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First Trust Europe AlphaDEX Fund FEP

i

Market dataready · fetched 2026-11-12T00:58:17.451Z

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 · 2026-11-11T21:00:00.719989335Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T00:58:16.969023+00:00

Share price$57.43
1D+0.5%
AH$56.98$57.13$57.27$57.42$57.565:30 AM6:30 AM9:00 AM1:00 PM2:00 PMFEP
Sold putSold callAH

First Trust Europe AlphaDEX Fund options

Live interpolated FEP call and put midpoint premiums by absolute delta.First Trust Europe AlphaDEX Fund$0.63$1.08$1.54$1.99$2.44$53.65$55.56$57.46$59.37$61.2820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive FEP spot · $57.43FEP PRICE$0.68$0.68$0.69$0.74$0.80$0.87$0.95$1.02$1.10$1.23$1.35$1.48$1.60$0.68$0.73$0.76$0.81$0.89$0.96$1.03$1.10$1.22$1.44$1.66$1.90$2.31
PutsExpensive1.41×
CallsCheap0.94×
SkewBearish+1.35 pp
Implied moveBearish±$1.98
TiltBearish8.0% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ63.5371.4%11.8%53.0864.7%8.7%
25Δ60.9752.8%7.3%54.5652.7%6.3%
30Δ59.6742.4%5.1%55.5743.8%4.6%
35Δ58.8836.4%3.8%56.2637.8%3.4%
40Δ58.3632.8%3.0%56.7734.2%2.7%
45Δ57.9129.7%2.4%57.1731.1%2.1%
50Δ57.6127.6%2.0%57.4828.6%1.7%
55Δ57.3025.5%1.6%57.7926.1%1.3%
60Δ57.0023.4%1.2%58.1024.4%1.0%
65Δ56.7722.3%1.0%58.4124.4%0.8%
70Δ56.5421.2%0.8%58.7224.5%0.6%
75Δ56.3120.1%0.6%59.0624.7%0.5%
80Δ56.0819.0%0.5%59.5525.4%0.3%

20Δ

Calls
Pseudo strike
63.53
IV
71.4%
B/E move
11.8%
Puts
Pseudo strike
53.08
IV
64.7%
B/E move
8.7%

25Δ

Calls
Pseudo strike
60.97
IV
52.8%
B/E move
7.3%
Puts
Pseudo strike
54.56
IV
52.7%
B/E move
6.3%

30Δ

Calls
Pseudo strike
59.67
IV
42.4%
B/E move
5.1%
Puts
Pseudo strike
55.57
IV
43.8%
B/E move
4.6%

35Δ

Calls
Pseudo strike
58.88
IV
36.4%
B/E move
3.8%
Puts
Pseudo strike
56.26
IV
37.8%
B/E move
3.4%

40Δ

Calls
Pseudo strike
58.36
IV
32.8%
B/E move
3.0%
Puts
Pseudo strike
56.77
IV
34.2%
B/E move
2.7%

45Δ

Calls
Pseudo strike
57.91
IV
29.7%
B/E move
2.4%
Puts
Pseudo strike
57.17
IV
31.1%
B/E move
2.1%

50Δ

Calls
Pseudo strike
57.61
IV
27.6%
B/E move
2.0%
Puts
Pseudo strike
57.48
IV
28.6%
B/E move
1.7%

55Δ

Calls
Pseudo strike
57.30
IV
25.5%
B/E move
1.6%
Puts
Pseudo strike
57.79
IV
26.1%
B/E move
1.3%

60Δ

Calls
Pseudo strike
57.00
IV
23.4%
B/E move
1.2%
Puts
Pseudo strike
58.10
IV
24.4%
B/E move
1.0%

65Δ

Calls
Pseudo strike
56.77
IV
22.3%
B/E move
1.0%
Puts
Pseudo strike
58.41
IV
24.4%
B/E move
0.8%

70Δ

Calls
Pseudo strike
56.54
IV
21.2%
B/E move
0.8%
Puts
Pseudo strike
58.72
IV
24.5%
B/E move
0.6%

75Δ

Calls
Pseudo strike
56.31
IV
20.1%
B/E move
0.6%
Puts
Pseudo strike
59.06
IV
24.7%
B/E move
0.5%

80Δ

Calls
Pseudo strike
56.08
IV
19.0%
B/E move
0.5%
Puts
Pseudo strike
59.55
IV
25.4%
B/E move
0.3%

Options history

IV · four-Friday blend19.61%
Daily close
FEP16.7%26.5%36.2%2026-08-13: 21.56%2026-08-14: 22.67%2026-08-17: 25.22%2026-08-18: 26.67%2026-08-19: 29.99%2026-08-20: 33.06%2026-08-21: 19.25%2026-08-24: 19.47%2026-08-25: 19.17%2026-08-26: 19.05%2026-08-27: 19.39%2026-08-28: 19.50%2026-08-31: 20.26%2026-09-01: 20.46%2026-09-02: 20.91%2026-09-03: 20.05%2026-09-04: 19.87%2026-09-08: 21.08%2026-09-09: 22.16%2026-09-10: 22.97%2026-09-11: 23.16%2026-09-14: 26.12%2026-09-15: 28.51%2026-09-16: 30.02%2026-09-17: 34.83%2026-09-18: 19.59%2026-09-21: 20.15%2026-09-22: 18.08%2026-09-23: 18.56%2026-09-24: 18.88%2026-09-25: 18.44%2026-09-28: 19.02%2026-09-29: 19.01%2026-09-30: 19.65%2026-10-01: 20.84%2026-10-02: 20.56%2026-10-05: 21.05%2026-10-06: 20.71%2026-10-07: 21.73%2026-10-08: 21.92%2026-10-09: 22.00%2026-10-12: 24.40%2026-10-13: 25.68%2026-10-14: 27.54%2026-10-15: 33.03%2026-10-16: 18.62%2026-10-19: 19.29%2026-10-20: 19.18%2026-10-21: 18.99%2026-10-22: 19.54%2026-10-23: 19.64%2026-10-26: 19.71%2026-10-27: 19.49%2026-10-28: 19.14%2026-10-29: 19.13%2026-10-30: 19.61%Aug 13Sep 22Oct 30
56 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
21.56%
22.67%
25.22%
26.67%
29.99%
33.06%
19.25%
19.47%
19.17%
19.05%
19.39%
19.50%
20.26%
20.46%
20.91%
20.05%
19.87%
21.08%
22.16%
22.97%
23.16%
26.12%
28.51%
30.02%
34.83%
19.59%
20.15%
18.08%
18.56%
18.88%
18.44%
19.02%
19.01%
19.65%
20.84%
20.56%
21.05%
20.71%
21.73%
21.92%
22.00%
24.40%
25.68%
27.54%
33.03%
18.62%
19.29%
19.18%
18.99%
19.54%
19.64%
19.71%
19.49%
19.14%
19.13%
19.61%