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Vanguard S&P 500 ETF VOO

i

Market dataready · fetched 2026-11-08T09:15:06.731Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-07T01:00:00.121563965Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-08T09:15:05.256345+00:00

NewsAlpha Vantage · collected 2026-11-07T23:31:48.576580+00:00

Share price$675.99
1D+0.1%
AH$674$676$678$680$6825:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVOO
Sold putSold callAH

Vanguard S&P 500 ETF options

Live interpolated VOO call and put midpoint premiums by absolute delta.Vanguard S&P 500 ETF$1.27$7.91$14.54$21.18$27.82$647.01$663.55$680.10$696.64$713.1820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VOO spot · $675.99VOO PRICE$1.99$2.79$3.66$4.61$5.98$7.38$9.12$10.56$12.54$14.73$18.13$20.13$25.90$3.12$3.72$4.71$5.47$6.58$7.65$8.89$9.94$11.35$12.57$13.78$15.00$16.32
PutsExpensive1.15×
CallsExpensive1.47×
SkewBullish-1.29 pp
Implied moveBalanced±$18.01
TiltBullish7.2% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ691.8922.7%2.6%654.1934.6%3.7%
25Δ689.4623.8%2.4%660.4730.9%2.8%
30Δ686.9624.6%2.2%664.1330.7%2.5%
35Δ684.2124.9%1.9%667.9928.8%2.0%
40Δ682.1227.0%1.8%671.0128.6%1.7%
45Δ679.4728.0%1.6%673.9127.9%1.4%
50Δ676.7629.5%1.5%676.7027.5%1.2%
55Δ673.8329.3%1.2%679.2926.5%1.0%
60Δ670.7330.1%1.1%681.9226.1%0.8%
65Δ667.4630.8%0.9%684.3125.0%0.6%
70Δ663.2832.9%0.8%686.5823.8%0.5%
75Δ660.0431.8%0.6%688.7022.5%0.3%
80Δ653.6335.5%0.5%690.8121.1%0.2%

20Δ

Calls
Pseudo strike
691.89
IV
22.7%
B/E move
2.6%
Puts
Pseudo strike
654.19
IV
34.6%
B/E move
3.7%

25Δ

Calls
Pseudo strike
689.46
IV
23.8%
B/E move
2.4%
Puts
Pseudo strike
660.47
IV
30.9%
B/E move
2.8%

30Δ

Calls
Pseudo strike
686.96
IV
24.6%
B/E move
2.2%
Puts
Pseudo strike
664.13
IV
30.7%
B/E move
2.5%

35Δ

Calls
Pseudo strike
684.21
IV
24.9%
B/E move
1.9%
Puts
Pseudo strike
667.99
IV
28.8%
B/E move
2.0%

40Δ

Calls
Pseudo strike
682.12
IV
27.0%
B/E move
1.8%
Puts
Pseudo strike
671.01
IV
28.6%
B/E move
1.7%

45Δ

Calls
Pseudo strike
679.47
IV
28.0%
B/E move
1.6%
Puts
Pseudo strike
673.91
IV
27.9%
B/E move
1.4%

50Δ

Calls
Pseudo strike
676.76
IV
29.5%
B/E move
1.5%
Puts
Pseudo strike
676.70
IV
27.5%
B/E move
1.2%

55Δ

Calls
Pseudo strike
673.83
IV
29.3%
B/E move
1.2%
Puts
Pseudo strike
679.29
IV
26.5%
B/E move
1.0%

60Δ

Calls
Pseudo strike
670.73
IV
30.1%
B/E move
1.1%
Puts
Pseudo strike
681.92
IV
26.1%
B/E move
0.8%

65Δ

Calls
Pseudo strike
667.46
IV
30.8%
B/E move
0.9%
Puts
Pseudo strike
684.31
IV
25.0%
B/E move
0.6%

70Δ

Calls
Pseudo strike
663.28
IV
32.9%
B/E move
0.8%
Puts
Pseudo strike
686.58
IV
23.8%
B/E move
0.5%

75Δ

Calls
Pseudo strike
660.04
IV
31.8%
B/E move
0.6%
Puts
Pseudo strike
688.70
IV
22.5%
B/E move
0.3%

80Δ

Calls
Pseudo strike
653.63
IV
35.5%
B/E move
0.5%
Puts
Pseudo strike
690.81
IV
21.1%
B/E move
0.2%

Options history

IV · four-Friday blend21.37%
Daily close
VOO9.7%16.0%22.2%2026-08-10: 12.16%2026-08-11: 12.11%2026-08-12: 11.07%2026-08-13: 10.89%2026-08-14: 10.62%2026-08-17: 11.25%2026-08-18: 11.75%2026-08-19: 11.34%2026-08-20: 13.13%2026-08-21: 11.76%2026-08-24: 12.75%2026-08-25: 12.62%2026-08-26: 12.88%2026-08-27: 11.81%2026-08-28: 10.94%2026-08-31: 11.73%2026-09-01: 12.99%2026-09-02: 12.06%2026-09-03: 11.13%2026-09-04: 10.62%2026-09-08: 12.81%2026-09-09: 13.60%2026-09-10: 15.90%2026-09-11: 12.31%2026-09-14: 13.86%2026-09-15: 14.93%2026-09-16: 15.43%2026-09-17: 12.50%2026-09-18: 11.02%2026-09-21: 11.18%2026-09-22: 10.76%2026-09-23: 11.77%2026-09-24: 12.07%2026-09-25: 11.45%2026-09-28: 12.94%2026-09-29: 13.08%2026-09-30: 13.82%2026-10-01: 13.64%2026-10-02: 11.26%2026-10-05: 11.75%2026-10-06: 11.43%2026-10-07: 11.12%2026-10-08: 11.97%2026-10-09: 10.57%2026-10-12: 11.04%2026-10-13: 11.67%2026-10-14: 13.44%2026-10-15: 12.21%2026-10-16: 14.80%2026-10-19: 14.44%2026-10-20: 13.80%2026-10-21: 13.21%2026-10-22: 16.40%2026-10-23: 15.86%2026-10-26: 15.36%2026-10-27: 14.64%2026-10-28: 14.19%2026-10-29: 13.47%2026-10-30: 16.67%2026-11-03: 19.32%2026-11-06: 21.37%Aug 10Sep 22Nov 6
61 observations2026-08-10 — 2026-11-06
Table
DateIV (%)
12.16%
12.11%
11.07%
10.89%
10.62%
11.25%
11.75%
11.34%
13.13%
11.76%
12.75%
12.62%
12.88%
11.81%
10.94%
11.73%
12.99%
12.06%
11.13%
10.62%
12.81%
13.60%
15.90%
12.31%
13.86%
14.93%
15.43%
12.50%
11.02%
11.18%
10.76%
11.77%
12.07%
11.45%
12.94%
13.08%
13.82%
13.64%
11.26%
11.75%
11.43%
11.12%
11.97%
10.57%
11.04%
11.67%
13.44%
12.21%
14.80%
14.44%
13.80%
13.21%
16.40%
15.86%
15.36%
14.64%
14.19%
13.47%
16.67%
19.32%
21.37%

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