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U.S. Core Equity 2 Portfolio ETF Class Shares DFAC

i

Market dataready · fetched 2026-11-11T13:46:57.182Z

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 · 2026-11-11T01:00:00.008501089Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T13:46:56.668188+00:00

Share price$44.71
1D+0.2%
AH$44.45$44.53$44.60$44.68$44.755:30 AM6:30 AM9:00 AM1:00 PM2:00 PMDFAC
Sold putSold callAH

U.S. Core Equity 2 Portfolio ETF Class Shares options

Live interpolated DFAC call and put midpoint premiums by absolute delta.U.S. Core Equity 2 Portfolio ETF Class Shares$0.24$0.55$0.86$1.17$1.48$42.33$43.58$44.83$46.07$47.3220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive DFAC spot · $44.71DFAC PRICE$0.49$0.51$0.52$0.54$0.57$0.60$0.66$0.73$0.80$0.87$0.94$1.07$1.26$0.51$0.54$0.28$0.38$0.49$0.59$0.70$0.80$0.92$1.04$1.16$1.28$1.39
PutsExpensive1.61×
CallsExpensive1.31×
SkewBullish-3.23 pp
Implied moveBearish±$1.36
TiltBearish2.6% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ49.0363.9%10.7%41.3262.1%8.7%
25Δ47.5550.9%7.5%42.4749.9%6.2%
30Δ46.5240.8%5.2%44.1318.3%1.9%
35Δ45.8133.6%3.7%44.3019.4%1.8%
40Δ45.4229.5%2.9%44.4820.4%1.6%
45Δ45.0425.4%2.1%44.6521.5%1.5%
50Δ44.8323.9%1.8%44.8322.6%1.3%
55Δ44.6522.7%1.5%45.0123.6%1.1%
60Δ44.4621.5%1.2%45.2022.9%1.0%
65Δ44.2820.3%1.0%45.4022.3%0.8%
70Δ44.0919.1%0.7%45.6021.6%0.6%
75Δ43.8818.3%0.5%45.7920.9%0.4%
80Δ43.6317.9%0.4%45.9920.3%0.3%

20Δ

Calls
Pseudo strike
49.03
IV
63.9%
B/E move
10.7%
Puts
Pseudo strike
41.32
IV
62.1%
B/E move
8.7%

25Δ

Calls
Pseudo strike
47.55
IV
50.9%
B/E move
7.5%
Puts
Pseudo strike
42.47
IV
49.9%
B/E move
6.2%

30Δ

Calls
Pseudo strike
46.52
IV
40.8%
B/E move
5.2%
Puts
Pseudo strike
44.13
IV
18.3%
B/E move
1.9%

35Δ

Calls
Pseudo strike
45.81
IV
33.6%
B/E move
3.7%
Puts
Pseudo strike
44.30
IV
19.4%
B/E move
1.8%

40Δ

Calls
Pseudo strike
45.42
IV
29.5%
B/E move
2.9%
Puts
Pseudo strike
44.48
IV
20.4%
B/E move
1.6%

45Δ

Calls
Pseudo strike
45.04
IV
25.4%
B/E move
2.1%
Puts
Pseudo strike
44.65
IV
21.5%
B/E move
1.5%

50Δ

Calls
Pseudo strike
44.83
IV
23.9%
B/E move
1.8%
Puts
Pseudo strike
44.83
IV
22.6%
B/E move
1.3%

55Δ

Calls
Pseudo strike
44.65
IV
22.7%
B/E move
1.5%
Puts
Pseudo strike
45.01
IV
23.6%
B/E move
1.1%

60Δ

Calls
Pseudo strike
44.46
IV
21.5%
B/E move
1.2%
Puts
Pseudo strike
45.20
IV
22.9%
B/E move
1.0%

65Δ

Calls
Pseudo strike
44.28
IV
20.3%
B/E move
1.0%
Puts
Pseudo strike
45.40
IV
22.3%
B/E move
0.8%

70Δ

Calls
Pseudo strike
44.09
IV
19.1%
B/E move
0.7%
Puts
Pseudo strike
45.60
IV
21.6%
B/E move
0.6%

75Δ

Calls
Pseudo strike
43.88
IV
18.3%
B/E move
0.5%
Puts
Pseudo strike
45.79
IV
20.9%
B/E move
0.4%

80Δ

Calls
Pseudo strike
43.63
IV
17.9%
B/E move
0.4%
Puts
Pseudo strike
45.99
IV
20.3%
B/E move
0.3%

Options history

IV · four-Friday blend16.65%
Daily EOD
DFAC13.0%15.0%16.9%2026-10-19: 13.52%2026-10-20: 14.09%2026-10-21: 13.30%2026-10-22: 14.44%2026-10-23: 15.28%2026-10-26: 14.50%2026-10-27: 14.22%2026-10-28: 13.97%2026-10-29: 14.09%2026-10-30: 16.65%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
13.52%
14.09%
13.30%
14.44%
15.28%
14.50%
14.22%
13.97%
14.09%
16.65%