State Street SPDR MSCI USA Climate Paris Aligned ETF (NZUS) Volatility Skew
Implied volatility skew shows how IV varies across strike prices for a given expiration. Steeper skews indicate higher demand for downside protection relative to upside speculation.
State Street SPDR MSCI USA Climate Paris Aligned ETF (NZUS) operates in the Financial Services sector, specifically the Asset Management industry, with a market capitalization near $3.0M, listed on NASDAQ, carrying a beta of 1.10 to the broader market. NZUS seeks to provide investment results that, before fees and expenses, correspond generally to the MSCI USA Climate Paris Aligned Index (“the Index”)Seeks to track an index designed to reduce exposure to the physical and transition risks of climate change and increase target exposure to sustainable investment opportunities by incorporating the recommendations of the Taskforce on Climate Related Financial Disclosures (TCFD) and minimum requirements of the EU Paris Aligned BenchmarkMay be considered by investors seeking to implement net-zero strategies and address climate change in a holistic way public since 2022-04-18.
Snapshot as of May 22, 2026.
- Spot Price
- $38.28
- ATM IV
- 28.0%
- IV Skew 25Δ
- 0.003
- IV Rank
- 11.6%
- IV Percentile
- 41.3%
- Term Structure Slope
- -0.048
As of May 22, 2026, State Street SPDR MSCI USA Climate Paris Aligned ETF (NZUS) at-the-money implied volatility is 28.0%. IV rank is 11.6% (where 0% is the 52-week low and 100% is the 52-week high). IV percentile is 41.3%. The 25-delta skew is +0.003: skew is roughly flat across the 25-delta wings. High IV rank typically favors premium-selling strategies; low IV rank favors premium-buying.
NZUS Strategy Selection at Current Volatility Levels
For State Street SPDR MSCI USA Climate Paris Aligned ETF options at 28.0% ATM IV, low IV rank (11.6%) favors premium-buying or long-vol structures: long calls or puts, debit spreads, calendar spreads, long straddles. The risk: low-rank regimes can persist for months while time decay eats premium-buyers alive. Pair the vol-rank read with the dealer-gamma view and the upcoming-events calendar to confirm the strategy fits both the structural regime and the path-dependent risk. The variance risk premium - the persistent gap between implied and subsequently realized vol - is positive in equity markets on average; high IV rank typically reflects a stretch where the premium is wider than usual.
How to read the NZUS volatility surface
ATM IV currently prints at 28.0%, 11.6% IV rank, against 29.1% realized over the trailing 20 trading days. Implied is currently below realized by 1.1 vol points, an inverted regime where premium buyers are underpaying for the move - rare and often a setup for IV expansion. Skew is roughly flat at 0.003, indicating balanced tail-risk pricing. The term-structure slope of -0.048 is inverted (backwardation) - near-dated IV trades above longer-dated, signaling acute near-term event risk.
NZUS IV rank and the variance risk premium
NZUS sits in the bottom quartile of its 1-year IV range (rank 11.6%). Low-IV-rank regimes favor premium-buying or long-vol structures - long calls/puts, debit spreads, calendar spreads, long straddles. The risk: low-rank regimes can persist for months, and time decay eats premium-buyers alive without a vol expansion or directional move to compensate. Compared with 60-day realized HV of 30.5%, current ATM IV is 2.5 vol points cheap.
Trading vol on NZUS: practical notes
The variance risk premium - the persistent gap between implied and subsequently realized volatility - is positive on equity-market averages, which is why premium-selling carries a long-run edge. But the edge is averaged across a distribution; individual realizations can blow past the implied move in either direction. NZUS front-month expiration sits at 27 days; near-dated structures get the highest theta decay but also the largest gamma sensitivity, so the same vol-rank read translates into very different structures at 7 DTE vs 45 DTE. Pair the rank read with the dealer-gamma view, the term-structure shape, and the upcoming-event calendar to confirm the trade fits both the structural regime and the path-dependent risk. Risk-defined structures (credit/debit spreads, condors, butterflies) are usually safer than naked positions when the regime is uncertain.
NZUS volatility surface: linking strikes to tenors
The skew-by-strike chart higher up and the term-structure-by-DTE chart together describe the NZUS implied-volatility surface - the two-dimensional grid of IV across strike and expiration that determines every option premium on the chain. Currently the 25-delta skew is 0.003 and the term-structure slope is -0.048, a combination that is a mixed-signal regime where the strike and tenor dimensions are not pricing risk in the same direction, often a transition state between regimes. Term structure tells you when the market expects the action; skew tells you which direction. Combined with the 11.6% IV rank, the surface gives a complete read on whether NZUS options are cheap, fair, or expensive across both dimensions. Practitioners watch surface dynamics (skew steepening, term-structure inversion) alongside level (IV rank) - level moves are common but surface shape changes typically signal regime-level shifts in how the chain is being positioned.
For NZUS specifically, the surface read fits into a broader options-trading toolkit. Single-leg directional positions (long calls or puts) depend almost entirely on level: cheap IV at any skew/term shape favors buyers, rich IV favors sellers. Risk-defined spreads (vertical credit/debit spreads, iron condors, butterflies) depend on both level and skew: put-skewed surfaces make put-side credit spreads collect more premium per width than call-side, and the asymmetry can compound or offset the directional thesis. Calendar and diagonal spreads depend on term shape: contango makes long-back-month / short-front-month structures cheaper to put on but harder to harvest theta from quickly. Pair the surface read with the dealer-gamma view, the upcoming-event calendar, and the underlying-trend context to choose the strike, the tenor, and the structure family that match both the regime and the conviction level.
Learn how volatility skew is reported and how to read the data →