IntraAlpha
Create free account Start free

iShares S&P 500 Value ETF IVE

i

Market dataready · fetched 2026-11-11T13:48:37.235Z

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 · 2026-11-11T01:00:00.169680253Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T13:48:36.804887+00:00

Share price$240.60
1D+0.4%
AH$238.69$239.25$239.80$240.35$240.915:30 AM6:30 AM9:00 AM1:00 PM2:00 PMIVE
Sold putSold callAH

iShares S&P 500 Value ETF options

Live interpolated IVE call and put midpoint premiums by absolute delta.iShares S&P 500 Value ETF$0.90$2.82$4.74$6.66$8.58$230.32$235.36$240.41$245.45$250.5020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive IVE spot · $240.60IVE PRICE$1.11$1.21$1.35$1.60$1.86$2.12$2.38$2.63$3.13$3.71$4.29$4.87$5.45$1.32$1.51$1.74$1.99$2.24$2.50$3.10$3.70$4.30$4.91$5.51$6.74$8.03
PutsExpensive1.48×
CallsCheap0.83×
SkewBearish+4.47 pp
Implied moveBearish±$5.48
TiltBearish14.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ249.8526.4%4.3%231.2230.8%4.4%
25Δ247.1922.2%3.2%234.2626.4%3.3%
30Δ244.8418.7%2.3%236.0224.0%2.6%
35Δ243.9218.0%2.0%237.3622.4%2.2%
40Δ243.0017.3%1.8%238.7020.7%1.7%
45Δ242.0816.6%1.5%240.0419.1%1.3%
50Δ241.1615.9%1.2%241.0119.2%1.1%
55Δ240.2415.2%0.9%241.9919.4%1.0%
60Δ239.3814.9%0.8%242.9719.5%0.8%
65Δ238.5514.8%0.7%243.9519.7%0.6%
70Δ237.7214.7%0.6%244.9319.9%0.5%
75Δ236.9014.6%0.5%246.4420.3%0.4%
80Δ236.0714.5%0.4%247.9920.7%0.3%

20Δ

Calls
Pseudo strike
249.85
IV
26.4%
B/E move
4.3%
Puts
Pseudo strike
231.22
IV
30.8%
B/E move
4.4%

25Δ

Calls
Pseudo strike
247.19
IV
22.2%
B/E move
3.2%
Puts
Pseudo strike
234.26
IV
26.4%
B/E move
3.3%

30Δ

Calls
Pseudo strike
244.84
IV
18.7%
B/E move
2.3%
Puts
Pseudo strike
236.02
IV
24.0%
B/E move
2.6%

35Δ

Calls
Pseudo strike
243.92
IV
18.0%
B/E move
2.0%
Puts
Pseudo strike
237.36
IV
22.4%
B/E move
2.2%

40Δ

Calls
Pseudo strike
243.00
IV
17.3%
B/E move
1.8%
Puts
Pseudo strike
238.70
IV
20.7%
B/E move
1.7%

45Δ

Calls
Pseudo strike
242.08
IV
16.6%
B/E move
1.5%
Puts
Pseudo strike
240.04
IV
19.1%
B/E move
1.3%

50Δ

Calls
Pseudo strike
241.16
IV
15.9%
B/E move
1.2%
Puts
Pseudo strike
241.01
IV
19.2%
B/E move
1.1%

55Δ

Calls
Pseudo strike
240.24
IV
15.2%
B/E move
0.9%
Puts
Pseudo strike
241.99
IV
19.4%
B/E move
1.0%

60Δ

Calls
Pseudo strike
239.38
IV
14.9%
B/E move
0.8%
Puts
Pseudo strike
242.97
IV
19.5%
B/E move
0.8%

65Δ

Calls
Pseudo strike
238.55
IV
14.8%
B/E move
0.7%
Puts
Pseudo strike
243.95
IV
19.7%
B/E move
0.6%

70Δ

Calls
Pseudo strike
237.72
IV
14.7%
B/E move
0.6%
Puts
Pseudo strike
244.93
IV
19.9%
B/E move
0.5%

75Δ

Calls
Pseudo strike
236.90
IV
14.6%
B/E move
0.5%
Puts
Pseudo strike
246.44
IV
20.3%
B/E move
0.4%

80Δ

Calls
Pseudo strike
236.07
IV
14.5%
B/E move
0.4%
Puts
Pseudo strike
247.99
IV
20.7%
B/E move
0.3%

Options history

IV · four-Friday blend12.29%
Daily close
IVE11.2%13.8%16.4%2026-08-21: 11.83%2026-08-24: 12.21%2026-08-25: 12.12%2026-08-26: 11.83%2026-08-27: 11.87%2026-08-28: 11.86%2026-08-31: 11.74%2026-09-01: 11.97%2026-09-02: 11.84%2026-09-04: 12.02%2026-09-08: 12.22%2026-09-09: 12.90%2026-09-10: 12.92%2026-09-11: 12.79%2026-09-14: 13.65%2026-09-15: 15.03%2026-09-16: 16.00%2026-09-18: 12.99%2026-09-21: 12.65%2026-09-22: 12.35%2026-09-23: 12.26%2026-09-24: 13.15%2026-09-25: 12.37%2026-09-28: 13.02%2026-09-29: 13.12%2026-09-30: 13.06%2026-10-01: 12.80%2026-10-02: 12.86%2026-10-05: 12.98%2026-10-06: 12.56%2026-10-07: 12.35%2026-10-09: 12.99%2026-10-13: 12.61%2026-10-16: 12.01%2026-10-19: 12.54%2026-10-20: 12.32%2026-10-21: 11.69%2026-10-22: 11.82%2026-10-23: 12.16%2026-10-26: 12.33%2026-10-27: 12.27%2026-10-28: 12.23%2026-10-29: 11.58%2026-10-30: 12.29%Aug 21Sep 24Oct 30
44 observations2026-08-21 — 2026-10-30
Table
DateIV (%)
11.83%
12.21%
12.12%
11.83%
11.87%
11.86%
11.74%
11.97%
11.84%
12.02%
12.22%
12.90%
12.92%
12.79%
13.65%
15.03%
16.00%
12.99%
12.65%
12.35%
12.26%
13.15%
12.37%
13.02%
13.12%
13.06%
12.80%
12.86%
12.98%
12.56%
12.35%
12.99%
12.61%
12.01%
12.54%
12.32%
11.69%
11.82%
12.16%
12.33%
12.27%
12.23%
11.58%
12.29%