IntraAlpha
Create free account Start free

Vanguard ESG U.S. Corporate Bond ETF VCEB

i

Market dataready · fetched 2026-11-04T09:29:52.561Z

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 · 2026-11-04T01:00:07.787791813Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-04T09:29:52.091280+00:00

Share price$60.11
1D+0.1%
AH$59.95$60.01$60.07$60.13$60.195:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVCEB
Sold putSold callAH

Vanguard ESG U.S. Corporate Bond ETF options

Live interpolated VCEB call and put midpoint premiums by absolute delta.Vanguard ESG U.S. Corporate Bond ETF$0.51$0.87$1.24$1.60$1.96$57.24$58.65$60.06$61.47$62.8820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VCEB spot · $60.11VCEB PRICE$0.55$0.55$0.55$0.57$0.60$0.66$0.71$0.76$0.83$0.90$0.96$1.03$1.10$0.55$0.55$0.57$0.61$0.65$0.70$0.77$0.85$0.92$0.99$1.10$1.48$1.86
PutsExpensive3.73×
CallsExpensive3.01×
SkewBearish+0.77 pp
Implied moveBearish±$1.48
TiltBearish8.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ64.9640.2%9.0%56.5037.4%6.9%
25Δ62.9929.8%5.7%57.9628.1%4.5%
30Δ61.9223.4%3.9%58.7423.1%3.2%
35Δ61.3119.6%2.9%59.2520.0%2.4%
40Δ60.8717.0%2.3%59.6317.9%1.9%
45Δ60.6015.7%1.9%60.0115.9%1.3%
50Δ60.3314.4%1.5%60.2115.0%1.1%
55Δ60.0613.1%1.2%60.4214.1%0.9%
60Δ59.8912.2%1.0%60.6213.2%0.7%
65Δ59.7511.4%0.9%60.8212.3%0.5%
70Δ59.6010.6%0.8%61.0511.7%0.3%
75Δ59.469.9%0.6%61.4613.2%0.2%
80Δ59.319.1%0.5%61.8714.8%0.2%

20Δ

Calls
Pseudo strike
64.96
IV
40.2%
B/E move
9.0%
Puts
Pseudo strike
56.50
IV
37.4%
B/E move
6.9%

25Δ

Calls
Pseudo strike
62.99
IV
29.8%
B/E move
5.7%
Puts
Pseudo strike
57.96
IV
28.1%
B/E move
4.5%

30Δ

Calls
Pseudo strike
61.92
IV
23.4%
B/E move
3.9%
Puts
Pseudo strike
58.74
IV
23.1%
B/E move
3.2%

35Δ

Calls
Pseudo strike
61.31
IV
19.6%
B/E move
2.9%
Puts
Pseudo strike
59.25
IV
20.0%
B/E move
2.4%

40Δ

Calls
Pseudo strike
60.87
IV
17.0%
B/E move
2.3%
Puts
Pseudo strike
59.63
IV
17.9%
B/E move
1.9%

45Δ

Calls
Pseudo strike
60.60
IV
15.7%
B/E move
1.9%
Puts
Pseudo strike
60.01
IV
15.9%
B/E move
1.3%

50Δ

Calls
Pseudo strike
60.33
IV
14.4%
B/E move
1.5%
Puts
Pseudo strike
60.21
IV
15.0%
B/E move
1.1%

55Δ

Calls
Pseudo strike
60.06
IV
13.1%
B/E move
1.2%
Puts
Pseudo strike
60.42
IV
14.1%
B/E move
0.9%

60Δ

Calls
Pseudo strike
59.89
IV
12.2%
B/E move
1.0%
Puts
Pseudo strike
60.62
IV
13.2%
B/E move
0.7%

65Δ

Calls
Pseudo strike
59.75
IV
11.4%
B/E move
0.9%
Puts
Pseudo strike
60.82
IV
12.3%
B/E move
0.5%

70Δ

Calls
Pseudo strike
59.60
IV
10.6%
B/E move
0.8%
Puts
Pseudo strike
61.05
IV
11.7%
B/E move
0.3%

75Δ

Calls
Pseudo strike
59.46
IV
9.9%
B/E move
0.6%
Puts
Pseudo strike
61.46
IV
13.2%
B/E move
0.2%

80Δ

Calls
Pseudo strike
59.31
IV
9.1%
B/E move
0.5%
Puts
Pseudo strike
61.87
IV
14.8%
B/E move
0.2%

Options history

IV · four-Friday blend12.69%
Daily EOD
VCEB9.6%32.0%54.3%2026-10-19: 39.96%2026-10-20: 46.45%2026-10-21: 46.92%2026-10-22: 46.84%2026-10-23: 47.61%2026-10-26: 49.18%2026-10-27: 49.59%2026-10-28: 50.35%2026-10-29: 51.26%2026-10-30: 12.69%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
39.96%
46.45%
46.92%
46.84%
47.61%
49.18%
49.59%
50.35%
51.26%
12.69%