IntraAlpha
Create free account Start free

PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund ZROZ

i

Market datapartial · fetched 2026-11-04T06:58:37.551Z

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 · 2026-11-04T01:00:00.125602682Z

FundamentalsAlpha Vantage · unavailable

Share price$58.13
1D-0.9%
AH$57.87$58.04$58.21$58.38$58.555:30 AM6:30 AM9:00 AM1:00 PM2:00 PMZROZ
Sold putSold callAH

PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund options

Live interpolated ZROZ call and put midpoint premiums by absolute delta.PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund$0.58$1.22$1.86$2.49$3.13$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICEZROZ PRICE$1.30$1.35$1.91$2.11$2.30$2.46$2.62$2.94$0.65$0.84$1.18$1.52$1.70$1.82$1.96$2.12$2.27
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ65.8676.1%15.5%
30Δ62.9161.2%10.6%56.7125.8%3.6%
35Δ57.0527.6%3.3%
40Δ57.4830.9%3.2%
45Δ57.9034.1%3.0%
50Δ58.3533.1%2.5%
55Δ57.8635.3%2.8%58.8130.8%2.0%
60Δ57.3633.7%2.3%59.2128.8%1.5%
65Δ56.8931.8%1.8%59.5726.9%1.2%
70Δ56.5129.6%1.4%59.9325.1%0.8%
75Δ56.1327.3%1.1%
80Δ55.6526.2%0.8%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
65.86
IV
76.1%
B/E move
15.5%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
62.91
IV
61.2%
B/E move
10.6%
Puts
Pseudo strike
56.71
IV
25.8%
B/E move
3.6%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
57.05
IV
27.6%
B/E move
3.3%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
57.48
IV
30.9%
B/E move
3.2%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
57.90
IV
34.1%
B/E move
3.0%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
58.35
IV
33.1%
B/E move
2.5%

55Δ

Calls
Pseudo strike
57.86
IV
35.3%
B/E move
2.8%
Puts
Pseudo strike
58.81
IV
30.8%
B/E move
2.0%

60Δ

Calls
Pseudo strike
57.36
IV
33.7%
B/E move
2.3%
Puts
Pseudo strike
59.21
IV
28.8%
B/E move
1.5%

65Δ

Calls
Pseudo strike
56.89
IV
31.8%
B/E move
1.8%
Puts
Pseudo strike
59.57
IV
26.9%
B/E move
1.2%

70Δ

Calls
Pseudo strike
56.51
IV
29.6%
B/E move
1.4%
Puts
Pseudo strike
59.93
IV
25.1%
B/E move
0.8%

75Δ

Calls
Pseudo strike
56.13
IV
27.3%
B/E move
1.1%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
55.65
IV
26.2%
B/E move
0.8%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend21.98%
Daily EOD
ZROZ20.3%21.6%22.8%2026-10-19: 20.48%2026-10-20: 20.46%2026-10-21: 21.23%2026-10-22: 22.07%2026-10-23: 21.36%2026-10-26: 21.24%2026-10-27: 22.67%2026-10-28: 21.76%2026-10-29: 21.58%2026-10-30: 21.98%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
20.48%
20.46%
21.23%
22.07%
21.36%
21.24%
22.67%
21.76%
21.58%
21.98%