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Vanguard Consumer Staples ETF VDC

i

Market dataready · fetched 2026-11-07T14:32:09.340Z

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 · 2026-11-07T01:00:00.000909455Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-07T14:32:09.105476+00:00

Share price$245.47
1D+1.7%
AH$241$242$244$246$2485:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVDC
Sold putSold callAH

Vanguard Consumer Staples ETF options

Live interpolated VDC call and put midpoint premiums by absolute delta.Vanguard Consumer Staples ETF$1.00$4.13$7.25$10.37$13.49$224.74$235.27$245.81$256.34$266.8720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VDC spot · $245.47VDC PRICE$1.34$1.71$2.18$2.64$3.23$3.87$4.52$5.24$6.20$7.15$8.11$10.32$12.59$1.52$1.80$2.14$2.66$3.17$3.69$4.27$4.88$5.49$6.09$6.94$7.87$8.80
PutsCheap0.63×
CallsCheap0.69×
SkewBullish-3.23 pp
Implied moveBullish±$8.79
TiltBullish7.6% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ257.1026.5%5.3%235.1728.7%4.8%
25Δ254.2024.8%4.3%237.9025.8%3.8%
30Δ252.4024.7%3.7%240.3423.6%3.0%
35Δ250.6024.7%3.2%241.7923.3%2.6%
40Δ249.0324.7%2.8%243.2423.1%2.2%
45Δ247.5624.7%2.4%244.6922.8%1.8%
50Δ246.0924.8%2.1%245.9722.3%1.5%
55Δ244.6124.9%1.8%247.2121.7%1.3%
60Δ243.0725.1%1.5%248.4421.1%1.0%
65Δ241.5325.2%1.3%249.6820.5%0.8%
70Δ239.9825.4%1.1%250.9719.9%0.6%
75Δ237.4227.6%0.9%252.2819.4%0.4%
80Δ234.7929.8%0.8%253.5818.8%0.3%

20Δ

Calls
Pseudo strike
257.10
IV
26.5%
B/E move
5.3%
Puts
Pseudo strike
235.17
IV
28.7%
B/E move
4.8%

25Δ

Calls
Pseudo strike
254.20
IV
24.8%
B/E move
4.3%
Puts
Pseudo strike
237.90
IV
25.8%
B/E move
3.8%

30Δ

Calls
Pseudo strike
252.40
IV
24.7%
B/E move
3.7%
Puts
Pseudo strike
240.34
IV
23.6%
B/E move
3.0%

35Δ

Calls
Pseudo strike
250.60
IV
24.7%
B/E move
3.2%
Puts
Pseudo strike
241.79
IV
23.3%
B/E move
2.6%

40Δ

Calls
Pseudo strike
249.03
IV
24.7%
B/E move
2.8%
Puts
Pseudo strike
243.24
IV
23.1%
B/E move
2.2%

45Δ

Calls
Pseudo strike
247.56
IV
24.7%
B/E move
2.4%
Puts
Pseudo strike
244.69
IV
22.8%
B/E move
1.8%

50Δ

Calls
Pseudo strike
246.09
IV
24.8%
B/E move
2.1%
Puts
Pseudo strike
245.97
IV
22.3%
B/E move
1.5%

55Δ

Calls
Pseudo strike
244.61
IV
24.9%
B/E move
1.8%
Puts
Pseudo strike
247.21
IV
21.7%
B/E move
1.3%

60Δ

Calls
Pseudo strike
243.07
IV
25.1%
B/E move
1.5%
Puts
Pseudo strike
248.44
IV
21.1%
B/E move
1.0%

65Δ

Calls
Pseudo strike
241.53
IV
25.2%
B/E move
1.3%
Puts
Pseudo strike
249.68
IV
20.5%
B/E move
0.8%

70Δ

Calls
Pseudo strike
239.98
IV
25.4%
B/E move
1.1%
Puts
Pseudo strike
250.97
IV
19.9%
B/E move
0.6%

75Δ

Calls
Pseudo strike
237.42
IV
27.6%
B/E move
0.9%
Puts
Pseudo strike
252.28
IV
19.4%
B/E move
0.4%

80Δ

Calls
Pseudo strike
234.79
IV
29.8%
B/E move
0.8%
Puts
Pseudo strike
253.58
IV
18.8%
B/E move
0.3%

Options history

IV · four-Friday blend17.61%
Daily EOD
VDC16.1%16.9%17.8%2026-10-19: 16.37%2026-10-20: 16.25%2026-10-21: 16.20%2026-10-22: 17.29%2026-10-23: 17.66%2026-10-26: 17.14%2026-10-27: 17.16%2026-10-28: 16.94%2026-10-29: 16.62%2026-10-30: 17.61%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
16.37%
16.25%
16.20%
17.29%
17.66%
17.14%
17.16%
16.94%
16.62%
17.61%