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U.S. Small Cap Portfolio ETF Class Shares DFAS

i

Market dataready · fetched 2026-11-11T13:44:56.783Z

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 · 2026-11-11T01:00:00.008473625Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T13:44:56.305237+00:00

Share price$79.99
1D-0.0%
AH$79.34$79.53$79.72$79.91$80.105:30 AM6:30 AM9:00 AM1:00 PM2:00 PMDFAS
Sold putSold callAH

U.S. Small Cap Portfolio ETF Class Shares options

Live interpolated DFAS call and put midpoint premiums by absolute delta.U.S. Small Cap Portfolio ETF Class Shares$0.37$1.31$2.25$3.19$4.12$77.11$78.64$80.16$81.69$83.2220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ75Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive DFAS spot · $79.99DFAS PRICE$0.48$0.51$0.55$0.62$0.69$0.74$0.80$0.92$1.08$1.23$1.39$1.60$1.82$0.52$0.59$0.65$0.70$0.81$0.93$1.07$1.27$1.48$1.73$2.05$3.85
Puts——
CallsCheap0.94×
Skew——
Implied moveBearish±$1.87
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ83.9834.2%5.6%76.4335.8%5.1%
25Δ82.6127.6%3.9%77.5530.5%3.8%
30Δ81.7623.4%2.9%78.3526.5%2.9%
35Δ81.2121.2%2.3%79.0122.9%2.1%
40Δ80.7919.5%1.9%79.3822.1%1.8%
45Δ80.4617.9%1.5%79.7521.2%1.5%
50Δ80.1216.4%1.2%80.1120.7%1.2%
55Δ79.8415.8%1.0%80.4620.9%1.0%
60Δ79.5815.7%0.8%80.8021.1%0.8%
65Δ79.3215.7%0.7%81.1721.4%0.7%
70Δ79.0615.7%0.6%81.6021.9%0.5%
75Δ78.7715.4%0.5%
80Δ78.4715.0%0.4%83.5030.7%0.4%

20Δ

Calls
Pseudo strike
83.98
IV
34.2%
B/E move
5.6%
Puts
Pseudo strike
76.43
IV
35.8%
B/E move
5.1%

25Δ

Calls
Pseudo strike
82.61
IV
27.6%
B/E move
3.9%
Puts
Pseudo strike
77.55
IV
30.5%
B/E move
3.8%

30Δ

Calls
Pseudo strike
81.76
IV
23.4%
B/E move
2.9%
Puts
Pseudo strike
78.35
IV
26.5%
B/E move
2.9%

35Δ

Calls
Pseudo strike
81.21
IV
21.2%
B/E move
2.3%
Puts
Pseudo strike
79.01
IV
22.9%
B/E move
2.1%

40Δ

Calls
Pseudo strike
80.79
IV
19.5%
B/E move
1.9%
Puts
Pseudo strike
79.38
IV
22.1%
B/E move
1.8%

45Δ

Calls
Pseudo strike
80.46
IV
17.9%
B/E move
1.5%
Puts
Pseudo strike
79.75
IV
21.2%
B/E move
1.5%

50Δ

Calls
Pseudo strike
80.12
IV
16.4%
B/E move
1.2%
Puts
Pseudo strike
80.11
IV
20.7%
B/E move
1.2%

55Δ

Calls
Pseudo strike
79.84
IV
15.8%
B/E move
1.0%
Puts
Pseudo strike
80.46
IV
20.9%
B/E move
1.0%

60Δ

Calls
Pseudo strike
79.58
IV
15.7%
B/E move
0.8%
Puts
Pseudo strike
80.80
IV
21.1%
B/E move
0.8%

65Δ

Calls
Pseudo strike
79.32
IV
15.7%
B/E move
0.7%
Puts
Pseudo strike
81.17
IV
21.4%
B/E move
0.7%

70Δ

Calls
Pseudo strike
79.06
IV
15.7%
B/E move
0.6%
Puts
Pseudo strike
81.60
IV
21.9%
B/E move
0.5%

75Δ

Calls
Pseudo strike
78.77
IV
15.4%
B/E move
0.5%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
78.47
IV
15.0%
B/E move
0.4%
Puts
Pseudo strike
83.50
IV
30.7%
B/E move
0.4%

Options history

IV · four-Friday blend18.64%
Daily EOD
DFAS16.3%17.6%18.8%2026-10-19: 16.49%2026-10-20: 17.51%2026-10-21: 17.24%2026-10-22: 17.68%2026-10-23: 17.99%2026-10-26: 17.90%2026-10-27: 17.18%2026-10-28: 17.39%2026-10-29: 16.47%2026-10-30: 18.64%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
16.49%
17.51%
17.24%
17.68%
17.99%
17.90%
17.18%
17.39%
16.47%
18.64%