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iShares MSCI Brazil Small-Cap ETF EWZS

i

Market dataready · fetched 2026-11-13T19:11:08.766Z

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 · 2026-11-13T19:05:03.278598369Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-13T19:11:08.137723+00:00

Share price$10.86
1D-0.3%
$10.84$10.87$10.91$10.94$10.975:30 AM6:30 AM9:00 AM1:00 PMEWZS
Sold putSold call

iShares MSCI Brazil Small-Cap ETF options

Live interpolated EWZS call and put midpoint premiums by absolute delta.iShares MSCI Brazil Small-Cap ETF$0.08$0.29$0.51$0.72$0.94$9.82$10.37$10.91$11.45$11.9920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive EWZS spot · $10.86EWZS PRICE$0.10$0.12$0.14$0.16$0.19$0.22$0.29$0.35$0.41$0.48$0.54$0.60$0.67$0.12$0.15$0.19$0.23$0.26$0.30$0.34$0.37$0.47$0.57$0.67$0.77$0.87
PutsFair1.04×
CallsExpensive1.08×
SkewBullish-6.52 pp
Implied moveBearish±$0.62
TiltBearish10.9% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ16.12135.4%49.3%10.0766.2%8.4%
25Δ15.02115.5%39.4%10.2064.0%7.5%
30Δ13.9195.6%29.4%10.3361.7%6.6%
35Δ12.8175.7%19.5%10.4659.5%5.8%
40Δ11.7155.8%9.6%10.5957.2%4.9%
45Δ10.9742.6%3.0%10.7355.0%4.0%
50Δ10.8741.7%2.7%10.8652.7%3.1%
55Δ10.7840.9%2.5%10.9950.5%2.2%
60Δ10.6840.1%2.2%11.1249.8%1.9%
65Δ10.5939.2%1.9%11.2549.3%1.6%
70Δ10.5038.4%1.6%11.3848.7%1.4%
75Δ10.4037.5%1.3%11.5148.2%1.1%
80Δ10.3136.7%1.1%11.6447.6%0.8%

20Δ

Calls
Pseudo strike
16.12
IV
135.4%
B/E move
49.3%
Puts
Pseudo strike
10.07
IV
66.2%
B/E move
8.4%

25Δ

Calls
Pseudo strike
15.02
IV
115.5%
B/E move
39.4%
Puts
Pseudo strike
10.20
IV
64.0%
B/E move
7.5%

30Δ

Calls
Pseudo strike
13.91
IV
95.6%
B/E move
29.4%
Puts
Pseudo strike
10.33
IV
61.7%
B/E move
6.6%

35Δ

Calls
Pseudo strike
12.81
IV
75.7%
B/E move
19.5%
Puts
Pseudo strike
10.46
IV
59.5%
B/E move
5.8%

40Δ

Calls
Pseudo strike
11.71
IV
55.8%
B/E move
9.6%
Puts
Pseudo strike
10.59
IV
57.2%
B/E move
4.9%

45Δ

Calls
Pseudo strike
10.97
IV
42.6%
B/E move
3.0%
Puts
Pseudo strike
10.73
IV
55.0%
B/E move
4.0%

50Δ

Calls
Pseudo strike
10.87
IV
41.7%
B/E move
2.7%
Puts
Pseudo strike
10.86
IV
52.7%
B/E move
3.1%

55Δ

Calls
Pseudo strike
10.78
IV
40.9%
B/E move
2.5%
Puts
Pseudo strike
10.99
IV
50.5%
B/E move
2.2%

60Δ

Calls
Pseudo strike
10.68
IV
40.1%
B/E move
2.2%
Puts
Pseudo strike
11.12
IV
49.8%
B/E move
1.9%

65Δ

Calls
Pseudo strike
10.59
IV
39.2%
B/E move
1.9%
Puts
Pseudo strike
11.25
IV
49.3%
B/E move
1.6%

70Δ

Calls
Pseudo strike
10.50
IV
38.4%
B/E move
1.6%
Puts
Pseudo strike
11.38
IV
48.7%
B/E move
1.4%

75Δ

Calls
Pseudo strike
10.40
IV
37.5%
B/E move
1.3%
Puts
Pseudo strike
11.51
IV
48.2%
B/E move
1.1%

80Δ

Calls
Pseudo strike
10.31
IV
36.7%
B/E move
1.1%
Puts
Pseudo strike
11.64
IV
47.6%
B/E move
0.8%

Options history

IV · four-Friday blend41.59%
Daily close
EWZS39.2%56.6%74.0%2026-08-17: 52.02%2026-08-18: 55.96%2026-08-19: 59.16%2026-08-20: 65.09%2026-08-21: 44.64%2026-08-26: 47.66%2026-08-27: 43.80%2026-08-28: 44.49%2026-08-31: 43.37%2026-09-01: 44.53%2026-09-02: 49.20%2026-09-03: 48.65%2026-09-04: 47.50%2026-09-08: 51.00%2026-09-14: 59.11%2026-09-16: 63.92%2026-09-18: 51.00%2026-09-21: 53.84%2026-09-22: 53.89%2026-09-23: 54.24%2026-09-24: 56.95%2026-09-25: 57.51%2026-09-28: 60.40%2026-09-29: 60.22%2026-09-30: 60.03%2026-10-01: 61.28%2026-10-02: 66.41%2026-10-05: 46.52%2026-10-06: 45.76%2026-10-07: 45.22%2026-10-08: 50.71%2026-10-09: 49.26%2026-10-12: 49.27%2026-10-13: 50.51%2026-10-14: 63.27%2026-10-16: 68.66%2026-10-19: 66.91%2026-10-20: 71.61%2026-10-21: 66.79%2026-10-22: 70.24%2026-10-23: 71.54%2026-10-26: 48.25%2026-10-27: 43.57%2026-10-28: 46.25%2026-10-29: 48.59%2026-10-30: 41.59%Aug 17Sep 28Oct 30
46 observations2026-08-17 — 2026-10-30
Table
DateIV (%)
52.02%
55.96%
59.16%
65.09%
44.64%
47.66%
43.80%
44.49%
43.37%
44.53%
49.20%
48.65%
47.50%
51.00%
59.11%
63.92%
51.00%
53.84%
53.89%
54.24%
56.95%
57.51%
60.40%
60.22%
60.03%
61.28%
66.41%
46.52%
45.76%
45.22%
50.71%
49.26%
49.27%
50.51%
63.27%
68.66%
66.91%
71.61%
66.79%
70.24%
71.54%
48.25%
43.57%
46.25%
48.59%
41.59%