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Calamos Autocallable Income ETF CAIE

i

Market dataready · fetched 2026-11-11T14:55:18.917Z

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 · 2026-11-11T14:55:09.08653867Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T14:55:18.379555+00:00

Share price$25.95
1D-0.1%
$25.92$25.94$25.96$25.98$25.995:30 AM6:30 AM9:00 AM1:00 PMCAIE
Sold putSold call

Calamos Autocallable Income ETF options

Live interpolated CAIE call and put midpoint premiums by absolute delta.Calamos Autocallable Income ETF$0.04$0.48$0.93$1.37$1.82$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —25Δ P unavailable: no unambiguous, price-consistent delta bracketP —30Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —55Δ C unavailable: no unambiguous, price-consistent delta bracketC —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICECAIE PRICE$0.08$0.11$0.13$0.16$0.18$0.21$0.59$0.81$1.03$1.25$1.47$1.69
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ26.7116.2%3.2%
25Δ26.5915.9%2.9%
30Δ26.4615.5%2.5%
35Δ26.3415.2%2.1%
40Δ26.2214.9%1.7%
45Δ26.1014.5%1.4%
50Δ
55Δ26.2524.0%1.1%
60Δ26.5026.0%1.0%
65Δ26.7628.0%0.9%
70Δ27.0130.0%0.7%
75Δ27.2731.9%0.6%
80Δ27.5233.9%0.4%

20Δ

Calls
Pseudo strike
26.71
IV
16.2%
B/E move
3.2%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
26.59
IV
15.9%
B/E move
2.9%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
26.46
IV
15.5%
B/E move
2.5%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
26.34
IV
15.2%
B/E move
2.1%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
26.22
IV
14.9%
B/E move
1.7%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
26.10
IV
14.5%
B/E move
1.4%
Puts
Pseudo strike
IV
B/E move

50Δ

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

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
26.25
IV
24.0%
B/E move
1.1%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
26.50
IV
26.0%
B/E move
1.0%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
26.76
IV
28.0%
B/E move
0.9%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
27.01
IV
30.0%
B/E move
0.7%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
27.27
IV
31.9%
B/E move
0.6%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
27.52
IV
33.9%
B/E move
0.4%

Options history

IV · four-Friday blend20.33%
Daily close
CAIE15.8%18.6%21.4%2026-08-21: 17.24%2026-08-24: 17.47%2026-08-26: 18.48%2026-08-31: 18.51%2026-09-03: 16.17%2026-09-04: 16.46%2026-09-22: 17.78%2026-10-16: 18.81%2026-10-20: 17.10%2026-10-22: 21.00%2026-10-23: 19.20%2026-10-26: 20.33%Aug 21Sep 4Oct 26
12 observations2026-08-21 — 2026-10-26
Table
DateIV (%)
17.24%
17.47%
18.48%
18.51%
16.17%
16.46%
17.78%
18.81%
17.10%
21.00%
19.20%
20.33%