IntraAlpha
Create free account Start free

ProShares Ultra MSCI EAFE EFO

i

Market dataready · fetched 2026-11-12T16:05:23.198Z

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 · 2026-11-12T01:00:00.122261501Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T16:05:21.655273+00:00

Share price$71.74
1D+0.7%
AH$70.91$71.06$71.20$71.35$71.495:30 AM6:30 AM9:00 AM1:00 PM2:00 PMEFO
Sold putSold callAH

ProShares Ultra MSCI EAFE options

Live interpolated EFO call and put midpoint premiums by absolute delta.ProShares Ultra MSCI EAFE$0.50$2.66$4.82$6.98$9.14$64.71$68.18$71.66$75.13$78.6120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive EFO spot · $71.74EFO PRICE$0.74$0.78$0.88$0.98$1.04$1.13$1.23$1.32$1.42$1.55$1.72$1.88$2.05$0.82$0.93$1.03$1.16$1.34$1.63$1.98$2.43$2.97$3.66$4.63$5.83$8.51
PutsExpensive1.10×
CallsCheap0.66×
SkewBearish+19.11 pp
Implied moveBearish±$3.20
TiltBearish37.7% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ78.2564.3%10.1%66.4365.4%8.5%
25Δ75.8350.8%6.8%68.1055.8%6.4%
30Δ74.5644.6%5.2%69.2748.7%4.9%
35Δ73.6640.0%4.0%70.1444.3%3.8%
40Δ72.8935.2%3.1%70.7942.6%3.2%
45Δ72.3732.2%2.5%71.3943.1%2.8%
50Δ71.9029.5%1.9%71.9644.6%2.4%
55Δ71.5527.5%1.6%72.6246.7%2.2%
60Δ71.2025.5%1.2%73.3449.0%1.9%
65Δ70.8823.9%1.0%74.2152.2%1.7%
70Δ70.5822.9%0.8%75.3357.0%1.4%
75Δ70.2921.8%0.6%76.7061.7%1.2%
80Δ70.0020.8%0.4%79.4676.2%1.1%

20Δ

Calls
Pseudo strike
78.25
IV
64.3%
B/E move
10.1%
Puts
Pseudo strike
66.43
IV
65.4%
B/E move
8.5%

25Δ

Calls
Pseudo strike
75.83
IV
50.8%
B/E move
6.8%
Puts
Pseudo strike
68.10
IV
55.8%
B/E move
6.4%

30Δ

Calls
Pseudo strike
74.56
IV
44.6%
B/E move
5.2%
Puts
Pseudo strike
69.27
IV
48.7%
B/E move
4.9%

35Δ

Calls
Pseudo strike
73.66
IV
40.0%
B/E move
4.0%
Puts
Pseudo strike
70.14
IV
44.3%
B/E move
3.8%

40Δ

Calls
Pseudo strike
72.89
IV
35.2%
B/E move
3.1%
Puts
Pseudo strike
70.79
IV
42.6%
B/E move
3.2%

45Δ

Calls
Pseudo strike
72.37
IV
32.2%
B/E move
2.5%
Puts
Pseudo strike
71.39
IV
43.1%
B/E move
2.8%

50Δ

Calls
Pseudo strike
71.90
IV
29.5%
B/E move
1.9%
Puts
Pseudo strike
71.96
IV
44.6%
B/E move
2.4%

55Δ

Calls
Pseudo strike
71.55
IV
27.5%
B/E move
1.6%
Puts
Pseudo strike
72.62
IV
46.7%
B/E move
2.2%

60Δ

Calls
Pseudo strike
71.20
IV
25.5%
B/E move
1.2%
Puts
Pseudo strike
73.34
IV
49.0%
B/E move
1.9%

65Δ

Calls
Pseudo strike
70.88
IV
23.9%
B/E move
1.0%
Puts
Pseudo strike
74.21
IV
52.2%
B/E move
1.7%

70Δ

Calls
Pseudo strike
70.58
IV
22.9%
B/E move
0.8%
Puts
Pseudo strike
75.33
IV
57.0%
B/E move
1.4%

75Δ

Calls
Pseudo strike
70.29
IV
21.8%
B/E move
0.6%
Puts
Pseudo strike
76.70
IV
61.7%
B/E move
1.2%

80Δ

Calls
Pseudo strike
70.00
IV
20.8%
B/E move
0.4%
Puts
Pseudo strike
79.46
IV
76.2%
B/E move
1.1%

Options history

IV · four-Friday blend31.43%
Daily close
EFO25.7%31.5%37.3%2026-08-14: 28.18%2026-08-17: 30.02%2026-08-18: 32.44%2026-08-19: 33.26%2026-08-20: 36.52%2026-08-21: 27.43%2026-08-24: 27.79%2026-08-25: 27.28%2026-08-26: 27.35%2026-08-27: 27.52%2026-08-28: 27.41%2026-08-31: 28.10%2026-09-01: 28.06%2026-09-02: 27.82%2026-09-03: 27.07%2026-09-04: 26.49%2026-09-08: 29.49%2026-09-09: 30.18%2026-09-10: 30.89%2026-09-11: 29.61%2026-09-14: 31.29%2026-09-15: 34.75%2026-09-17: 36.06%2026-09-18: 28.23%2026-09-21: 28.78%2026-09-22: 27.17%2026-09-23: 28.86%2026-09-24: 28.66%2026-09-25: 28.26%2026-09-28: 29.70%2026-09-29: 29.34%2026-09-30: 29.72%2026-10-01: 31.74%2026-10-02: 31.72%2026-10-05: 31.58%2026-10-06: 28.99%2026-10-07: 30.02%2026-10-08: 30.80%2026-10-09: 29.13%2026-10-12: 32.31%2026-10-13: 32.37%2026-10-14: 35.33%2026-10-15: 35.63%2026-10-16: 30.18%2026-10-19: 31.44%2026-10-20: 30.20%2026-10-21: 29.40%2026-10-22: 31.52%2026-10-23: 32.00%2026-10-26: 30.97%2026-10-27: 30.85%2026-10-28: 30.79%2026-10-29: 30.26%2026-10-30: 31.43%Aug 14Sep 23Oct 30
54 observations2026-08-14 — 2026-10-30
Table
DateIV (%)
28.18%
30.02%
32.44%
33.26%
36.52%
27.43%
27.79%
27.28%
27.35%
27.52%
27.41%
28.10%
28.06%
27.82%
27.07%
26.49%
29.49%
30.18%
30.89%
29.61%
31.29%
34.75%
36.06%
28.23%
28.78%
27.17%
28.86%
28.66%
28.26%
29.70%
29.34%
29.72%
31.74%
31.72%
31.58%
28.99%
30.02%
30.80%
29.13%
32.31%
32.37%
35.33%
35.63%
30.18%
31.44%
30.20%
29.40%
31.52%
32.00%
30.97%
30.85%
30.79%
30.26%
31.43%