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Vanguard Scottsdale Funds Vanguard Russell 2000 ETF VTWO

i

Market dataready · fetched 2026-11-06T22:03:51.820Z

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 · 2026-11-06T21:56:27.048857186Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-06T22:03:51.226672+00:00

Share price$110.58
1D+0.7%
AH$109.25$109.69$110.12$110.56$110.995:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVTWO
Sold putSold callAH

Vanguard Scottsdale Funds Vanguard Russell 2000 ETF options

Live interpolated VTWO call and put midpoint premiums by absolute delta.Vanguard Scottsdale Funds Vanguard Russell 2000 ETF$0.34$1.94$3.55$5.15$6.76$103.67$107.00$110.34$113.67$117.0120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VTWO spot · $110.58VTWO PRICE$0.51$0.69$0.86$1.10$1.39$1.62$1.85$2.15$2.49$2.86$4.06$5.22$6.30$0.77$1.06$1.31$1.56$1.83$2.04$2.11$2.56$3.02$3.31$3.54$3.76$4.29
PutsExpensive1.37×
CallsExpensive1.18×
SkewBearish+2.23 pp
Implied moveBearish±$3.96
TiltBalanced0.1% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ114.8421.4%4.3%105.5030.6%5.3%
25Δ114.0621.6%3.8%106.3831.8%4.8%
30Δ113.3021.2%3.2%107.4830.7%4.0%
35Δ112.6721.8%2.9%108.4629.7%3.3%
40Δ112.1222.9%2.6%109.3428.6%2.8%
45Δ111.4922.6%2.3%110.1427.0%2.2%
50Δ110.8521.9%1.9%110.8423.8%1.7%
55Δ110.2521.9%1.6%111.5724.5%1.4%
60Δ109.6421.9%1.4%112.2525.0%1.2%
65Δ109.0321.9%1.2%112.8723.8%0.9%
70Δ107.8427.2%1.2%113.3722.2%0.7%
75Δ106.5430.6%1.1%113.8520.4%0.4%
80Δ105.2432.1%0.9%114.5720.0%0.3%

20Δ

Calls
Pseudo strike
114.84
IV
21.4%
B/E move
4.3%
Puts
Pseudo strike
105.50
IV
30.6%
B/E move
5.3%

25Δ

Calls
Pseudo strike
114.06
IV
21.6%
B/E move
3.8%
Puts
Pseudo strike
106.38
IV
31.8%
B/E move
4.8%

30Δ

Calls
Pseudo strike
113.30
IV
21.2%
B/E move
3.2%
Puts
Pseudo strike
107.48
IV
30.7%
B/E move
4.0%

35Δ

Calls
Pseudo strike
112.67
IV
21.8%
B/E move
2.9%
Puts
Pseudo strike
108.46
IV
29.7%
B/E move
3.3%

40Δ

Calls
Pseudo strike
112.12
IV
22.9%
B/E move
2.6%
Puts
Pseudo strike
109.34
IV
28.6%
B/E move
2.8%

45Δ

Calls
Pseudo strike
111.49
IV
22.6%
B/E move
2.3%
Puts
Pseudo strike
110.14
IV
27.0%
B/E move
2.2%

50Δ

Calls
Pseudo strike
110.85
IV
21.9%
B/E move
1.9%
Puts
Pseudo strike
110.84
IV
23.8%
B/E move
1.7%

55Δ

Calls
Pseudo strike
110.25
IV
21.9%
B/E move
1.6%
Puts
Pseudo strike
111.57
IV
24.5%
B/E move
1.4%

60Δ

Calls
Pseudo strike
109.64
IV
21.9%
B/E move
1.4%
Puts
Pseudo strike
112.25
IV
25.0%
B/E move
1.2%

65Δ

Calls
Pseudo strike
109.03
IV
21.9%
B/E move
1.2%
Puts
Pseudo strike
112.87
IV
23.8%
B/E move
0.9%

70Δ

Calls
Pseudo strike
107.84
IV
27.2%
B/E move
1.2%
Puts
Pseudo strike
113.37
IV
22.2%
B/E move
0.7%

75Δ

Calls
Pseudo strike
106.54
IV
30.6%
B/E move
1.1%
Puts
Pseudo strike
113.85
IV
20.4%
B/E move
0.4%

80Δ

Calls
Pseudo strike
105.24
IV
32.1%
B/E move
0.9%
Puts
Pseudo strike
114.57
IV
20.0%
B/E move
0.3%

Options history

IV · four-Friday blend20.96%
Daily EOD
VTWO18.9%20.0%21.1%2026-10-19: 20.38%2026-10-20: 19.90%2026-10-21: 19.98%2026-10-22: 20.30%2026-10-23: 20.41%2026-10-26: 20.56%2026-10-27: 19.74%2026-10-28: 20.07%2026-10-29: 19.04%2026-10-30: 20.96%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
20.38%
19.90%
19.98%
20.30%
20.41%
20.56%
19.74%
20.07%
19.04%
20.96%