IntraAlpha
Create free account Start free

iShares MSCI Intl Value Factor ETF IVLU

i

Market dataready · fetched 2026-11-11T13:58:32.544Z

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 · 2026-11-11T01:00:00.175997181Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T13:58:32.170318+00:00

Share price$42.88
1D-0.1%
AH$42.59$42.68$42.78$42.88$42.975:30 AM6:30 AM9:00 AM1:00 PM2:00 PMIVLU
Sold putSold callAH

iShares MSCI Intl Value Factor ETF options

Live interpolated IVLU call and put midpoint premiums by absolute delta.iShares MSCI Intl Value Factor ETF$0.54$0.90$1.26$1.62$1.99$39.87$41.35$42.83$44.31$45.7920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive IVLU spot · $42.88IVLU PRICE$0.57$0.57$0.58$0.60$0.64$0.69$0.73$0.78$0.84$0.89$0.94$0.99$1.05$0.57$0.60$0.64$0.67$0.71$0.75$0.80$0.88$0.97$1.07$1.16$1.25$1.88
PutsExpensive1.86×
CallsExpensive1.43×
SkewBearish+1.48 pp
Implied moveBearish±$1.53
TiltBearish9.6% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ48.2080.0%13.7%39.2371.6%9.8%
25Δ45.9659.1%8.5%40.5256.8%6.9%
30Δ44.8046.7%5.8%41.3247.9%5.1%
35Δ44.0538.5%4.1%41.9640.4%3.7%
40Δ43.6734.6%3.3%42.3136.2%3.0%
45Δ43.3131.0%2.6%42.6332.3%2.3%
50Δ42.9827.6%1.9%42.9628.4%1.7%
55Δ42.8225.7%1.7%43.1726.9%1.4%
60Δ42.6623.9%1.4%43.3725.6%1.1%
65Δ42.5022.0%1.2%43.5624.4%0.9%
70Δ42.3420.1%0.9%43.7523.1%0.7%
75Δ42.1818.3%0.7%43.9521.8%0.4%
80Δ42.0116.4%0.4%44.6127.6%0.4%

20Δ

Calls
Pseudo strike
48.20
IV
80.0%
B/E move
13.7%
Puts
Pseudo strike
39.23
IV
71.6%
B/E move
9.8%

25Δ

Calls
Pseudo strike
45.96
IV
59.1%
B/E move
8.5%
Puts
Pseudo strike
40.52
IV
56.8%
B/E move
6.9%

30Δ

Calls
Pseudo strike
44.80
IV
46.7%
B/E move
5.8%
Puts
Pseudo strike
41.32
IV
47.9%
B/E move
5.1%

35Δ

Calls
Pseudo strike
44.05
IV
38.5%
B/E move
4.1%
Puts
Pseudo strike
41.96
IV
40.4%
B/E move
3.7%

40Δ

Calls
Pseudo strike
43.67
IV
34.6%
B/E move
3.3%
Puts
Pseudo strike
42.31
IV
36.2%
B/E move
3.0%

45Δ

Calls
Pseudo strike
43.31
IV
31.0%
B/E move
2.6%
Puts
Pseudo strike
42.63
IV
32.3%
B/E move
2.3%

50Δ

Calls
Pseudo strike
42.98
IV
27.6%
B/E move
1.9%
Puts
Pseudo strike
42.96
IV
28.4%
B/E move
1.7%

55Δ

Calls
Pseudo strike
42.82
IV
25.7%
B/E move
1.7%
Puts
Pseudo strike
43.17
IV
26.9%
B/E move
1.4%

60Δ

Calls
Pseudo strike
42.66
IV
23.9%
B/E move
1.4%
Puts
Pseudo strike
43.37
IV
25.6%
B/E move
1.1%

65Δ

Calls
Pseudo strike
42.50
IV
22.0%
B/E move
1.2%
Puts
Pseudo strike
43.56
IV
24.4%
B/E move
0.9%

70Δ

Calls
Pseudo strike
42.34
IV
20.1%
B/E move
0.9%
Puts
Pseudo strike
43.75
IV
23.1%
B/E move
0.7%

75Δ

Calls
Pseudo strike
42.18
IV
18.3%
B/E move
0.7%
Puts
Pseudo strike
43.95
IV
21.8%
B/E move
0.4%

80Δ

Calls
Pseudo strike
42.01
IV
16.4%
B/E move
0.4%
Puts
Pseudo strike
44.61
IV
27.6%
B/E move
0.4%

Options history

IV · four-Friday blend19.90%
Daily close
IVLU16.3%25.9%35.5%2026-08-13: 21.02%2026-08-14: 21.30%2026-08-17: 23.75%2026-08-18: 24.21%2026-08-19: 26.92%2026-08-20: 31.07%2026-08-21: 17.99%2026-08-24: 18.21%2026-08-25: 18.06%2026-08-26: 17.65%2026-08-27: 18.21%2026-08-28: 17.78%2026-08-31: 18.51%2026-09-01: 18.58%2026-09-02: 18.95%2026-09-03: 18.54%2026-09-04: 18.42%2026-09-08: 19.21%2026-09-09: 20.68%2026-09-10: 21.30%2026-09-11: 21.41%2026-09-14: 23.78%2026-09-15: 25.97%2026-09-16: 26.46%2026-09-17: 33.25%2026-09-18: 18.18%2026-09-21: 17.97%2026-09-22: 18.04%2026-09-23: 18.69%2026-09-24: 18.77%2026-09-25: 18.38%2026-09-28: 18.92%2026-09-29: 19.23%2026-09-30: 19.11%2026-10-01: 20.21%2026-10-02: 20.18%2026-10-05: 20.79%2026-10-06: 20.68%2026-10-07: 21.70%2026-10-08: 21.97%2026-10-09: 22.30%2026-10-12: 25.24%2026-10-13: 26.22%2026-10-14: 28.67%2026-10-15: 34.20%2026-10-16: 18.40%2026-10-19: 19.30%2026-10-20: 18.82%2026-10-21: 19.10%2026-10-22: 19.66%2026-10-23: 19.88%2026-10-26: 19.05%2026-10-27: 19.51%2026-10-28: 19.59%2026-10-29: 19.30%2026-10-30: 19.90%Aug 13Sep 22Oct 30
56 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
21.02%
21.30%
23.75%
24.21%
26.92%
31.07%
17.99%
18.21%
18.06%
17.65%
18.21%
17.78%
18.51%
18.58%
18.95%
18.54%
18.42%
19.21%
20.68%
21.30%
21.41%
23.78%
25.97%
26.46%
33.25%
18.18%
17.97%
18.04%
18.69%
18.77%
18.38%
18.92%
19.23%
19.11%
20.21%
20.18%
20.79%
20.68%
21.70%
21.97%
22.30%
25.24%
26.22%
28.67%
34.20%
18.40%
19.30%
18.82%
19.10%
19.66%
19.88%
19.05%
19.51%
19.59%
19.30%
19.90%