IntraAlpha
Create free account Start free

First Trust Indxx Innovative Transaction & Process ETF LEGR

i

Market dataready · fetched 2026-10-23T04:42:41.741Z

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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-22T20:00:00.620955423Z

FundamentalsAlpha Vantage · ready · fetched 2026-10-23T04:42:40.153097+00:00

Share price$65.18
1D+0.4%
AH$64.79$64.87$64.95$65.02$65.105:30 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$0.39$0.98$1.58$2.18$2.78$61.67$63.40$65.12$66.84$68.5620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive LEGR spot · $65.18LEGR PRICE$0.45$0.47$0.53$0.61$0.68$0.80$0.92$1.04$1.25$1.52$1.79$2.18$2.61$0.55$0.60$0.67$0.74$0.81$0.89$1.00$1.11$1.21$1.45$1.69$1.94$2.49
PutsFair1.04×
CallsExpensive1.31×
SkewBearish+0.66 pp
Implied moveBearish±$1.92
TiltBalanced1.0% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ69.1722.8%6.8%61.6426.2%6.3%
25Δ67.7517.7%4.7%62.9321.3%4.4%
30Δ66.9915.5%3.6%63.6818.8%3.3%
35Δ66.5414.5%3.0%64.2616.9%2.5%
40Δ66.1013.4%2.5%64.7215.3%1.9%
45Δ65.7613.0%2.1%65.1114.1%1.5%
50Δ65.4512.8%1.8%65.4013.5%1.2%
55Δ65.1412.6%1.5%65.6912.8%0.9%
60Δ64.8012.9%1.3%65.9712.2%0.6%
65Δ64.4413.5%1.2%66.3012.3%0.5%
70Δ64.0814.2%1.1%66.6412.5%0.3%
75Δ63.6014.9%0.9%66.9812.6%0.2%
80Δ63.0815.6%0.8%67.6113.8%0.1%

20Δ

Calls
Pseudo strike
69.17
IV
22.8%
B/E move
6.8%
Puts
Pseudo strike
61.64
IV
26.2%
B/E move
6.3%

25Δ

Calls
Pseudo strike
67.75
IV
17.7%
B/E move
4.7%
Puts
Pseudo strike
62.93
IV
21.3%
B/E move
4.4%

30Δ

Calls
Pseudo strike
66.99
IV
15.5%
B/E move
3.6%
Puts
Pseudo strike
63.68
IV
18.8%
B/E move
3.3%

35Δ

Calls
Pseudo strike
66.54
IV
14.5%
B/E move
3.0%
Puts
Pseudo strike
64.26
IV
16.9%
B/E move
2.5%

40Δ

Calls
Pseudo strike
66.10
IV
13.4%
B/E move
2.5%
Puts
Pseudo strike
64.72
IV
15.3%
B/E move
1.9%

45Δ

Calls
Pseudo strike
65.76
IV
13.0%
B/E move
2.1%
Puts
Pseudo strike
65.11
IV
14.1%
B/E move
1.5%

50Δ

Calls
Pseudo strike
65.45
IV
12.8%
B/E move
1.8%
Puts
Pseudo strike
65.40
IV
13.5%
B/E move
1.2%

55Δ

Calls
Pseudo strike
65.14
IV
12.6%
B/E move
1.5%
Puts
Pseudo strike
65.69
IV
12.8%
B/E move
0.9%

60Δ

Calls
Pseudo strike
64.80
IV
12.9%
B/E move
1.3%
Puts
Pseudo strike
65.97
IV
12.2%
B/E move
0.6%

65Δ

Calls
Pseudo strike
64.44
IV
13.5%
B/E move
1.2%
Puts
Pseudo strike
66.30
IV
12.3%
B/E move
0.5%

70Δ

Calls
Pseudo strike
64.08
IV
14.2%
B/E move
1.1%
Puts
Pseudo strike
66.64
IV
12.5%
B/E move
0.3%

75Δ

Calls
Pseudo strike
63.60
IV
14.9%
B/E move
0.9%
Puts
Pseudo strike
66.98
IV
12.6%
B/E move
0.2%

80Δ

Calls
Pseudo strike
63.08
IV
15.6%
B/E move
0.8%
Puts
Pseudo strike
67.61
IV
13.8%
B/E move
0.1%

Options history

No recorded observations