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Vanguard U.S. Value Factor ETF VFVA

i

Market dataready · fetched 2026-11-04T09:54:22.593Z

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 · 2026-11-04T01:00:07.942543282Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-04T09:54:22.196411+00:00

Share price$161.23
1D-0.9%
AH$161.12$161.52$161.93$162.34$162.745:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVFVA
Sold putSold callAH

Vanguard U.S. Value Factor ETF options

Live interpolated VFVA call and put midpoint premiums by absolute delta.Vanguard U.S. Value Factor ETF$1.51$3.03$4.55$6.07$7.59$154.82$158.26$161.69$165.13$168.5720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —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 C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive VFVA spot · $161.23VFVA PRICE$1.86$2.09$2.34$2.96$3.59$4.05$4.66$6.06$7.15$1.67$1.85$2.05$2.23$2.40$2.70$2.93$3.08$3.31$4.03
Puts——
Calls——
Skew——
Implied moveBullish±$6.52
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ150.4742.0%7.7%
25Δ154.0835.0%5.6%
30Δ167.2829.5%4.9%156.4930.4%4.2%
35Δ165.4126.7%3.9%158.2926.8%3.2%
40Δ163.9324.7%3.1%159.6823.9%2.5%
45Δ162.9026.7%2.9%160.7222.8%2.0%
50Δ161.7827.6%2.6%161.6421.2%1.6%
55Δ160.6326.7%2.1%162.4219.2%1.2%
60Δ159.4826.6%1.8%
65Δ157.9330.2%1.7%
70Δ156.4231.1%1.5%
75Δ164.2411.5%0.2%
80Δ165.1011.9%0.1%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
150.47
IV
42.0%
B/E move
7.7%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
154.08
IV
35.0%
B/E move
5.6%

30Δ

Calls
Pseudo strike
167.28
IV
29.5%
B/E move
4.9%
Puts
Pseudo strike
156.49
IV
30.4%
B/E move
4.2%

35Δ

Calls
Pseudo strike
165.41
IV
26.7%
B/E move
3.9%
Puts
Pseudo strike
158.29
IV
26.8%
B/E move
3.2%

40Δ

Calls
Pseudo strike
163.93
IV
24.7%
B/E move
3.1%
Puts
Pseudo strike
159.68
IV
23.9%
B/E move
2.5%

45Δ

Calls
Pseudo strike
162.90
IV
26.7%
B/E move
2.9%
Puts
Pseudo strike
160.72
IV
22.8%
B/E move
2.0%

50Δ

Calls
Pseudo strike
161.78
IV
27.6%
B/E move
2.6%
Puts
Pseudo strike
161.64
IV
21.2%
B/E move
1.6%

55Δ

Calls
Pseudo strike
160.63
IV
26.7%
B/E move
2.1%
Puts
Pseudo strike
162.42
IV
19.2%
B/E move
1.2%

60Δ

Calls
Pseudo strike
159.48
IV
26.6%
B/E move
1.8%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
157.93
IV
30.2%
B/E move
1.7%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
156.42
IV
31.1%
B/E move
1.5%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
164.24
IV
11.5%
B/E move
0.2%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
165.10
IV
11.9%
B/E move
0.1%

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations