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Fidelity Value Factor ETF FVAL

i

Market dataready · fetched 2026-11-11T13:47:07.568Z

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 · 2026-11-11T01:00:00.105582943Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T13:47:07.199841+00:00

Share price$81.28
1D+0.3%
AH$80.82$80.97$81.13$81.29$81.445:30 AM6:30 AM9:00 AM1:00 PM2:00 PMFVAL
Sold putSold callAH

Fidelity Value Factor ETF options

Live interpolated FVAL call and put midpoint premiums by absolute delta.Fidelity Value Factor ETF$0.70$1.43$2.15$2.88$3.61$76.95$78.96$80.97$82.98$84.9820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive FVAL spot · $81.28FVAL PRICE$0.78$0.81$0.90$0.95$1.02$1.14$1.25$1.34$1.43$1.51$1.60$1.88$0.80$0.83$0.89$0.97$1.03$1.08$1.18$1.27$1.38$1.59$1.80$2.10$3.40
PutsExpensive1.56×
Calls——
Skew——
Implied moveBalanced±$2.31
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ76.0453.1%7.4%
25Δ85.2941.5%5.9%78.0141.3%5.0%
30Δ83.8634.0%4.2%79.1335.0%3.7%
35Δ83.0030.2%3.2%79.9330.9%2.9%
40Δ82.3726.5%2.5%80.5027.4%2.2%
45Δ81.8423.8%2.0%81.0324.1%1.6%
50Δ81.4622.5%1.6%81.3722.4%1.3%
55Δ81.0921.2%1.3%81.7120.8%1.0%
60Δ80.8119.8%1.1%82.0519.3%0.8%
65Δ80.5618.4%0.9%82.3819.1%0.6%
70Δ80.3216.9%0.7%82.7019.0%0.5%
75Δ80.0715.5%0.5%83.1019.2%0.3%
80Δ79.7015.4%0.4%84.4624.2%0.3%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
76.04
IV
53.1%
B/E move
7.4%

25Δ

Calls
Pseudo strike
85.29
IV
41.5%
B/E move
5.9%
Puts
Pseudo strike
78.01
IV
41.3%
B/E move
5.0%

30Δ

Calls
Pseudo strike
83.86
IV
34.0%
B/E move
4.2%
Puts
Pseudo strike
79.13
IV
35.0%
B/E move
3.7%

35Δ

Calls
Pseudo strike
83.00
IV
30.2%
B/E move
3.2%
Puts
Pseudo strike
79.93
IV
30.9%
B/E move
2.9%

40Δ

Calls
Pseudo strike
82.37
IV
26.5%
B/E move
2.5%
Puts
Pseudo strike
80.50
IV
27.4%
B/E move
2.2%

45Δ

Calls
Pseudo strike
81.84
IV
23.8%
B/E move
2.0%
Puts
Pseudo strike
81.03
IV
24.1%
B/E move
1.6%

50Δ

Calls
Pseudo strike
81.46
IV
22.5%
B/E move
1.6%
Puts
Pseudo strike
81.37
IV
22.4%
B/E move
1.3%

55Δ

Calls
Pseudo strike
81.09
IV
21.2%
B/E move
1.3%
Puts
Pseudo strike
81.71
IV
20.8%
B/E move
1.0%

60Δ

Calls
Pseudo strike
80.81
IV
19.8%
B/E move
1.1%
Puts
Pseudo strike
82.05
IV
19.3%
B/E move
0.8%

65Δ

Calls
Pseudo strike
80.56
IV
18.4%
B/E move
0.9%
Puts
Pseudo strike
82.38
IV
19.1%
B/E move
0.6%

70Δ

Calls
Pseudo strike
80.32
IV
16.9%
B/E move
0.7%
Puts
Pseudo strike
82.70
IV
19.0%
B/E move
0.5%

75Δ

Calls
Pseudo strike
80.07
IV
15.5%
B/E move
0.5%
Puts
Pseudo strike
83.10
IV
19.2%
B/E move
0.3%

80Δ

Calls
Pseudo strike
79.70
IV
15.4%
B/E move
0.4%
Puts
Pseudo strike
84.46
IV
24.2%
B/E move
0.3%

Options history

IV · four-Friday blend14.92%
Daily close
FVAL12.2%18.8%25.4%2026-08-13: 16.77%2026-08-14: 17.31%2026-08-17: 19.64%2026-08-18: 20.33%2026-08-19: 20.81%2026-08-20: 23.50%2026-08-21: 14.61%2026-08-24: 14.90%2026-08-25: 14.91%2026-08-26: 14.59%2026-08-27: 14.51%2026-08-28: 14.28%2026-08-31: 14.76%2026-09-01: 14.88%2026-09-02: 14.87%2026-09-03: 14.57%2026-09-04: 14.87%2026-09-08: 15.81%2026-09-09: 16.65%2026-09-10: 17.09%2026-09-11: 17.28%2026-09-14: 18.77%2026-09-15: 19.89%2026-09-16: 21.95%2026-09-17: 24.48%2026-09-18: 14.85%2026-09-21: 15.14%2026-09-22: 15.09%2026-09-23: 14.58%2026-09-24: 13.16%2026-09-25: 13.24%2026-09-28: 15.20%2026-09-29: 15.49%2026-09-30: 15.43%2026-10-01: 15.93%2026-10-02: 14.84%2026-10-05: 15.84%2026-10-06: 16.05%2026-10-07: 16.23%2026-10-08: 16.50%2026-10-09: 16.62%2026-10-12: 16.21%2026-10-13: 18.12%2026-10-14: 19.32%2026-10-15: 22.18%2026-10-16: 13.34%2026-10-19: 13.26%2026-10-20: 13.35%2026-10-21: 13.15%2026-10-22: 13.70%2026-10-23: 13.97%2026-10-26: 14.83%2026-10-27: 14.76%2026-10-28: 14.69%2026-10-29: 14.64%2026-10-30: 14.92%Aug 13Sep 22Oct 30
56 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
16.77%
17.31%
19.64%
20.33%
20.81%
23.50%
14.61%
14.90%
14.91%
14.59%
14.51%
14.28%
14.76%
14.88%
14.87%
14.57%
14.87%
15.81%
16.65%
17.09%
17.28%
18.77%
19.89%
21.95%
24.48%
14.85%
15.14%
15.09%
14.58%
13.16%
13.24%
15.20%
15.49%
15.43%
15.93%
14.84%
15.84%
16.05%
16.23%
16.50%
16.62%
16.21%
18.12%
19.32%
22.18%
13.34%
13.26%
13.35%
13.15%
13.70%
13.97%
14.83%
14.76%
14.69%
14.64%
14.92%