1.9%
55Δ50.1731.6%9.2%48.3417.5%1.5%
60Δ49.4229.0%7.9%48.6917.1%1.1%
65Δ48.6626.4%6.6%49.0516.8%0.8%
70Δ47.9123.7%5.3%49.4616.8%0.6%
75Δ47.1621.1%4.0%49.8716.9%0.4%
80Δ46.4118.5%2.7%50.6018.4%0.2%

20Δ

Calls
Pseudo strike
57.88
IV
58.4%
B/E move
23.6%
Puts
Pseudo strike
40.17
IV
59.9%
B/E move
17.8%

25Δ

Calls
Pseudo strike
54.68
IV
47.5%
B/E move
16.9%
Puts
Pseudo strike
41.46
IV
52.9%
B/E move
15.1%

30Δ

Calls
Pseudo strike
53.92
IV
44.8%
B/E move
15.7%
Puts
Pseudo strike
42.76
IV
46.0%
B/E move
12.5%

35Δ

Calls
Pseudo strike
53.17
IV
42.2%
B/E move
14.4%
Puts
Pseudo strike
44.05
IV
39.0%
B/E move
9.9%

40Δ

Calls
Pseudo strike
52.42
IV
39.5%
B/E move
13.1%
Puts
Pseudo strike
45.34
IV
32.1%
B/E move
7.2%

45Δ

Calls
Pseudo strike
51.67
IV
36.9%
B/E move
11.8%
Puts
Pseudo strike
46.64
IV
25.2%
B/E move
4.6%

50Δ

Calls
Pseudo strike
50.92
IV
34.3%
B/E move
10.5%
Puts
Pseudo strike
47.93
IV
18.2%
B/E move
1.9%

55Δ

Calls
Pseudo strike
50.17
IV
31.6%
B/E move
9.2%
Puts
Pseudo strike
48.34
IV
17.5%
B/E move
1.5%

60Δ

Calls
Pseudo strike
49.42
IV
29.0%
B/E move
7.9%
Puts
Pseudo strike
48.69
IV
17.1%
B/E move
1.1%

65Δ

Calls
Pseudo strike
48.66
IV
26.4%
B/E move
6.6%
Puts
Pseudo strike
49.05
IV
16.8%
B/E move
0.8%

70Δ

Calls
Pseudo strike
47.91
IV
23.7%
B/E move
5.3%
Puts
Pseudo strike
49.46
IV
16.8%
B/E move
0.6%

75Δ

Calls
Pseudo strike
47.16
IV
21.1%
B/E move
4.0%
Puts
Pseudo strike
49.87
IV
16.9%
B/E move
0.4%

80Δ

Calls
Pseudo strike
46.41
IV
18.5%
B/E move
2.7%
Puts
Pseudo strike
50.60
IV
18.4%
B/E move
0.2%

Options history

IV · four-Friday blend17.89%
Daily EOD
UTWO17.1%17.5%18.0%2026-10-19: 17.18%2026-10-20: 17.19%2026-10-21: 17.27%2026-10-22: 17.36%2026-10-23: 17.13%2026-10-26: 17.48%2026-10-27: 17.61%2026-10-28: 17.92%2026-10-29: 17.90%2026-10-30: 17.89%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
17.18%
17.19%
17.27%
17.36%
17.13%
17.48%
17.61%
17.92%
17.90%
17.89%