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NEOS Russell 2000 High Income ETF IWMI

i

Market dataready · fetched 2026-11-11T15:45:30.144Z

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 · 2026-11-11T15:45:03.179522428Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-11T15:45:29.480707+00:00

Share price$49.36
1D+0.1%
$49.27$49.31$49.34$49.38$49.425:30 AM6:30 AM9:00 AM1:00 PMIWMI
Sold putSold call

NEOS Russell 2000 High Income ETF options

Live interpolated IWMI call and put midpoint premiums by absolute delta.NEOS Russell 2000 High Income ETF$0.04$0.77$1.51$2.24$2.98$44.91$47.22$49.53$51.83$54.1420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive IWMI spot · $49.36IWMI PRICE$0.12$0.15$0.17$0.20$0.23$0.25$0.28$0.31$0.33$0.36$0.39$0.41$0.44$0.20$0.34$0.47$0.60$0.74$0.87$1.00$1.14$1.36$2.07$2.77
Puts——
CallsCheap0.22×
Skew——
Implied moveBearish±$1.28
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ50.7715.4%3.1%48.0521.5%3.1%
25Δ50.6314.6%2.9%48.3022.6%2.8%
30Δ50.4813.8%2.6%48.5523.6%2.6%
35Δ50.3413.0%2.4%48.8024.7%2.4%
40Δ50.2012.3%2.2%49.0525.7%2.1%
45Δ50.0611.5%1.9%49.2926.7%1.9%
50Δ49.9110.7%1.7%49.5427.8%1.7%
55Δ49.779.9%1.5%49.7928.8%1.4%
60Δ49.639.2%1.2%50.1230.9%1.2%
65Δ49.498.4%1.0%50.8438.1%1.2%
70Δ49.357.6%0.8%51.5645.3%1.2%
75Δ49.206.9%0.5%
80Δ49.066.1%0.3%

20Δ

Calls
Pseudo strike
50.77
IV
15.4%
B/E move
3.1%
Puts
Pseudo strike
48.05
IV
21.5%
B/E move
3.1%

25Δ

Calls
Pseudo strike
50.63
IV
14.6%
B/E move
2.9%
Puts
Pseudo strike
48.30
IV
22.6%
B/E move
2.8%

30Δ

Calls
Pseudo strike
50.48
IV
13.8%
B/E move
2.6%
Puts
Pseudo strike
48.55
IV
23.6%
B/E move
2.6%

35Δ

Calls
Pseudo strike
50.34
IV
13.0%
B/E move
2.4%
Puts
Pseudo strike
48.80
IV
24.7%
B/E move
2.4%

40Δ

Calls
Pseudo strike
50.20
IV
12.3%
B/E move
2.2%
Puts
Pseudo strike
49.05
IV
25.7%
B/E move
2.1%

45Δ

Calls
Pseudo strike
50.06
IV
11.5%
B/E move
1.9%
Puts
Pseudo strike
49.29
IV
26.7%
B/E move
1.9%

50Δ

Calls
Pseudo strike
49.91
IV
10.7%
B/E move
1.7%
Puts
Pseudo strike
49.54
IV
27.8%
B/E move
1.7%

55Δ

Calls
Pseudo strike
49.77
IV
9.9%
B/E move
1.5%
Puts
Pseudo strike
49.79
IV
28.8%
B/E move
1.4%

60Δ

Calls
Pseudo strike
49.63
IV
9.2%
B/E move
1.2%
Puts
Pseudo strike
50.12
IV
30.9%
B/E move
1.2%

65Δ

Calls
Pseudo strike
49.49
IV
8.4%
B/E move
1.0%
Puts
Pseudo strike
50.84
IV
38.1%
B/E move
1.2%

70Δ

Calls
Pseudo strike
49.35
IV
7.6%
B/E move
0.8%
Puts
Pseudo strike
51.56
IV
45.3%
B/E move
1.2%

75Δ

Calls
Pseudo strike
49.20
IV
6.9%
B/E move
0.5%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
49.06
IV
6.1%
B/E move
0.3%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend17.88%
Daily close
IWMI14.0%19.2%24.4%2026-08-18: 20.39%2026-08-21: 17.29%2026-08-24: 16.98%2026-08-25: 16.50%2026-08-26: 15.69%2026-08-27: 14.68%2026-08-28: 15.54%2026-08-31: 14.85%2026-09-01: 16.19%2026-09-03: 15.86%2026-09-08: 15.77%2026-09-09: 16.96%2026-09-10: 19.63%2026-09-11: 17.69%2026-09-14: 19.29%2026-09-15: 20.63%2026-09-17: 20.58%2026-09-18: 16.87%2026-09-21: 15.41%2026-09-22: 15.77%2026-09-23: 16.50%2026-09-24: 17.04%2026-09-25: 17.09%2026-09-28: 17.23%2026-09-29: 17.05%2026-09-30: 17.49%2026-10-01: 16.98%2026-10-02: 16.84%2026-10-06: 16.94%2026-10-07: 16.54%2026-10-08: 18.09%2026-10-12: 17.97%2026-10-13: 18.34%2026-10-14: 23.66%2026-10-16: 18.46%2026-10-19: 17.88%2026-10-21: 17.27%2026-10-22: 18.30%2026-10-23: 18.37%2026-10-26: 18.79%2026-10-27: 17.45%2026-10-28: 17.67%2026-10-29: 16.95%2026-10-30: 17.88%Aug 18Sep 24Oct 30
44 observations2026-08-18 — 2026-10-30
Table
DateIV (%)
20.39%
17.29%
16.98%
16.50%
15.69%
14.68%
15.54%
14.85%
16.19%
15.86%
15.77%
16.96%
19.63%
17.69%
19.29%
20.63%
20.58%
16.87%
15.41%
15.77%
16.50%
17.04%
17.09%
17.23%
17.05%
17.49%
16.98%
16.84%
16.94%
16.54%
18.09%
17.97%
18.34%
23.66%
18.46%
17.88%
17.27%
18.30%
18.37%
18.79%
17.45%
17.67%
16.95%
17.88%