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First Trust Small Cap Growth AlphaDEX Fund FYC

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Market dataready · fetched 2026-11-12T16:03:40.392Z

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 · 2026-11-12T16:00:15.712490107Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T16:03:39.577711+00:00

Share price$114.92
1D+0.1%
$113.60$113.95$114.31$114.66$115.025:30 AM6:30 AM9:00 AM1:00 PMFYC
Sold putSold call

First Trust Small Cap Growth AlphaDEX Fund options

Live interpolated FYC call and put midpoint premiums by absolute delta.First Trust Small Cap Growth AlphaDEX Fund$0.31$1.25$2.18$3.12$4.05$107.54$111.03$114.53$118.02$121.5120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive FYC spot · $114.92FYC PRICE$0.42$0.48$0.55$0.63$0.79$0.98$1.17$1.36$1.56$1.76$2.03$2.30$2.62$0.53$0.64$0.75$0.98$1.21$1.37$1.54$1.79$2.05$2.59$3.03$3.38$3.78
PutsCheap0.67×
CallsCheap0.57×
SkewBearish+6.14 pp
Implied moveBearish±$2.71
TiltBearish17.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ118.3722.1%3.4%111.2427.2%3.7%
25Δ117.3318.9%2.5%112.2424.9%2.9%
30Δ116.6617.2%2.0%113.1022.3%2.2%
35Δ116.1316.0%1.6%113.5723.5%2.0%
40Δ115.7416.2%1.4%114.0424.5%1.8%
45Δ115.4016.8%1.3%114.5623.3%1.5%
50Δ115.0517.4%1.1%115.0822.2%1.2%
55Δ114.6917.4%1.0%115.5522.0%1.0%
60Δ114.3217.1%0.8%116.0321.9%0.8%
65Δ113.9516.9%0.7%116.6823.6%0.7%
70Δ113.5516.8%0.6%117.2724.1%0.6%
75Δ113.1516.6%0.5%117.8123.3%0.4%
80Δ112.7216.2%0.4%118.3822.5%0.3%

20Δ

Calls
Pseudo strike
118.37
IV
22.1%
B/E move
3.4%
Puts
Pseudo strike
111.24
IV
27.2%
B/E move
3.7%

25Δ

Calls
Pseudo strike
117.33
IV
18.9%
B/E move
2.5%
Puts
Pseudo strike
112.24
IV
24.9%
B/E move
2.9%

30Δ

Calls
Pseudo strike
116.66
IV
17.2%
B/E move
2.0%
Puts
Pseudo strike
113.10
IV
22.3%
B/E move
2.2%

35Δ

Calls
Pseudo strike
116.13
IV
16.0%
B/E move
1.6%
Puts
Pseudo strike
113.57
IV
23.5%
B/E move
2.0%

40Δ

Calls
Pseudo strike
115.74
IV
16.2%
B/E move
1.4%
Puts
Pseudo strike
114.04
IV
24.5%
B/E move
1.8%

45Δ

Calls
Pseudo strike
115.40
IV
16.8%
B/E move
1.3%
Puts
Pseudo strike
114.56
IV
23.3%
B/E move
1.5%

50Δ

Calls
Pseudo strike
115.05
IV
17.4%
B/E move
1.1%
Puts
Pseudo strike
115.08
IV
22.2%
B/E move
1.2%

55Δ

Calls
Pseudo strike
114.69
IV
17.4%
B/E move
1.0%
Puts
Pseudo strike
115.55
IV
22.0%
B/E move
1.0%

60Δ

Calls
Pseudo strike
114.32
IV
17.1%
B/E move
0.8%
Puts
Pseudo strike
116.03
IV
21.9%
B/E move
0.8%

65Δ

Calls
Pseudo strike
113.95
IV
16.9%
B/E move
0.7%
Puts
Pseudo strike
116.68
IV
23.6%
B/E move
0.7%

70Δ

Calls
Pseudo strike
113.55
IV
16.8%
B/E move
0.6%
Puts
Pseudo strike
117.27
IV
24.1%
B/E move
0.6%

75Δ

Calls
Pseudo strike
113.15
IV
16.6%
B/E move
0.5%
Puts
Pseudo strike
117.81
IV
23.3%
B/E move
0.4%

80Δ

Calls
Pseudo strike
112.72
IV
16.2%
B/E move
0.4%
Puts
Pseudo strike
118.38
IV
22.5%
B/E move
0.3%

Options history

IV · four-Friday blend22.10%
Daily close
FYC14.3%18.8%23.2%2026-08-14: 14.96%2026-08-17: 16.07%2026-08-18: 16.20%2026-08-19: 16.66%2026-08-20: 18.58%2026-08-21: 16.83%2026-08-24: 16.97%2026-08-25: 16.91%2026-08-26: 16.19%2026-08-27: 16.03%2026-08-28: 16.52%2026-08-31: 16.54%2026-09-01: 17.30%2026-09-02: 16.48%2026-09-03: 16.21%2026-09-04: 15.70%2026-09-08: 16.85%2026-09-09: 17.86%2026-09-10: 18.87%2026-09-11: 17.64%2026-09-14: 18.47%2026-09-15: 19.19%2026-09-16: 18.91%2026-09-17: 22.62%2026-09-18: 19.61%2026-09-21: 19.83%2026-09-22: 19.87%2026-09-23: 20.71%2026-09-24: 21.00%2026-09-25: 20.90%2026-09-28: 21.30%2026-09-29: 21.60%2026-09-30: 21.54%2026-10-01: 21.67%2026-10-02: 20.53%2026-10-05: 20.74%2026-10-06: 21.17%2026-10-07: 21.31%2026-10-09: 20.43%2026-10-12: 20.83%2026-10-16: 21.94%2026-10-19: 21.15%2026-10-20: 21.34%2026-10-21: 21.35%2026-10-22: 22.29%2026-10-23: 22.49%2026-10-26: 21.95%2026-10-27: 21.32%2026-10-28: 20.71%2026-10-29: 20.85%2026-10-30: 22.10%Aug 14Sep 21Oct 30
51 observations2026-08-14 — 2026-10-30
Table
DateIV (%)
14.96%
16.07%
16.20%
16.66%
18.58%
16.83%
16.97%
16.91%
16.19%
16.03%
16.52%
16.54%
17.30%
16.48%
16.21%
15.70%
16.85%
17.86%
18.87%
17.64%
18.47%
19.19%
18.91%
22.62%
19.61%
19.83%
19.87%
20.71%
21.00%
20.90%
21.30%
21.60%
21.54%
21.67%
20.53%
20.74%
21.17%
21.31%
20.43%
20.83%
21.94%
21.15%
21.34%
21.35%
22.29%
22.49%
21.95%
21.32%
20.71%
20.85%
22.10%