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First Trust S&P REIT Index Fund FRI

i

Market dataready · fetched 2026-11-11T13:57:05.598Z

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 · 2026-11-11T01:00:00.176837593Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T13:57:05.219089+00:00

Share price$31.56
1D+0.7%
AH$31.29$31.37$31.45$31.53$31.615:30 AM6:30 AM9:00 AM1:00 PM2:00 PMFRI
Sold putSold callAH

First Trust S&P REIT Index Fund options

Live interpolated FRI call and put midpoint premiums by absolute delta.First Trust S&P REIT Index Fund$0.39$0.69$0.98$1.28$1.57$30.30$30.92$31.54$32.15$32.7720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICELive FRI spot · $31.56FRI PRICE$0.42$0.43$0.45$0.47$0.49$0.52$0.55$0.59$0.62$0.65$0.69$0.72$0.44$0.47$0.50$0.53$0.58$0.62$0.67$0.72$0.77$0.99$1.24$1.49
Puts——
Calls——
Skew——
Implied moveBearish±$1.23
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ35.5280.6%13.9%28.7675.0%10.3%
25Δ33.8860.1%8.7%29.7360.1%7.3%
30Δ33.0248.9%6.0%30.3251.0%5.5%
35Δ32.5842.4%4.7%30.7944.0%4.1%
40Δ32.1536.0%3.4%31.1239.3%3.2%
45Δ31.9032.2%2.7%31.3336.4%2.7%
50Δ31.7629.8%2.4%31.5433.4%2.2%
55Δ31.6127.4%2.0%31.7630.5%1.7%
60Δ31.4625.0%1.7%31.9727.6%1.1%
65Δ31.3122.6%1.3%32.2529.2%0.9%
70Δ31.1720.2%0.9%32.5531.5%0.8%
75Δ31.0217.9%0.6%32.8433.8%0.7%
80Δ

20Δ

Calls
Pseudo strike
35.52
IV
80.6%
B/E move
13.9%
Puts
Pseudo strike
28.76
IV
75.0%
B/E move
10.3%

25Δ

Calls
Pseudo strike
33.88
IV
60.1%
B/E move
8.7%
Puts
Pseudo strike
29.73
IV
60.1%
B/E move
7.3%

30Δ

Calls
Pseudo strike
33.02
IV
48.9%
B/E move
6.0%
Puts
Pseudo strike
30.32
IV
51.0%
B/E move
5.5%

35Δ

Calls
Pseudo strike
32.58
IV
42.4%
B/E move
4.7%
Puts
Pseudo strike
30.79
IV
44.0%
B/E move
4.1%

40Δ

Calls
Pseudo strike
32.15
IV
36.0%
B/E move
3.4%
Puts
Pseudo strike
31.12
IV
39.3%
B/E move
3.2%

45Δ

Calls
Pseudo strike
31.90
IV
32.2%
B/E move
2.7%
Puts
Pseudo strike
31.33
IV
36.4%
B/E move
2.7%

50Δ

Calls
Pseudo strike
31.76
IV
29.8%
B/E move
2.4%
Puts
Pseudo strike
31.54
IV
33.4%
B/E move
2.2%

55Δ

Calls
Pseudo strike
31.61
IV
27.4%
B/E move
2.0%
Puts
Pseudo strike
31.76
IV
30.5%
B/E move
1.7%

60Δ

Calls
Pseudo strike
31.46
IV
25.0%
B/E move
1.7%
Puts
Pseudo strike
31.97
IV
27.6%
B/E move
1.1%

65Δ

Calls
Pseudo strike
31.31
IV
22.6%
B/E move
1.3%
Puts
Pseudo strike
32.25
IV
29.2%
B/E move
0.9%

70Δ

Calls
Pseudo strike
31.17
IV
20.2%
B/E move
0.9%
Puts
Pseudo strike
32.55
IV
31.5%
B/E move
0.8%

75Δ

Calls
Pseudo strike
31.02
IV
17.9%
B/E move
0.6%
Puts
Pseudo strike
32.84
IV
33.8%
B/E move
0.7%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend22.84%
Daily close
FRI13.3%43.5%73.7%2026-08-13: 20.94%2026-08-14: 21.18%2026-08-17: 22.99%2026-08-18: 24.25%2026-08-19: 26.38%2026-08-20: 32.01%2026-08-21: 17.42%2026-08-24: 17.44%2026-08-25: 17.79%2026-08-26: 18.13%2026-08-27: 17.87%2026-08-28: 18.14%2026-08-31: 19.20%2026-09-01: 19.13%2026-09-02: 19.29%2026-09-03: 19.41%2026-09-04: 19.22%2026-09-08: 20.33%2026-09-10: 21.02%2026-09-11: 21.99%2026-09-14: 24.25%2026-09-15: 26.64%2026-09-16: 29.02%2026-09-17: 35.95%2026-09-18: 18.70%2026-09-21: 18.89%2026-09-22: 19.20%2026-09-23: 19.00%2026-09-25: 18.91%2026-09-28: 69.49%2026-09-29: 19.53%2026-09-30: 19.99%2026-10-01: 20.48%2026-10-02: 20.52%2026-10-05: 21.97%2026-10-06: 21.26%2026-10-08: 22.71%2026-10-09: 23.10%2026-10-14: 30.58%2026-10-15: 35.36%2026-10-16: 18.76%2026-10-19: 19.41%2026-10-20: 18.97%2026-10-21: 19.06%2026-10-22: 19.09%2026-10-23: 19.36%2026-10-26: 19.62%2026-10-27: 19.87%2026-10-28: 23.32%2026-10-29: 23.13%2026-10-30: 22.84%Aug 13Sep 21Oct 30
51 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
20.94%
21.18%
22.99%
24.25%
26.38%
32.01%
17.42%
17.44%
17.79%
18.13%
17.87%
18.14%
19.20%
19.13%
19.29%
19.41%
19.22%
20.33%
21.02%
21.99%
24.25%
26.64%
29.02%
35.95%
18.70%
18.89%
19.20%
19.00%
18.91%
69.49%
19.53%
19.99%
20.48%
20.52%
21.97%
21.26%
22.71%
23.10%
30.58%
35.36%
18.76%
19.41%
18.97%
19.06%
19.09%
19.36%
19.62%
19.87%
23.32%
23.13%
22.84%