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Invesco Variable Rate Preferred ETF VRP

i

Market dataready · fetched 2026-11-04T06:23:54.981Z

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 · 2026-11-04T01:00:00.102195803Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-04T06:23:53.207303+00:00

Share price$23.62
1D+0.1%
AH$23.57$23.59$23.61$23.62$23.645:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVRP
Sold putSold callAH

Invesco Variable Rate Preferred ETF options

Live interpolated VRP call and put midpoint premiums by absolute delta.Invesco Variable Rate Preferred ETF$0.52$0.81$1.09$1.38$1.66$21.02$22.36$23.71$25.05$26.3920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VRP spot · $23.62VRP PRICE$0.55$0.55$0.55$0.55$0.55$0.56$0.64$0.71$0.78$0.85$0.92$1.24$1.58$0.55$0.55$0.55$0.55$0.60$0.66$0.72$0.77$0.86$0.95$1.05$1.15$1.24
PutsExpensive14.75×
CallsExpensive13.85×
SkewBullish-3.39 pp
Implied moveBearish±$1.35
TiltBalanced0.8% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ29.58108.9%27.6%20.5089.8%15.6%
25Δ26.9379.6%16.4%21.6468.8%10.7%
30Δ25.6362.0%10.8%22.3555.3%7.7%
35Δ24.8449.9%7.5%22.9044.4%5.4%
40Δ24.3841.5%5.5%23.1940.2%4.3%
45Δ23.9634.4%3.8%23.4337.4%3.6%
50Δ23.7732.9%3.3%23.6634.6%2.8%
55Δ23.5831.3%2.8%23.9031.9%2.1%
60Δ23.3929.8%2.3%24.0929.9%1.6%
65Δ23.2028.2%1.8%24.2528.4%1.3%
70Δ23.0126.6%1.3%24.4227.0%1.1%
75Δ22.6327.7%1.1%24.5825.6%0.8%
80Δ22.2428.9%0.8%24.7424.2%0.5%

20Δ

Calls
Pseudo strike
29.58
IV
108.9%
B/E move
27.6%
Puts
Pseudo strike
20.50
IV
89.8%
B/E move
15.6%

25Δ

Calls
Pseudo strike
26.93
IV
79.6%
B/E move
16.4%
Puts
Pseudo strike
21.64
IV
68.8%
B/E move
10.7%

30Δ

Calls
Pseudo strike
25.63
IV
62.0%
B/E move
10.8%
Puts
Pseudo strike
22.35
IV
55.3%
B/E move
7.7%

35Δ

Calls
Pseudo strike
24.84
IV
49.9%
B/E move
7.5%
Puts
Pseudo strike
22.90
IV
44.4%
B/E move
5.4%

40Δ

Calls
Pseudo strike
24.38
IV
41.5%
B/E move
5.5%
Puts
Pseudo strike
23.19
IV
40.2%
B/E move
4.3%

45Δ

Calls
Pseudo strike
23.96
IV
34.4%
B/E move
3.8%
Puts
Pseudo strike
23.43
IV
37.4%
B/E move
3.6%

50Δ

Calls
Pseudo strike
23.77
IV
32.9%
B/E move
3.3%
Puts
Pseudo strike
23.66
IV
34.6%
B/E move
2.8%

55Δ

Calls
Pseudo strike
23.58
IV
31.3%
B/E move
2.8%
Puts
Pseudo strike
23.90
IV
31.9%
B/E move
2.1%

60Δ

Calls
Pseudo strike
23.39
IV
29.8%
B/E move
2.3%
Puts
Pseudo strike
24.09
IV
29.9%
B/E move
1.6%

65Δ

Calls
Pseudo strike
23.20
IV
28.2%
B/E move
1.8%
Puts
Pseudo strike
24.25
IV
28.4%
B/E move
1.3%

70Δ

Calls
Pseudo strike
23.01
IV
26.6%
B/E move
1.3%
Puts
Pseudo strike
24.42
IV
27.0%
B/E move
1.1%

75Δ

Calls
Pseudo strike
22.63
IV
27.7%
B/E move
1.1%
Puts
Pseudo strike
24.58
IV
25.6%
B/E move
0.8%

80Δ

Calls
Pseudo strike
22.24
IV
28.9%
B/E move
0.8%
Puts
Pseudo strike
24.74
IV
24.2%
B/E move
0.5%

Options history

IV · four-Friday blend136.69%
Daily EOD
VRP40.8%92.3%143.8%2026-10-19: 47.90%2026-10-20: 97.12%2026-10-22: 71.88%2026-10-26: 61.45%2026-10-27: 90.07%2026-10-28: 68.36%2026-10-29: 135.81%2026-10-30: 136.69%Oct 19Oct 26Oct 30
8 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
47.90%
97.12%
71.88%
61.45%
90.07%
68.36%
135.81%
136.69%