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First Trust Multi Cap Value AlphaDEX Fund FAB

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Market dataready · fetched 2026-11-12T02:07:23.614Z

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 · 2026-11-11T21:00:00.083826569Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T02:07:23.242966+00:00

Share price$107.83
1D+0.2%
AH$107.06$107.24$107.41$107.58$107.755:30 AM6:30 AM9:00 AM1:00 PM2:00 PMFAB
Sold putSold callAH

First Trust Multi Cap Value AlphaDEX Fund options

Live interpolated FAB call and put midpoint premiums by absolute delta.First Trust Multi Cap Value AlphaDEX Fund$0.93$1.43$1.94$2.45$2.96$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICEFAB PRICE$1.56$1.73$1.92$2.12$2.33$2.82$0.98$1.12$1.26$1.40$1.54$1.67$1.81$1.95$2.09$2.23$2.37$2.69
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ103.3739.7%5.0%
30Δ104.0137.4%4.6%
35Δ104.6435.2%4.1%
40Δ105.2832.9%3.7%
45Δ105.9230.6%3.2%
50Δ106.5628.4%2.7%
55Δ107.5920.5%1.2%107.1926.1%2.3%
60Δ107.1819.6%1.0%107.8323.8%1.8%
65Δ106.7918.7%0.8%108.4721.5%1.3%
70Δ106.4217.9%0.7%109.1119.3%0.9%
75Δ106.0417.0%0.5%109.7417.0%0.4%
80Δ105.4517.6%0.4%110.3216.1%0.2%

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
103.37
IV
39.7%
B/E move
5.0%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
104.01
IV
37.4%
B/E move
4.6%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
104.64
IV
35.2%
B/E move
4.1%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
105.28
IV
32.9%
B/E move
3.7%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
105.92
IV
30.6%
B/E move
3.2%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
106.56
IV
28.4%
B/E move
2.7%

55Δ

Calls
Pseudo strike
107.59
IV
20.5%
B/E move
1.2%
Puts
Pseudo strike
107.19
IV
26.1%
B/E move
2.3%

60Δ

Calls
Pseudo strike
107.18
IV
19.6%
B/E move
1.0%
Puts
Pseudo strike
107.83
IV
23.8%
B/E move
1.8%

65Δ

Calls
Pseudo strike
106.79
IV
18.7%
B/E move
0.8%
Puts
Pseudo strike
108.47
IV
21.5%
B/E move
1.3%

70Δ

Calls
Pseudo strike
106.42
IV
17.9%
B/E move
0.7%
Puts
Pseudo strike
109.11
IV
19.3%
B/E move
0.9%

75Δ

Calls
Pseudo strike
106.04
IV
17.0%
B/E move
0.5%
Puts
Pseudo strike
109.74
IV
17.0%
B/E move
0.4%

80Δ

Calls
Pseudo strike
105.45
IV
17.6%
B/E move
0.4%
Puts
Pseudo strike
110.32
IV
16.1%
B/E move
0.2%

Options history

IV · four-Friday blend18.18%
Daily close
FAB14.8%20.8%26.8%2026-08-13: 16.17%2026-08-14: 17.04%2026-08-17: 18.85%2026-08-18: 19.91%2026-08-19: 20.97%2026-08-20: 24.41%2026-08-21: 16.28%2026-08-24: 16.39%2026-08-25: 16.63%2026-08-26: 16.33%2026-08-27: 16.48%2026-08-28: 16.26%2026-08-31: 16.66%2026-09-01: 16.91%2026-09-02: 16.62%2026-09-03: 15.65%2026-09-04: 16.42%2026-09-08: 17.66%2026-09-09: 18.66%2026-09-10: 18.88%2026-09-11: 18.48%2026-09-14: 20.17%2026-09-15: 20.86%2026-09-16: 22.71%2026-09-17: 25.98%2026-09-18: 16.93%2026-09-21: 16.21%2026-09-22: 16.40%2026-09-23: 16.38%2026-09-24: 17.26%2026-09-25: 16.17%2026-09-28: 16.58%2026-09-29: 17.20%2026-09-30: 21.61%2026-10-01: 17.29%2026-10-02: 17.14%2026-10-05: 18.03%2026-10-06: 17.41%2026-10-07: 17.98%2026-10-08: 18.44%2026-10-09: 18.55%2026-10-12: 19.56%2026-10-13: 20.08%2026-10-14: 21.63%2026-10-15: 24.79%2026-10-16: 17.22%2026-10-19: 16.99%2026-10-20: 15.89%2026-10-21: 15.77%2026-10-23: 16.34%2026-10-26: 18.45%2026-10-27: 18.00%2026-10-28: 17.72%2026-10-29: 17.05%2026-10-30: 18.18%Aug 13Sep 22Oct 30
55 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
16.17%
17.04%
18.85%
19.91%
20.97%
24.41%
16.28%
16.39%
16.63%
16.33%
16.48%
16.26%
16.66%
16.91%
16.62%
15.65%
16.42%
17.66%
18.66%
18.88%
18.48%
20.17%
20.86%
22.71%
25.98%
16.93%
16.21%
16.40%
16.38%
17.26%
16.17%
16.58%
17.20%
21.61%
17.29%
17.14%
18.03%
17.41%
17.98%
18.44%
18.55%
19.56%
20.08%
21.63%
24.79%
17.22%
16.99%
15.89%
15.77%
16.34%
18.45%
18.00%
17.72%
17.05%
18.18%