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Vanguard Scottsdale Funds Vanguard Russell 2000 ETF VTWO

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Market dataready · fetched 2026-11-07T08:09:41.378Z

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 · 2026-11-07T00:06:34.420003134Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-07T08:09:40.777609+00:00

Share price$110.83
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$1.74$3.15$4.55$5.96$103.50$106.83$110.16$113.48$116.8120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ70Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive VTWO spot · $110.83VTWO PRICE$0.49$0.66$0.83$1.03$1.31$1.55$1.75$2.02$2.30$2.64$4.60$5.55$0.80$1.09$1.34$1.62$1.89$2.06$2.22$2.81$3.17$3.47$3.71$4.25$5.00
PutsExpensive1.47×
Calls——
Skew——
Implied moveBearish±$3.97
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ114.9221.4%4.1%105.5632.7%5.5%
25Δ114.1721.5%3.6%106.5133.8%4.9%
30Δ113.4421.1%3.1%107.6432.7%4.1%
35Δ112.7921.2%2.7%108.6431.7%3.4%
40Δ112.2622.3%2.5%109.5430.6%2.9%
45Δ111.6922.4%2.2%110.3628.3%2.3%
50Δ111.0821.5%1.8%111.1325.7%1.7%
55Δ110.5221.2%1.5%111.8827.8%1.6%
60Δ109.9620.9%1.3%112.5727.2%1.3%
65Δ109.4020.8%1.1%113.2025.8%1.0%
70Δ113.7524.0%0.7%
75Δ107.2627.7%0.9%114.5123.7%0.5%
80Δ106.1229.1%0.8%115.4424.0%0.4%

20Δ

Calls
Pseudo strike
114.92
IV
21.4%
B/E move
4.1%
Puts
Pseudo strike
105.56
IV
32.7%
B/E move
5.5%

25Δ

Calls
Pseudo strike
114.17
IV
21.5%
B/E move
3.6%
Puts
Pseudo strike
106.51
IV
33.8%
B/E move
4.9%

30Δ

Calls
Pseudo strike
113.44
IV
21.1%
B/E move
3.1%
Puts
Pseudo strike
107.64
IV
32.7%
B/E move
4.1%

35Δ

Calls
Pseudo strike
112.79
IV
21.2%
B/E move
2.7%
Puts
Pseudo strike
108.64
IV
31.7%
B/E move
3.4%

40Δ

Calls
Pseudo strike
112.26
IV
22.3%
B/E move
2.5%
Puts
Pseudo strike
109.54
IV
30.6%
B/E move
2.9%

45Δ

Calls
Pseudo strike
111.69
IV
22.4%
B/E move
2.2%
Puts
Pseudo strike
110.36
IV
28.3%
B/E move
2.3%

50Δ

Calls
Pseudo strike
111.08
IV
21.5%
B/E move
1.8%
Puts
Pseudo strike
111.13
IV
25.7%
B/E move
1.7%

55Δ

Calls
Pseudo strike
110.52
IV
21.2%
B/E move
1.5%
Puts
Pseudo strike
111.88
IV
27.8%
B/E move
1.6%

60Δ

Calls
Pseudo strike
109.96
IV
20.9%
B/E move
1.3%
Puts
Pseudo strike
112.57
IV
27.2%
B/E move
1.3%

65Δ

Calls
Pseudo strike
109.40
IV
20.8%
B/E move
1.1%
Puts
Pseudo strike
113.20
IV
25.8%
B/E move
1.0%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
113.75
IV
24.0%
B/E move
0.7%

75Δ

Calls
Pseudo strike
107.26
IV
27.7%
B/E move
0.9%
Puts
Pseudo strike
114.51
IV
23.7%
B/E move
0.5%

80Δ

Calls
Pseudo strike
106.12
IV
29.1%
B/E move
0.8%
Puts
Pseudo strike
115.44
IV
24.0%
B/E move
0.4%

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%