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U.S. Small Cap Value Portfolio ETF Class Shares DFSV

i

Market dataready · fetched 2026-11-12T01:26:07.961Z

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 · 2026-11-12T01:00:00.015426931Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T01:26:07.522434+00:00

Share price$39.44
1D+0.7%
AH$39.13$39.21$39.30$39.38$39.465:30 AM6:30 AM9:00 AM1:00 PM2:00 PMDFSV
Sold putSold callAH

U.S. Small Cap Value Portfolio ETF Class Shares options

Live interpolated DFSV call and put midpoint premiums by absolute delta.U.S. Small Cap Value Portfolio ETF Class Shares$0.63$1.03$1.42$1.81$2.20$36.01$37.71$39.42$41.12$42.8220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive DFSV spot · $39.44DFSV PRICE$0.68$0.68$0.68$0.69$0.74$0.79$0.85$0.90$0.96$1.02$1.09$1.16$1.22$0.68$0.70$0.74$0.77$0.79$0.85$0.92$0.99$1.06$1.25$1.44$1.63$2.09
PutsExpensive2.03×
CallsExpensive1.74×
SkewBearish+0.74 pp
Implied moveBearish±$1.77
TiltBearish9.7% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ46.01106.5%18.4%35.3392.4%12.1%
25Δ43.2178.6%11.3%36.8272.2%8.4%
30Δ41.7261.2%7.5%37.7260.5%6.2%
35Δ40.8450.3%5.3%38.3551.8%4.7%
40Δ40.3344.7%4.1%38.8744.1%3.5%
45Δ39.9040.0%3.2%39.2039.9%2.8%
50Δ39.6336.7%2.6%39.4736.9%2.2%
55Δ39.3633.4%2.1%39.7533.9%1.7%
60Δ39.0930.2%1.5%40.0231.0%1.2%
65Δ38.9027.6%1.2%40.2930.8%1.0%
70Δ38.7625.3%1.0%40.5630.6%0.8%
75Δ38.6223.0%0.8%40.8330.3%0.6%
80Δ38.4820.7%0.7%41.3533.3%0.5%

20Δ

Calls
Pseudo strike
46.01
IV
106.5%
B/E move
18.4%
Puts
Pseudo strike
35.33
IV
92.4%
B/E move
12.1%

25Δ

Calls
Pseudo strike
43.21
IV
78.6%
B/E move
11.3%
Puts
Pseudo strike
36.82
IV
72.2%
B/E move
8.4%

30Δ

Calls
Pseudo strike
41.72
IV
61.2%
B/E move
7.5%
Puts
Pseudo strike
37.72
IV
60.5%
B/E move
6.2%

35Δ

Calls
Pseudo strike
40.84
IV
50.3%
B/E move
5.3%
Puts
Pseudo strike
38.35
IV
51.8%
B/E move
4.7%

40Δ

Calls
Pseudo strike
40.33
IV
44.7%
B/E move
4.1%
Puts
Pseudo strike
38.87
IV
44.1%
B/E move
3.5%

45Δ

Calls
Pseudo strike
39.90
IV
40.0%
B/E move
3.2%
Puts
Pseudo strike
39.20
IV
39.9%
B/E move
2.8%

50Δ

Calls
Pseudo strike
39.63
IV
36.7%
B/E move
2.6%
Puts
Pseudo strike
39.47
IV
36.9%
B/E move
2.2%

55Δ

Calls
Pseudo strike
39.36
IV
33.4%
B/E move
2.1%
Puts
Pseudo strike
39.75
IV
33.9%
B/E move
1.7%

60Δ

Calls
Pseudo strike
39.09
IV
30.2%
B/E move
1.5%
Puts
Pseudo strike
40.02
IV
31.0%
B/E move
1.2%

65Δ

Calls
Pseudo strike
38.90
IV
27.6%
B/E move
1.2%
Puts
Pseudo strike
40.29
IV
30.8%
B/E move
1.0%

70Δ

Calls
Pseudo strike
38.76
IV
25.3%
B/E move
1.0%
Puts
Pseudo strike
40.56
IV
30.6%
B/E move
0.8%

75Δ

Calls
Pseudo strike
38.62
IV
23.0%
B/E move
0.8%
Puts
Pseudo strike
40.83
IV
30.3%
B/E move
0.6%

80Δ

Calls
Pseudo strike
38.48
IV
20.7%
B/E move
0.7%
Puts
Pseudo strike
41.35
IV
33.3%
B/E move
0.5%

Options history

IV · four-Friday blend25.94%
Daily EOD
DFSV24.3%25.3%26.3%2026-10-19: 24.44%2026-10-20: 25.03%2026-10-21: 25.26%2026-10-22: 24.94%2026-10-23: 25.36%2026-10-26: 26.14%2026-10-27: 25.63%2026-10-28: 25.16%2026-10-29: 25.13%2026-10-30: 25.94%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
24.44%
25.03%
25.26%
24.94%
25.36%
26.14%
25.63%
25.16%
25.13%
25.94%