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NYLIM Merger Arbitrage ETF MNA

i

Market dataready · fetched 2026-11-12T03:02:18.278Z

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 · 2026-11-12T01:00:00.129100248Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T03:02:17.906551+00:00

Share price$36.76
1D-0.1%
AH$36.71$36.75$36.78$36.81$36.855:30 AM6:30 AM9:00 AM1:00 PM2:00 PMMNA
Sold putSold callAH

NYLIM Merger Arbitrage ETF options

Live interpolated MNA call and put midpoint premiums by absolute delta.NYLIM Merger Arbitrage ETF$0.54$0.89$1.24$1.60$1.95$36.01$36.38$36.75$37.11$37.4820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ 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 MNA spot · $36.76MNA PRICE$1.02$1.02$0.58$0.74$0.91$1.06$1.20$1.35$1.48$1.60$1.72$1.85$1.02$1.02$1.02$1.02$1.03$1.07$1.11$1.22$1.38$1.53
Puts——
Calls——
Skew——
Implied moveBearish±$2.17
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ31.24144.7%17.8%
25Δ43.22133.5%20.4%33.24110.9%12.3%
30Δ40.53102.9%13.1%34.5488.6%8.8%
35Δ37.8543.8%4.5%35.4172.8%6.4%
40Δ37.5445.9%4.1%36.0760.6%4.7%
45Δ37.2347.9%3.7%36.4653.9%3.7%
50Δ36.9149.0%3.3%36.8647.2%2.7%
55Δ36.5847.4%2.8%37.1943.9%2.2%
60Δ36.2445.9%2.3%37.4842.5%1.8%
65Δ35.9443.9%1.8%37.7841.2%1.4%
70Δ35.6941.1%1.5%
75Δ35.4538.2%1.1%
80Δ35.2135.4%0.8%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
31.24
IV
144.7%
B/E move
17.8%

25Δ

Calls
Pseudo strike
43.22
IV
133.5%
B/E move
20.4%
Puts
Pseudo strike
33.24
IV
110.9%
B/E move
12.3%

30Δ

Calls
Pseudo strike
40.53
IV
102.9%
B/E move
13.1%
Puts
Pseudo strike
34.54
IV
88.6%
B/E move
8.8%

35Δ

Calls
Pseudo strike
37.85
IV
43.8%
B/E move
4.5%
Puts
Pseudo strike
35.41
IV
72.8%
B/E move
6.4%

40Δ

Calls
Pseudo strike
37.54
IV
45.9%
B/E move
4.1%
Puts
Pseudo strike
36.07
IV
60.6%
B/E move
4.7%

45Δ

Calls
Pseudo strike
37.23
IV
47.9%
B/E move
3.7%
Puts
Pseudo strike
36.46
IV
53.9%
B/E move
3.7%

50Δ

Calls
Pseudo strike
36.91
IV
49.0%
B/E move
3.3%
Puts
Pseudo strike
36.86
IV
47.2%
B/E move
2.7%

55Δ

Calls
Pseudo strike
36.58
IV
47.4%
B/E move
2.8%
Puts
Pseudo strike
37.19
IV
43.9%
B/E move
2.2%

60Δ

Calls
Pseudo strike
36.24
IV
45.9%
B/E move
2.3%
Puts
Pseudo strike
37.48
IV
42.5%
B/E move
1.8%

65Δ

Calls
Pseudo strike
35.94
IV
43.9%
B/E move
1.8%
Puts
Pseudo strike
37.78
IV
41.2%
B/E move
1.4%

70Δ

Calls
Pseudo strike
35.69
IV
41.1%
B/E move
1.5%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
35.45
IV
38.2%
B/E move
1.1%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
35.21
IV
35.4%
B/E move
0.8%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend30.65%
Daily EOD
MNA25.2%57.6%89.9%2026-10-19: 63.60%2026-10-20: 80.12%2026-10-21: 79.96%2026-10-22: 81.58%2026-10-23: 29.70%2026-10-26: 85.42%2026-10-27: 80.84%2026-10-28: 56.78%2026-10-29: 84.66%2026-10-30: 30.65%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
63.60%
80.12%
79.96%
81.58%
29.70%
85.42%
80.84%
56.78%
84.66%
30.65%