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KraneShares Mount Lucas Managed Futures Index Strategy ETF KMLM

i

Market dataready · fetched 2026-11-12T00:58:59.382Z

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 · 2026-11-11T23:30:00.003004958Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T00:58:59.016117+00:00

Share price$29.26
1D+0.0%
AH$29.19$29.26$29.32$29.39$29.455:30 AM6:30 AM9:00 AM1:00 PM2:00 PMKMLM
Sold putSold callAH

KraneShares Mount Lucas Managed Futures Index Strategy ETF options

Live interpolated KMLM call and put midpoint premiums by absolute delta.KraneShares Mount Lucas Managed Futures Index Strategy ETF$0.57$1.11$1.65$2.19$2.73$27.93$28.57$29.22$29.87$30.5120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive KMLM spot · $29.26KMLM PRICE$0.75$0.81$0.87$1.09$1.46$1.83$2.20$2.58$0.63$0.63$0.67$0.73$0.79$0.85$0.91$0.98$1.04
Puts——
Calls——
Skew——
Implied moveBearish±$1.67
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ27.0086.0%9.8%
30Δ27.8368.7%7.0%
35Δ28.2361.7%5.8%
40Δ28.5157.4%5.1%
45Δ29.7451.6%4.2%28.7953.0%4.3%
50Δ29.4547.5%3.4%29.0848.7%3.5%
55Δ29.1543.3%2.6%29.3644.3%2.8%
60Δ28.7742.5%2.1%29.6539.9%2.0%
65Δ28.3345.1%1.8%29.9335.6%1.2%
70Δ27.8847.6%1.5%
75Δ27.4350.2%1.3%
80Δ26.9952.7%1.0%

20Δ

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

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
27.00
IV
86.0%
B/E move
9.8%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
27.83
IV
68.7%
B/E move
7.0%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
28.23
IV
61.7%
B/E move
5.8%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
28.51
IV
57.4%
B/E move
5.1%

45Δ

Calls
Pseudo strike
29.74
IV
51.6%
B/E move
4.2%
Puts
Pseudo strike
28.79
IV
53.0%
B/E move
4.3%

50Δ

Calls
Pseudo strike
29.45
IV
47.5%
B/E move
3.4%
Puts
Pseudo strike
29.08
IV
48.7%
B/E move
3.5%

55Δ

Calls
Pseudo strike
29.15
IV
43.3%
B/E move
2.6%
Puts
Pseudo strike
29.36
IV
44.3%
B/E move
2.8%

60Δ

Calls
Pseudo strike
28.77
IV
42.5%
B/E move
2.1%
Puts
Pseudo strike
29.65
IV
39.9%
B/E move
2.0%

65Δ

Calls
Pseudo strike
28.33
IV
45.1%
B/E move
1.8%
Puts
Pseudo strike
29.93
IV
35.6%
B/E move
1.2%

70Δ

Calls
Pseudo strike
27.88
IV
47.6%
B/E move
1.5%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
27.43
IV
50.2%
B/E move
1.3%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
26.99
IV
52.7%
B/E move
1.0%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend24.89%
Daily EOD
KMLM23.0%24.0%25.0%2026-10-19: 23.33%2026-10-20: 23.10%2026-10-21: 23.32%2026-10-22: 23.27%2026-10-23: 23.85%2026-10-26: 24.05%2026-10-27: 23.73%2026-10-28: 23.65%2026-10-29: 23.23%2026-10-30: 24.89%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
23.33%
23.10%
23.32%
23.27%
23.85%
24.05%
23.73%
23.65%
23.23%
24.89%