IntraAlpha
Create free account Start free

iShares Emerging Markets Equity Factor ETF EMGF

i

Market dataready · fetched 2026-11-12T02:02:16.280Z

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 · 2026-11-12T01:00:02.459178544Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T02:02:15.893869+00:00

Share price$66.69
1D+2.6%
AH$64.84$65.41$65.99$66.56$67.135:30 AM6:30 AM9:00 AM1:00 PM2:00 PMEMGF
Sold putSold callAH

iShares Emerging Markets Equity Factor ETF options

Live interpolated EMGF call and put midpoint premiums by absolute delta.iShares Emerging Markets Equity Factor ETF$0.39$1.26$2.14$3.01$3.89$61.66$64.11$66.56$69.00$71.4520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive EMGF spot · $66.69EMGF PRICE$0.48$0.55$0.63$0.70$0.86$1.03$1.23$1.46$1.69$2.04$2.40$2.93$3.64$0.53$0.61$0.68$0.79$0.89$1.03$1.18$1.35$1.55$1.75$2.03$2.36$2.70
PutsFair1.02×
CallsCheap0.90×
SkewBullish-3.13 pp
Implied moveBullish±$2.40
TiltBullish5.9% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ70.7943.0%6.9%63.1144.8%6.2%
25Δ69.5236.7%5.1%64.2038.8%4.7%
30Δ68.7133.0%4.0%65.0433.7%3.5%
35Δ68.0229.4%3.0%65.5531.3%2.9%
40Δ67.6229.4%2.7%66.0529.1%2.3%
45Δ67.2229.6%2.3%66.4328.2%1.9%
50Δ66.8229.9%2.0%66.8027.3%1.6%
55Δ66.4230.5%1.8%67.1726.7%1.3%
60Δ66.0131.0%1.5%67.5226.4%1.1%
65Δ65.5332.1%1.3%67.8726.0%0.9%
70Δ65.0433.2%1.1%68.2826.0%0.7%
75Δ64.3835.2%0.9%68.7126.1%0.5%
80Δ63.5738.0%0.8%69.1625.9%0.4%

20Δ

Calls
Pseudo strike
70.79
IV
43.0%
B/E move
6.9%
Puts
Pseudo strike
63.11
IV
44.8%
B/E move
6.2%

25Δ

Calls
Pseudo strike
69.52
IV
36.7%
B/E move
5.1%
Puts
Pseudo strike
64.20
IV
38.8%
B/E move
4.7%

30Δ

Calls
Pseudo strike
68.71
IV
33.0%
B/E move
4.0%
Puts
Pseudo strike
65.04
IV
33.7%
B/E move
3.5%

35Δ

Calls
Pseudo strike
68.02
IV
29.4%
B/E move
3.0%
Puts
Pseudo strike
65.55
IV
31.3%
B/E move
2.9%

40Δ

Calls
Pseudo strike
67.62
IV
29.4%
B/E move
2.7%
Puts
Pseudo strike
66.05
IV
29.1%
B/E move
2.3%

45Δ

Calls
Pseudo strike
67.22
IV
29.6%
B/E move
2.3%
Puts
Pseudo strike
66.43
IV
28.2%
B/E move
1.9%

50Δ

Calls
Pseudo strike
66.82
IV
29.9%
B/E move
2.0%
Puts
Pseudo strike
66.80
IV
27.3%
B/E move
1.6%

55Δ

Calls
Pseudo strike
66.42
IV
30.5%
B/E move
1.8%
Puts
Pseudo strike
67.17
IV
26.7%
B/E move
1.3%

60Δ

Calls
Pseudo strike
66.01
IV
31.0%
B/E move
1.5%
Puts
Pseudo strike
67.52
IV
26.4%
B/E move
1.1%

65Δ

Calls
Pseudo strike
65.53
IV
32.1%
B/E move
1.3%
Puts
Pseudo strike
67.87
IV
26.0%
B/E move
0.9%

70Δ

Calls
Pseudo strike
65.04
IV
33.2%
B/E move
1.1%
Puts
Pseudo strike
68.28
IV
26.0%
B/E move
0.7%

75Δ

Calls
Pseudo strike
64.38
IV
35.2%
B/E move
0.9%
Puts
Pseudo strike
68.71
IV
26.1%
B/E move
0.5%

80Δ

Calls
Pseudo strike
63.57
IV
38.0%
B/E move
0.8%
Puts
Pseudo strike
69.16
IV
25.9%
B/E move
0.4%

Options history

IV · four-Friday blend26.85%
Daily close
EMGF19.5%24.6%29.7%2026-08-13: 26.63%2026-08-14: 25.19%2026-08-17: 26.49%2026-08-18: 27.63%2026-08-19: 27.90%2026-08-20: 28.96%2026-08-21: 24.72%2026-08-24: 24.46%2026-08-25: 24.04%2026-08-26: 23.50%2026-08-27: 22.94%2026-08-28: 22.56%2026-08-31: 22.70%2026-09-01: 21.41%2026-09-02: 21.34%2026-09-03: 20.25%2026-09-04: 20.51%2026-09-08: 22.37%2026-09-09: 22.86%2026-09-10: 23.41%2026-09-11: 22.81%2026-09-14: 24.83%2026-09-15: 25.83%2026-09-16: 26.96%2026-09-17: 28.04%2026-09-18: 22.81%2026-09-21: 23.14%2026-09-22: 23.03%2026-09-23: 23.43%2026-09-24: 23.51%2026-09-25: 22.86%2026-09-28: 23.48%2026-09-29: 23.63%2026-09-30: 23.75%2026-10-01: 23.22%2026-10-02: 22.52%2026-10-05: 22.67%2026-10-06: 22.02%2026-10-07: 22.29%2026-10-08: 22.02%2026-10-09: 22.36%2026-10-12: 23.13%2026-10-13: 23.56%2026-10-14: 25.27%2026-10-15: 28.68%2026-10-16: 24.07%2026-10-19: 23.65%2026-10-20: 23.76%2026-10-21: 23.25%2026-10-22: 24.75%2026-10-23: 24.97%2026-10-26: 25.71%2026-10-27: 24.80%2026-10-28: 24.80%2026-10-29: 24.97%2026-10-30: 26.85%Aug 13Sep 22Oct 30
56 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
26.63%
25.19%
26.49%
27.63%
27.90%
28.96%
24.72%
24.46%
24.04%
23.50%
22.94%
22.56%
22.70%
21.41%
21.34%
20.25%
20.51%
22.37%
22.86%
23.41%
22.81%
24.83%
25.83%
26.96%
28.04%
22.81%
23.14%
23.03%
23.43%
23.51%
22.86%
23.48%
23.63%
23.75%
23.22%
22.52%
22.67%
22.02%
22.29%
22.02%
22.36%
23.13%
23.56%
25.27%
28.68%
24.07%
23.65%
23.76%
23.25%
24.75%
24.97%
25.71%
24.80%
24.80%
24.97%
26.85%