IntraAlpha
Create free account Start free

iShares MSCI Emerging Markets Small-Cap ETF EEMS

i

Market dataready · fetched 2026-10-22T16:44:34.056Z

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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-22T16:37:56.122035252Z

FundamentalsAlpha Vantage · ready · fetched 2026-10-22T16:44:32.865867+00:00

Share price$71.63
1D-0.4%
$71.40$71.58$71.76$71.93$72.115:30 AM6:30 AM9:00 AM1:00 PMEEMS
Sold putSold call

iShares MSCI Emerging Markets Small-Cap ETF options

Live interpolated EEMS call and put midpoint premiums by absolute delta.iShares MSCI Emerging Markets Small-Cap ETF$2.42$3.20$3.98$4.76$5.55$62.86$67.38$71.91$76.43$80.9520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive EEMS spot · $71.63EEMS PRICE$2.50$2.50$2.50$2.50$2.50$2.59$2.75$2.96$3.61$4.38$5.32$2.50$2.50$2.50$2.50$2.50$2.51$2.53$2.58$2.65$2.73$3.89$4.04
PutsExpensive1.79×
CallsExpensive2.87×
SkewBullish-2.72 pp
Implied moveBalanced±$5.01
TiltBalanced1.0% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ63.7874.2%14.4%
30Δ81.6571.9%17.5%66.7659.3%10.3%
35Δ77.5357.2%11.7%68.8248.6%7.4%
40Δ74.9846.6%8.2%70.2740.6%5.4%
45Δ73.3638.9%5.9%71.3134.5%3.9%
50Δ72.2332.9%4.3%72.1129.5%2.8%
55Δ71.4029.1%3.3%72.6625.9%2.1%
60Δ70.7226.6%2.6%73.1422.8%1.5%
65Δ70.1324.8%2.0%73.5120.5%1.1%
70Δ69.2926.3%1.8%73.8818.3%0.7%
75Δ68.3427.9%1.5%75.0922.2%0.6%
80Δ67.2129.5%1.3%75.4120.0%0.4%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
63.78
IV
74.2%
B/E move
14.4%

30Δ

Calls
Pseudo strike
81.65
IV
71.9%
B/E move
17.5%
Puts
Pseudo strike
66.76
IV
59.3%
B/E move
10.3%

35Δ

Calls
Pseudo strike
77.53
IV
57.2%
B/E move
11.7%
Puts
Pseudo strike
68.82
IV
48.6%
B/E move
7.4%

40Δ

Calls
Pseudo strike
74.98
IV
46.6%
B/E move
8.2%
Puts
Pseudo strike
70.27
IV
40.6%
B/E move
5.4%

45Δ

Calls
Pseudo strike
73.36
IV
38.9%
B/E move
5.9%
Puts
Pseudo strike
71.31
IV
34.5%
B/E move
3.9%

50Δ

Calls
Pseudo strike
72.23
IV
32.9%
B/E move
4.3%
Puts
Pseudo strike
72.11
IV
29.5%
B/E move
2.8%

55Δ

Calls
Pseudo strike
71.40
IV
29.1%
B/E move
3.3%
Puts
Pseudo strike
72.66
IV
25.9%
B/E move
2.1%

60Δ

Calls
Pseudo strike
70.72
IV
26.6%
B/E move
2.6%
Puts
Pseudo strike
73.14
IV
22.8%
B/E move
1.5%

65Δ

Calls
Pseudo strike
70.13
IV
24.8%
B/E move
2.0%
Puts
Pseudo strike
73.51
IV
20.5%
B/E move
1.1%

70Δ

Calls
Pseudo strike
69.29
IV
26.3%
B/E move
1.8%
Puts
Pseudo strike
73.88
IV
18.3%
B/E move
0.7%

75Δ

Calls
Pseudo strike
68.34
IV
27.9%
B/E move
1.5%
Puts
Pseudo strike
75.09
IV
22.2%
B/E move
0.6%

80Δ

Calls
Pseudo strike
67.21
IV
29.5%
B/E move
1.3%
Puts
Pseudo strike
75.41
IV
20.0%
B/E move
0.4%

Options history

EEMS19.1219.4319.732026-10-20: 19.69%2026-10-21: 19.16%Oct 20Oct 21
Table
DateIV
19.69%
19.16%