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iShares S&P Small-Cap 600 Value ETF IJS

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Market dataready · fetched 2026-11-11T13:46:24.157Z

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 · 2026-11-11T01:00:00.067751439Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T13:46:23.593159+00:00

Share price$133.50
1D+0.4%
AH$132.06$132.47$132.88$133.29$133.705:30 AM6:30 AM9:00 AM1:00 PM2:00 PMIJS
Sold putSold callAH

iShares S&P Small-Cap 600 Value ETF options

Live interpolated IJS call and put midpoint premiums by absolute delta.iShares S&P Small-Cap 600 Value ETF$0.69$2.80$4.90$7.01$9.12$122.49$128.42$134.34$140.27$146.2020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive IJS spot · $133.50IJS PRICE$0.92$1.15$1.39$1.62$1.89$2.17$2.45$2.73$3.01$3.29$3.57$3.85$1.43$1.52$1.63$1.83$2.06$2.30$2.53$2.76$3.16$4.25$5.34$6.43$8.51
PutsCheap0.87×
Calls——
Skew——
Implied moveBearish±$4.70
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ124.2257.6%8.0%
25Δ138.1327.4%4.2%127.4246.4%5.7%
30Δ137.1927.3%3.6%129.5339.1%4.2%
35Δ136.2527.2%3.1%130.7035.9%3.5%
40Δ135.3127.1%2.6%131.5933.9%3.0%
45Δ134.5926.4%2.2%132.4931.8%2.5%
50Δ133.9825.4%2.0%133.3829.8%2.0%
55Δ133.3724.4%1.7%134.2827.8%1.5%
60Δ132.7623.4%1.5%135.2426.6%1.1%
65Δ132.1522.4%1.2%136.5129.1%0.9%
70Δ131.5421.4%1.0%137.7831.6%0.8%
75Δ130.9320.5%0.8%139.0534.0%0.7%
80Δ130.3219.5%0.5%141.2639.7%0.6%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
124.22
IV
57.6%
B/E move
8.0%

25Δ

Calls
Pseudo strike
138.13
IV
27.4%
B/E move
4.2%
Puts
Pseudo strike
127.42
IV
46.4%
B/E move
5.7%

30Δ

Calls
Pseudo strike
137.19
IV
27.3%
B/E move
3.6%
Puts
Pseudo strike
129.53
IV
39.1%
B/E move
4.2%

35Δ

Calls
Pseudo strike
136.25
IV
27.2%
B/E move
3.1%
Puts
Pseudo strike
130.70
IV
35.9%
B/E move
3.5%

40Δ

Calls
Pseudo strike
135.31
IV
27.1%
B/E move
2.6%
Puts
Pseudo strike
131.59
IV
33.9%
B/E move
3.0%

45Δ

Calls
Pseudo strike
134.59
IV
26.4%
B/E move
2.2%
Puts
Pseudo strike
132.49
IV
31.8%
B/E move
2.5%

50Δ

Calls
Pseudo strike
133.98
IV
25.4%
B/E move
2.0%
Puts
Pseudo strike
133.38
IV
29.8%
B/E move
2.0%

55Δ

Calls
Pseudo strike
133.37
IV
24.4%
B/E move
1.7%
Puts
Pseudo strike
134.28
IV
27.8%
B/E move
1.5%

60Δ

Calls
Pseudo strike
132.76
IV
23.4%
B/E move
1.5%
Puts
Pseudo strike
135.24
IV
26.6%
B/E move
1.1%

65Δ

Calls
Pseudo strike
132.15
IV
22.4%
B/E move
1.2%
Puts
Pseudo strike
136.51
IV
29.1%
B/E move
0.9%

70Δ

Calls
Pseudo strike
131.54
IV
21.4%
B/E move
1.0%
Puts
Pseudo strike
137.78
IV
31.6%
B/E move
0.8%

75Δ

Calls
Pseudo strike
130.93
IV
20.5%
B/E move
0.8%
Puts
Pseudo strike
139.05
IV
34.0%
B/E move
0.7%

80Δ

Calls
Pseudo strike
130.32
IV
19.5%
B/E move
0.5%
Puts
Pseudo strike
141.26
IV
39.7%
B/E move
0.6%

Options history

IV · four-Friday blend20.99%
Daily close
IJS17.3%22.0%26.8%2026-08-13: 19.63%2026-08-17: 18.73%2026-08-20: 22.76%2026-08-21: 18.70%2026-08-24: 19.22%2026-08-25: 19.29%2026-08-26: 19.21%2026-08-27: 18.80%2026-08-28: 18.62%2026-08-31: 19.26%2026-09-01: 20.17%2026-09-02: 19.64%2026-09-03: 20.09%2026-09-04: 17.93%2026-09-08: 21.86%2026-09-09: 21.23%2026-09-10: 21.29%2026-09-11: 22.28%2026-09-14: 20.18%2026-09-15: 25.74%2026-09-16: 24.04%2026-09-17: 26.15%2026-09-18: 20.64%2026-09-21: 18.78%2026-09-22: 20.77%2026-09-23: 19.39%2026-09-24: 20.04%2026-09-25: 19.52%2026-09-28: 19.81%2026-09-29: 18.61%2026-09-30: 18.61%2026-10-01: 20.00%2026-10-02: 18.41%2026-10-05: 19.45%2026-10-06: 19.52%2026-10-07: 18.85%2026-10-08: 19.70%2026-10-09: 19.92%2026-10-12: 23.78%2026-10-13: 20.39%2026-10-14: 24.49%2026-10-15: 25.84%2026-10-16: 19.75%2026-10-19: 20.28%2026-10-20: 19.80%2026-10-21: 19.63%2026-10-22: 21.07%2026-10-23: 20.31%2026-10-26: 19.15%2026-10-27: 20.40%2026-10-28: 19.81%2026-10-29: 18.73%2026-10-30: 20.99%Aug 13Sep 24Oct 30
53 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
19.63%
18.73%
22.76%
18.70%
19.22%
19.29%
19.21%
18.80%
18.62%
19.26%
20.17%
19.64%
20.09%
17.93%
21.86%
21.23%
21.29%
22.28%
20.18%
25.74%
24.04%
26.15%
20.64%
18.78%
20.77%
19.39%
20.04%
19.52%
19.81%
18.61%
18.61%
20.00%
18.41%
19.45%
19.52%
18.85%
19.70%
19.92%
23.78%
20.39%
24.49%
25.84%
19.75%
20.28%
19.80%
19.63%
21.07%
20.31%
19.15%
20.40%
19.81%
18.73%
20.99%