IntraAlpha
Create free account Start free

Vanguard U.S. Momentum Factor ETF VFMO

i

Market dataready · fetched 2026-11-04T09:04:57.104Z

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 · 2026-11-04T01:00:07.988294652Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-04T09:04:56.702645+00:00

Share price$215.00
1D+0.0%
AH$214.59$215.13$215.67$216.21$216.745:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVFMO
Sold putSold callAH

Vanguard U.S. Momentum Factor ETF options

Live interpolated VFMO call and put midpoint premiums by absolute delta.Vanguard U.S. Momentum Factor ETF$9.37$11.19$13.00$14.82$16.63$-0.21$0.14$0.50$0.86$1.2120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —35Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —40Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —45Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —50Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —55Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —60Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICEVFMO PRICE$9.57$11.44$13.40$16.11$9.95$11.53$13.11$14.69
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ
40Δ
45Δ
50Δ
55Δ
60Δ
65Δ209.7736.0%2.0%221.8732.7%1.4%
70Δ207.2437.2%1.7%224.0732.3%1.1%
75Δ204.6338.3%1.4%226.2631.9%0.9%
80Δ201.3139.6%1.1%228.4631.5%0.6%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
209.77
IV
36.0%
B/E move
2.0%
Puts
Pseudo strike
221.87
IV
32.7%
B/E move
1.4%

70Δ

Calls
Pseudo strike
207.24
IV
37.2%
B/E move
1.7%
Puts
Pseudo strike
224.07
IV
32.3%
B/E move
1.1%

75Δ

Calls
Pseudo strike
204.63
IV
38.3%
B/E move
1.4%
Puts
Pseudo strike
226.26
IV
31.9%
B/E move
0.9%

80Δ

Calls
Pseudo strike
201.31
IV
39.6%
B/E move
1.1%
Puts
Pseudo strike
228.46
IV
31.5%
B/E move
0.6%

Options history

IV · four-Friday blend21.64%
Daily EOD
VFMO20.5%23.4%26.4%2026-10-19: 21.48%2026-10-20: 23.15%2026-10-21: 20.87%2026-10-22: 25.80%2026-10-23: 26.00%2026-10-26: 23.67%2026-10-27: 24.49%2026-10-28: 21.98%2026-10-29: 23.48%2026-10-30: 21.64%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
21.48%
23.15%
20.87%
25.80%
26.00%
23.67%
24.49%
21.98%
23.48%
21.64%