IntraAlpha
Create free account Start free

Direxion Daily MSCI Emerging Markets Bear 3X ETF EDZ

i

Market dataready · fetched 2026-11-11T14:52:01.290Z

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 · 2026-11-11T14:51:34.522637076Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T14:52:00.379808+00:00

Share price$17.56
1D+0.9%
$17.49$17.54$17.59$17.64$17.695:30 AM6:30 AM9:00 AM1:00 PMEDZ
Sold putSold call

Direxion Daily MSCI Emerging Markets Bear 3X ETF options

Live interpolated EDZ call and put midpoint premiums by absolute delta.Direxion Daily MSCI Emerging Markets Bear 3X ETF$0.27$1.27$2.28$3.29$4.30$13.21$15.62$18.03$20.43$22.8420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive EDZ spot · $17.56EDZ PRICE$0.38$0.42$0.49$0.57$0.66$0.76$0.89$1.02$1.16$1.31$1.48$1.65$1.82$0.39$0.44$0.56$0.69$0.83$1.00$1.16$1.37$1.68$1.99$2.54$3.19$4.01
PutsCheap0.85×
CallsExpensive1.21×
SkewBearish+11.86 pp
Implied moveBearish±$2.05
TiltBearish22.3% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ21.50132.8%24.6%15.28116.0%15.2%
25Δ20.10111.3%16.8%16.0397.8%11.2%
30Δ19.38101.1%13.2%16.4097.1%9.8%
35Δ18.8394.2%10.5%16.7696.4%8.5%
40Δ18.4591.0%8.8%17.1195.8%7.3%
45Δ18.0687.9%7.2%17.4495.3%6.3%
50Δ17.7586.5%6.1%17.7794.8%5.4%
55Δ17.4585.5%5.2%18.1395.6%4.6%
60Δ17.1584.5%4.3%18.5499.2%4.0%
65Δ16.8682.9%3.5%18.96102.9%3.4%
70Δ16.5780.8%2.8%19.59110.8%2.9%
75Δ16.2978.7%2.2%20.32119.2%2.4%
80Δ16.0076.6%1.5%21.23127.1%1.9%

20Δ

Calls
Pseudo strike
21.50
IV
132.8%
B/E move
24.6%
Puts
Pseudo strike
15.28
IV
116.0%
B/E move
15.2%

25Δ

Calls
Pseudo strike
20.10
IV
111.3%
B/E move
16.8%
Puts
Pseudo strike
16.03
IV
97.8%
B/E move
11.2%

30Δ

Calls
Pseudo strike
19.38
IV
101.1%
B/E move
13.2%
Puts
Pseudo strike
16.40
IV
97.1%
B/E move
9.8%

35Δ

Calls
Pseudo strike
18.83
IV
94.2%
B/E move
10.5%
Puts
Pseudo strike
16.76
IV
96.4%
B/E move
8.5%

40Δ

Calls
Pseudo strike
18.45
IV
91.0%
B/E move
8.8%
Puts
Pseudo strike
17.11
IV
95.8%
B/E move
7.3%

45Δ

Calls
Pseudo strike
18.06
IV
87.9%
B/E move
7.2%
Puts
Pseudo strike
17.44
IV
95.3%
B/E move
6.3%

50Δ

Calls
Pseudo strike
17.75
IV
86.5%
B/E move
6.1%
Puts
Pseudo strike
17.77
IV
94.8%
B/E move
5.4%

55Δ

Calls
Pseudo strike
17.45
IV
85.5%
B/E move
5.2%
Puts
Pseudo strike
18.13
IV
95.6%
B/E move
4.6%

60Δ

Calls
Pseudo strike
17.15
IV
84.5%
B/E move
4.3%
Puts
Pseudo strike
18.54
IV
99.2%
B/E move
4.0%

65Δ

Calls
Pseudo strike
16.86
IV
82.9%
B/E move
3.5%
Puts
Pseudo strike
18.96
IV
102.9%
B/E move
3.4%

70Δ

Calls
Pseudo strike
16.57
IV
80.8%
B/E move
2.8%
Puts
Pseudo strike
19.59
IV
110.8%
B/E move
2.9%

75Δ

Calls
Pseudo strike
16.29
IV
78.7%
B/E move
2.2%
Puts
Pseudo strike
20.32
IV
119.2%
B/E move
2.4%

80Δ

Calls
Pseudo strike
16.00
IV
76.6%
B/E move
1.5%
Puts
Pseudo strike
21.23
IV
127.1%
B/E move
1.9%

Options history

IV · four-Friday blend85.16%
Daily close
EDZ60.6%88.0%115.4%2026-08-13: 91.01%2026-08-14: 95.19%2026-08-17: 100.19%2026-08-18: 104.88%2026-08-19: 111.66%2026-08-20: 94.64%2026-08-24: 86.00%2026-08-26: 86.05%2026-08-27: 81.52%2026-08-28: 80.48%2026-08-31: 79.82%2026-09-01: 79.94%2026-09-02: 77.75%2026-09-03: 73.44%2026-09-04: 68.64%2026-09-08: 78.00%2026-09-09: 78.54%2026-09-10: 83.04%2026-09-11: 79.79%2026-09-14: 87.59%2026-09-15: 89.76%2026-09-16: 91.82%2026-09-17: 98.43%2026-09-18: 79.49%2026-09-21: 72.07%2026-09-22: 68.13%2026-09-23: 69.67%2026-09-24: 73.35%2026-09-25: 64.39%2026-09-28: 70.15%2026-09-29: 67.81%2026-09-30: 72.02%2026-10-01: 74.20%2026-10-02: 72.97%2026-10-05: 71.98%2026-10-06: 72.64%2026-10-07: 73.26%2026-10-08: 69.00%2026-10-09: 70.11%2026-10-12: 73.50%2026-10-13: 71.26%2026-10-14: 81.54%2026-10-16: 75.64%2026-10-19: 73.51%2026-10-20: 72.03%2026-10-21: 73.91%2026-10-22: 77.93%2026-10-23: 78.92%2026-10-26: 81.52%2026-10-27: 82.22%2026-10-28: 79.63%2026-10-29: 80.20%2026-10-30: 85.16%Aug 13Sep 23Oct 30
53 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
91.01%
95.19%
100.19%
104.88%
111.66%
94.64%
86.00%
86.05%
81.52%
80.48%
79.82%
79.94%
77.75%
73.44%
68.64%
78.00%
78.54%
83.04%
79.79%
87.59%
89.76%
91.82%
98.43%
79.49%
72.07%
68.13%
69.67%
73.35%
64.39%
70.15%
67.81%
72.02%
74.20%
72.97%
71.98%
72.64%
73.26%
69.00%
70.11%
73.50%
71.26%
81.54%
75.64%
73.51%
72.03%
73.91%
77.93%
78.92%
81.52%
82.22%
79.63%
80.20%
85.16%