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First Trust Indxx Innovative Transaction & Process ETF LEGR

i

Market dataready · fetched 2026-11-12T15:17:10.215Z

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 · 2026-11-11T21:00:00.363838596Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T15:17:09.066666+00:00

Share price$66.32
1D+0.8%
AH$65.69$65.89$66.08$66.28$66.475:30 AM6:30 AM9:00 AM1:00 PM2:00 PMLEGR
Sold putSold callAH

First Trust Indxx Innovative Transaction & Process ETF options

Live interpolated LEGR call and put midpoint premiums by absolute delta.First Trust Indxx Innovative Transaction & Process ETF$0.72$0.96$1.21$1.45$1.69$62.71$64.29$65.86$67.44$69.0120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive LEGR spot · $66.32LEGR PRICE$0.79$0.87$0.95$1.04$1.15$1.26$1.37$1.48$0.75$0.79$0.85$0.92$1.00$1.07$1.18$1.33$1.48$1.62
Puts——
Calls——
Skew——
Implied moveBearish±$1.79
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ65.2231.4%2.8%
40Δ65.7027.7%2.1%
45Δ66.7723.9%1.9%66.1024.8%1.6%
50Δ66.4822.4%1.6%66.3623.1%1.3%
55Δ66.1921.0%1.2%66.6221.3%1.0%
60Δ65.9319.7%1.0%66.8919.6%0.8%
65Δ65.7218.7%0.8%67.1318.5%0.6%
70Δ65.5117.8%0.7%67.3517.9%0.4%
75Δ65.3016.9%0.5%67.5817.2%0.3%
80Δ65.0916.0%0.4%67.8116.6%0.2%

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
IV
B/E move

30Δ

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

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
65.22
IV
31.4%
B/E move
2.8%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
65.70
IV
27.7%
B/E move
2.1%

45Δ

Calls
Pseudo strike
66.77
IV
23.9%
B/E move
1.9%
Puts
Pseudo strike
66.10
IV
24.8%
B/E move
1.6%

50Δ

Calls
Pseudo strike
66.48
IV
22.4%
B/E move
1.6%
Puts
Pseudo strike
66.36
IV
23.1%
B/E move
1.3%

55Δ

Calls
Pseudo strike
66.19
IV
21.0%
B/E move
1.2%
Puts
Pseudo strike
66.62
IV
21.3%
B/E move
1.0%

60Δ

Calls
Pseudo strike
65.93
IV
19.7%
B/E move
1.0%
Puts
Pseudo strike
66.89
IV
19.6%
B/E move
0.8%

65Δ

Calls
Pseudo strike
65.72
IV
18.7%
B/E move
0.8%
Puts
Pseudo strike
67.13
IV
18.5%
B/E move
0.6%

70Δ

Calls
Pseudo strike
65.51
IV
17.8%
B/E move
0.7%
Puts
Pseudo strike
67.35
IV
17.9%
B/E move
0.4%

75Δ

Calls
Pseudo strike
65.30
IV
16.9%
B/E move
0.5%
Puts
Pseudo strike
67.58
IV
17.2%
B/E move
0.3%

80Δ

Calls
Pseudo strike
65.09
IV
16.0%
B/E move
0.4%
Puts
Pseudo strike
67.81
IV
16.6%
B/E move
0.2%

Options history

IV · four-Friday blend14.75%
Daily EOD
LEGR12.5%13.7%14.9%2026-10-19: 12.92%2026-10-20: 12.64%2026-10-21: 12.79%2026-10-22: 13.47%2026-10-23: 13.76%2026-10-26: 14.41%2026-10-27: 14.11%2026-10-28: 14.20%2026-10-29: 14.22%2026-10-30: 14.75%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
12.92%
12.64%
12.79%
13.47%
13.76%
14.41%
14.11%
14.20%
14.22%
14.75%