IntraAlpha
Create free account Start free

iShares Convertible Bond ETF ICVT

i

Market dataready · fetched 2026-11-11T13:52:53.305Z

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 · 2026-11-11T09:21:44.744568154Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T13:52:52.819971+00:00

Share price$103.94
1D
Price history unavailable.

iShares Convertible Bond ETF options

Live interpolated ICVT call and put midpoint premiums by absolute delta.iShares Convertible Bond ETF$2.33$3.41$4.49$5.57$6.65$99.50$101.76$104.02$106.28$108.5420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICELive ICVT spot · $103.94ICVT PRICE$2.45$2.45$2.45$2.45$2.45$2.45$2.45$2.45$2.45$2.45$2.45$2.45$2.45$2.45$2.45$2.45$2.51$2.72$3.29$3.96$4.67$6.34
Puts——
Calls——
Skew——
Implied moveBalanced±$4.96
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ90.14120.5%15.6%
25Δ95.2791.9%10.7%
30Δ112.5583.1%10.6%98.5573.0%7.5%
35Δ109.0166.4%7.2%100.7659.5%5.4%
40Δ106.8054.5%5.1%102.2949.6%3.9%
45Δ105.3245.6%3.7%103.3842.0%2.9%
50Δ104.2938.6%2.7%104.2236.8%2.2%
55Δ103.5833.2%2.0%104.9034.5%1.7%
60Δ102.9928.3%1.4%105.7235.8%1.5%
65Δ102.7025.1%1.2%106.6137.3%1.2%
70Δ102.4021.8%0.9%107.5738.2%1.0%
75Δ102.1118.6%0.6%109.3444.5%0.9%
80Δ

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
90.14
IV
120.5%
B/E move
15.6%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
95.27
IV
91.9%
B/E move
10.7%

30Δ

Calls
Pseudo strike
112.55
IV
83.1%
B/E move
10.6%
Puts
Pseudo strike
98.55
IV
73.0%
B/E move
7.5%

35Δ

Calls
Pseudo strike
109.01
IV
66.4%
B/E move
7.2%
Puts
Pseudo strike
100.76
IV
59.5%
B/E move
5.4%

40Δ

Calls
Pseudo strike
106.80
IV
54.5%
B/E move
5.1%
Puts
Pseudo strike
102.29
IV
49.6%
B/E move
3.9%

45Δ

Calls
Pseudo strike
105.32
IV
45.6%
B/E move
3.7%
Puts
Pseudo strike
103.38
IV
42.0%
B/E move
2.9%

50Δ

Calls
Pseudo strike
104.29
IV
38.6%
B/E move
2.7%
Puts
Pseudo strike
104.22
IV
36.8%
B/E move
2.2%

55Δ

Calls
Pseudo strike
103.58
IV
33.2%
B/E move
2.0%
Puts
Pseudo strike
104.90
IV
34.5%
B/E move
1.7%

60Δ

Calls
Pseudo strike
102.99
IV
28.3%
B/E move
1.4%
Puts
Pseudo strike
105.72
IV
35.8%
B/E move
1.5%

65Δ

Calls
Pseudo strike
102.70
IV
25.1%
B/E move
1.2%
Puts
Pseudo strike
106.61
IV
37.3%
B/E move
1.2%

70Δ

Calls
Pseudo strike
102.40
IV
21.8%
B/E move
0.9%
Puts
Pseudo strike
107.57
IV
38.2%
B/E move
1.0%

75Δ

Calls
Pseudo strike
102.11
IV
18.6%
B/E move
0.6%
Puts
Pseudo strike
109.34
IV
44.5%
B/E move
0.9%

80Δ

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

Options history

IV · four-Friday blend20.84%
Daily close
ICVT17.1%31.7%46.4%2026-08-13: 23.11%2026-08-14: 23.93%2026-08-17: 27.18%2026-08-18: 30.48%2026-08-19: 33.97%2026-08-20: 41.27%2026-08-21: 20.07%2026-08-24: 20.47%2026-08-25: 20.23%2026-08-26: 20.02%2026-08-27: 20.15%2026-08-28: 20.73%2026-08-31: 20.47%2026-09-01: 21.27%2026-09-02: 20.89%2026-09-03: 20.83%2026-09-04: 21.38%2026-09-08: 22.20%2026-09-09: 22.76%2026-09-10: 23.40%2026-09-11: 23.87%2026-09-14: 27.95%2026-09-15: 29.99%2026-09-16: 33.69%2026-09-17: 40.45%2026-09-18: 19.44%2026-09-21: 19.44%2026-09-22: 19.54%2026-09-23: 19.10%2026-09-24: 19.48%2026-09-25: 19.25%2026-09-28: 20.72%2026-09-29: 20.60%2026-09-30: 21.13%2026-10-01: 21.41%2026-10-02: 20.71%2026-10-05: 21.97%2026-10-06: 21.65%2026-10-07: 23.18%2026-10-08: 24.59%2026-10-09: 24.65%2026-10-12: 28.24%2026-10-13: 30.81%2026-10-15: 44.37%2026-10-16: 21.10%2026-10-19: 20.70%2026-10-20: 20.88%2026-10-21: 19.35%2026-10-22: 20.74%2026-10-23: 20.92%2026-10-26: 20.96%2026-10-27: 20.67%2026-10-28: 20.39%2026-10-29: 19.96%2026-10-30: 20.84%Aug 13Sep 22Oct 30
55 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
23.11%
23.93%
27.18%
30.48%
33.97%
41.27%
20.07%
20.47%
20.23%
20.02%
20.15%
20.73%
20.47%
21.27%
20.89%
20.83%
21.38%
22.20%
22.76%
23.40%
23.87%
27.95%
29.99%
33.69%
40.45%
19.44%
19.44%
19.54%
19.10%
19.48%
19.25%
20.72%
20.60%
21.13%
21.41%
20.71%
21.97%
21.65%
23.18%
24.59%
24.65%
28.24%
30.81%
44.37%
21.10%
20.70%
20.88%
19.35%
20.74%
20.92%
20.96%
20.67%
20.39%
19.96%
20.84%