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Vanguard Scottsdale Funds Vanguard Russell 1000 Value ETF VONV

i

Market dataready · fetched 2026-11-07T21:44:55.823Z

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 · 2026-11-06T21:00:00.421180363Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-07T21:44:55.368291+00:00

Share price$112.89
1D-0.4%
AH$111.84$112.30$112.77$113.23$113.695:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVONV
Sold putSold callAH

Vanguard Scottsdale Funds Vanguard Russell 1000 Value ETF options

Live interpolated VONV call and put midpoint premiums by absolute delta.Vanguard Scottsdale Funds Vanguard Russell 1000 Value ETF$0.81$2.54$4.26$5.98$7.71$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —55Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICEVONV PRICE$1.10$1.00$1.05$1.37$2.58$2.79$3.01$3.22$3.44$1.02$1.10$1.14$1.52$1.60$1.97$2.26$2.39$6.00$7.21
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ106.2041.4%6.8%
25Δ118.6435.9%6.1%108.5433.7%4.8%
30Δ116.0825.3%3.7%110.2427.1%3.4%
35Δ114.9221.3%2.7%110.8729.3%3.1%
40Δ114.3922.7%2.5%111.8025.8%2.4%
45Δ112.5226.1%2.1%
50Δ
55Δ
60Δ111.9123.2%1.4%114.1619.3%0.9%
65Δ111.3921.8%1.1%114.5317.7%0.7%
70Δ110.8920.3%0.9%
75Δ110.4618.8%0.7%118.0532.5%0.7%
80Δ110.0317.4%0.5%119.4733.6%0.6%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
106.20
IV
41.4%
B/E move
6.8%

25Δ

Calls
Pseudo strike
118.64
IV
35.9%
B/E move
6.1%
Puts
Pseudo strike
108.54
IV
33.7%
B/E move
4.8%

30Δ

Calls
Pseudo strike
116.08
IV
25.3%
B/E move
3.7%
Puts
Pseudo strike
110.24
IV
27.1%
B/E move
3.4%

35Δ

Calls
Pseudo strike
114.92
IV
21.3%
B/E move
2.7%
Puts
Pseudo strike
110.87
IV
29.3%
B/E move
3.1%

40Δ

Calls
Pseudo strike
114.39
IV
22.7%
B/E move
2.5%
Puts
Pseudo strike
111.80
IV
25.8%
B/E move
2.4%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
112.52
IV
26.1%
B/E move
2.1%

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
111.91
IV
23.2%
B/E move
1.4%
Puts
Pseudo strike
114.16
IV
19.3%
B/E move
0.9%

65Δ

Calls
Pseudo strike
111.39
IV
21.8%
B/E move
1.1%
Puts
Pseudo strike
114.53
IV
17.7%
B/E move
0.7%

70Δ

Calls
Pseudo strike
110.89
IV
20.3%
B/E move
0.9%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
110.46
IV
18.8%
B/E move
0.7%
Puts
Pseudo strike
118.05
IV
32.5%
B/E move
0.7%

80Δ

Calls
Pseudo strike
110.03
IV
17.4%
B/E move
0.5%
Puts
Pseudo strike
119.47
IV
33.6%
B/E move
0.6%

Options history

IV · four-Friday blend14.66%
Daily EOD
VONV12.1%14.8%17.6%2026-10-19: 13.37%2026-10-20: 14.68%2026-10-21: 13.93%2026-10-22: 13.04%2026-10-23: 15.08%2026-10-26: 16.21%2026-10-27: 17.23%2026-10-28: 14.62%2026-10-29: 12.47%2026-10-30: 14.66%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
13.37%
14.68%
13.93%
13.04%
15.08%
16.21%
17.23%
14.62%
12.47%
14.66%