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Direxion Daily CSI 300 China A Share Bull 2X ETF CHAU

i

Market dataready · fetched 2026-11-13T19:12:05.482Z

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 · 2026-11-13T19:08:41.413222818Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-13T19:12:05.043427+00:00

Share price$16.46
1D-0.8%
$16.36$16.42$16.49$16.55$16.615:30 AM6:30 AM9:00 AM1:00 PMCHAU
Sold putSold call

Direxion Daily CSI 300 China A Share Bull 2X ETF options

Live interpolated CHAU call and put midpoint premiums by absolute delta.Direxion Daily CSI 300 China A Share Bull 2X ETF$0.35$0.62$0.89$1.17$1.44$14.53$15.56$16.58$17.60$18.6220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive CHAU spot · $16.46CHAU PRICE$0.38$0.38$0.40$0.43$0.45$0.48$0.52$0.55$0.58$0.61$0.65$0.98$1.36$0.38$0.38$0.38$0.38$0.42$0.47$0.53$0.58$0.63$0.69$0.77$0.93$1.10
PutsExpensive1.89×
CallsExpensive2.38×
SkewBullish-10.38 pp
Implied moveBalanced±$1.04
TiltBalanced1.0% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ20.49163.2%26.7%14.18139.6%16.1%
25Δ18.85123.5%16.8%14.76115.5%12.6%
30Δ18.22106.8%13.2%15.3591.4%9.0%
35Δ17.6090.0%9.5%15.9367.3%5.5%
40Δ16.9973.6%6.0%16.1361.8%4.5%
45Δ16.8368.3%5.2%16.2958.7%3.9%
50Δ16.6762.9%4.4%16.4455.7%3.3%
55Δ16.5157.6%3.6%16.5952.6%2.7%
60Δ16.3452.2%2.8%16.7449.5%2.2%
65Δ16.1846.9%2.0%16.8946.4%1.6%
70Δ16.0241.6%1.2%17.0644.0%1.1%
75Δ15.6652.0%1.1%17.2543.3%0.9%
80Δ15.2764.6%1.0%17.4542.5%0.6%

20Δ

Calls
Pseudo strike
20.49
IV
163.2%
B/E move
26.7%
Puts
Pseudo strike
14.18
IV
139.6%
B/E move
16.1%

25Δ

Calls
Pseudo strike
18.85
IV
123.5%
B/E move
16.8%
Puts
Pseudo strike
14.76
IV
115.5%
B/E move
12.6%

30Δ

Calls
Pseudo strike
18.22
IV
106.8%
B/E move
13.2%
Puts
Pseudo strike
15.35
IV
91.4%
B/E move
9.0%

35Δ

Calls
Pseudo strike
17.60
IV
90.0%
B/E move
9.5%
Puts
Pseudo strike
15.93
IV
67.3%
B/E move
5.5%

40Δ

Calls
Pseudo strike
16.99
IV
73.6%
B/E move
6.0%
Puts
Pseudo strike
16.13
IV
61.8%
B/E move
4.5%

45Δ

Calls
Pseudo strike
16.83
IV
68.3%
B/E move
5.2%
Puts
Pseudo strike
16.29
IV
58.7%
B/E move
3.9%

50Δ

Calls
Pseudo strike
16.67
IV
62.9%
B/E move
4.4%
Puts
Pseudo strike
16.44
IV
55.7%
B/E move
3.3%

55Δ

Calls
Pseudo strike
16.51
IV
57.6%
B/E move
3.6%
Puts
Pseudo strike
16.59
IV
52.6%
B/E move
2.7%

60Δ

Calls
Pseudo strike
16.34
IV
52.2%
B/E move
2.8%
Puts
Pseudo strike
16.74
IV
49.5%
B/E move
2.2%

65Δ

Calls
Pseudo strike
16.18
IV
46.9%
B/E move
2.0%
Puts
Pseudo strike
16.89
IV
46.4%
B/E move
1.6%

70Δ

Calls
Pseudo strike
16.02
IV
41.6%
B/E move
1.2%
Puts
Pseudo strike
17.06
IV
44.0%
B/E move
1.1%

75Δ

Calls
Pseudo strike
15.66
IV
52.0%
B/E move
1.1%
Puts
Pseudo strike
17.25
IV
43.3%
B/E move
0.9%

80Δ

Calls
Pseudo strike
15.27
IV
64.6%
B/E move
1.0%
Puts
Pseudo strike
17.45
IV
42.5%
B/E move
0.6%

Options history

IV · four-Friday blend45.37%
Daily EOD
CHAU42.6%45.2%47.8%2026-10-19: 43.82%2026-10-20: 43.83%2026-10-21: 44.03%2026-10-22: 42.99%2026-10-23: 46.00%2026-10-26: 47.33%2026-10-27: 43.56%2026-10-28: 47.47%2026-10-29: 46.51%2026-10-30: 45.37%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
43.82%
43.83%
44.03%
42.99%
46.00%
47.33%
43.56%
47.47%
46.51%
45.37%