IntraAlpha
Create free account Start free

Vanguard Scottsdale Funds Vanguard Russell 1000 Growth ETF VONG

i

Market dataready · fetched 2026-11-07T06:52:43.027Z

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 · 2026-11-06T21:00:00.063209903Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-07T06:52:42.209794+00:00

Share price$115.03
1D-0.2%
AH$114.59$115.12$115.66$116.19$116.725:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVONG
Sold putSold callAH

Vanguard Scottsdale Funds Vanguard Russell 1000 Growth ETF options

Live interpolated VONG call and put midpoint premiums by absolute delta.Vanguard Scottsdale Funds Vanguard Russell 1000 Growth ETF$0.48$2.93$5.37$7.81$10.26$104.40$110.78$117.16$123.54$129.9220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VONG spot · $115.03VONG PRICE$0.75$0.96$1.33$1.70$2.07$2.44$2.81$3.62$4.80$5.99$7.18$8.37$9.55$1.01$1.23$1.53$1.84$2.15$2.46$2.82$3.25$3.68$4.11$4.54$4.97$5.40
PutsCheap0.85×
CallsCheap0.85×
SkewBullish-3.95 pp
Implied moveBalanced±$5.63
TiltBullish13.9% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ121.4331.2%6.2%107.9440.8%7.0%
25Δ119.9130.2%5.1%110.1836.5%5.3%
30Δ119.0130.8%4.6%111.2435.4%4.6%
35Δ118.1131.3%4.2%112.3034.2%4.0%
40Δ117.2131.9%3.7%113.3633.1%3.3%
45Δ116.3132.5%3.2%114.4232.0%2.7%
50Δ115.4133.0%2.8%115.3531.0%2.2%
55Δ114.1934.4%2.4%116.1330.0%1.9%
60Δ112.7136.6%2.2%116.9029.0%1.6%
65Δ111.2238.7%1.9%117.6828.0%1.3%
70Δ109.7340.8%1.6%118.4527.0%1.0%
75Δ108.2443.0%1.4%119.2326.1%0.7%
80Δ106.7545.1%1.1%120.0025.1%0.4%

20Δ

Calls
Pseudo strike
121.43
IV
31.2%
B/E move
6.2%
Puts
Pseudo strike
107.94
IV
40.8%
B/E move
7.0%

25Δ

Calls
Pseudo strike
119.91
IV
30.2%
B/E move
5.1%
Puts
Pseudo strike
110.18
IV
36.5%
B/E move
5.3%

30Δ

Calls
Pseudo strike
119.01
IV
30.8%
B/E move
4.6%
Puts
Pseudo strike
111.24
IV
35.4%
B/E move
4.6%

35Δ

Calls
Pseudo strike
118.11
IV
31.3%
B/E move
4.2%
Puts
Pseudo strike
112.30
IV
34.2%
B/E move
4.0%

40Δ

Calls
Pseudo strike
117.21
IV
31.9%
B/E move
3.7%
Puts
Pseudo strike
113.36
IV
33.1%
B/E move
3.3%

45Δ

Calls
Pseudo strike
116.31
IV
32.5%
B/E move
3.2%
Puts
Pseudo strike
114.42
IV
32.0%
B/E move
2.7%

50Δ

Calls
Pseudo strike
115.41
IV
33.0%
B/E move
2.8%
Puts
Pseudo strike
115.35
IV
31.0%
B/E move
2.2%

55Δ

Calls
Pseudo strike
114.19
IV
34.4%
B/E move
2.4%
Puts
Pseudo strike
116.13
IV
30.0%
B/E move
1.9%

60Δ

Calls
Pseudo strike
112.71
IV
36.6%
B/E move
2.2%
Puts
Pseudo strike
116.90
IV
29.0%
B/E move
1.6%

65Δ

Calls
Pseudo strike
111.22
IV
38.7%
B/E move
1.9%
Puts
Pseudo strike
117.68
IV
28.0%
B/E move
1.3%

70Δ

Calls
Pseudo strike
109.73
IV
40.8%
B/E move
1.6%
Puts
Pseudo strike
118.45
IV
27.0%
B/E move
1.0%

75Δ

Calls
Pseudo strike
108.24
IV
43.0%
B/E move
1.4%
Puts
Pseudo strike
119.23
IV
26.1%
B/E move
0.7%

80Δ

Calls
Pseudo strike
106.75
IV
45.1%
B/E move
1.1%
Puts
Pseudo strike
120.00
IV
25.1%
B/E move
0.4%

Options history

IV · four-Friday blend24.49%
Daily EOD
VONG20.4%22.6%24.8%2026-10-19: 20.71%2026-10-20: 20.81%2026-10-21: 21.19%2026-10-22: 22.51%2026-10-23: 22.91%2026-10-26: 21.84%2026-10-27: 21.59%2026-10-28: 21.09%2026-10-29: 21.06%2026-10-30: 24.49%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
20.71%
20.81%
21.19%
22.51%
22.91%
21.84%
21.59%
21.09%
21.06%
24.49%