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iShares S&P 100 ETF OEF

i

Market dataready · fetched 2026-11-12T03:13:45.571Z

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 · 2026-11-12T01:00:00.031012797Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T03:13:45.223653+00:00

Share price$374.21
1D+0.3%
AH$372$373$374$375$3765:30 AM6:30 AM9:00 AM1:00 PM2:00 PMOEF
Sold putSold callAH

iShares S&P 100 ETF options

Live interpolated OEF call and put midpoint premiums by absolute delta.iShares S&P 100 ETF$2.21$4.86$7.51$10.16$12.81$352.84$363.03$373.21$383.40$393.5920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive OEF spot · $374.21OEF PRICE$2.50$2.50$2.50$2.60$2.86$3.12$3.62$4.73$5.84$6.95$8.41$9.96$12.05$2.50$2.50$2.55$2.60$2.60$2.60$2.60$2.94$3.62$4.30$4.98$5.66
Puts——
CallsCheap0.80×
Skew——
Implied moveBullish±$6.22
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ395.3439.8%6.3%357.1037.9%5.2%
25Δ387.0329.9%4.1%363.8728.5%3.4%
30Δ382.3223.5%2.8%367.5823.1%2.5%
35Δ379.3519.6%2.1%370.3318.8%1.7%
40Δ377.7517.9%1.7%371.6616.3%1.4%
45Δ376.1416.2%1.3%372.9913.9%1.0%
50Δ374.5815.3%1.1%374.3311.4%0.7%
55Δ373.1616.6%1.0%375.4710.3%0.4%
60Δ371.7418.0%0.9%376.4110.5%0.4%
65Δ370.3219.3%0.8%377.3610.7%0.3%
70Δ368.4520.1%0.7%378.3010.9%0.2%
75Δ366.4620.7%0.6%379.2511.1%0.2%
80Δ363.9721.9%0.5%

20Δ

Calls
Pseudo strike
395.34
IV
39.8%
B/E move
6.3%
Puts
Pseudo strike
357.10
IV
37.9%
B/E move
5.2%

25Δ

Calls
Pseudo strike
387.03
IV
29.9%
B/E move
4.1%
Puts
Pseudo strike
363.87
IV
28.5%
B/E move
3.4%

30Δ

Calls
Pseudo strike
382.32
IV
23.5%
B/E move
2.8%
Puts
Pseudo strike
367.58
IV
23.1%
B/E move
2.5%

35Δ

Calls
Pseudo strike
379.35
IV
19.6%
B/E move
2.1%
Puts
Pseudo strike
370.33
IV
18.8%
B/E move
1.7%

40Δ

Calls
Pseudo strike
377.75
IV
17.9%
B/E move
1.7%
Puts
Pseudo strike
371.66
IV
16.3%
B/E move
1.4%

45Δ

Calls
Pseudo strike
376.14
IV
16.2%
B/E move
1.3%
Puts
Pseudo strike
372.99
IV
13.9%
B/E move
1.0%

50Δ

Calls
Pseudo strike
374.58
IV
15.3%
B/E move
1.1%
Puts
Pseudo strike
374.33
IV
11.4%
B/E move
0.7%

55Δ

Calls
Pseudo strike
373.16
IV
16.6%
B/E move
1.0%
Puts
Pseudo strike
375.47
IV
10.3%
B/E move
0.4%

60Δ

Calls
Pseudo strike
371.74
IV
18.0%
B/E move
0.9%
Puts
Pseudo strike
376.41
IV
10.5%
B/E move
0.4%

65Δ

Calls
Pseudo strike
370.32
IV
19.3%
B/E move
0.8%
Puts
Pseudo strike
377.36
IV
10.7%
B/E move
0.3%

70Δ

Calls
Pseudo strike
368.45
IV
20.1%
B/E move
0.7%
Puts
Pseudo strike
378.30
IV
10.9%
B/E move
0.2%

75Δ

Calls
Pseudo strike
366.46
IV
20.7%
B/E move
0.6%
Puts
Pseudo strike
379.25
IV
11.1%
B/E move
0.2%

80Δ

Calls
Pseudo strike
363.97
IV
21.9%
B/E move
0.5%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend17.07%
Daily EOD
OEF14.3%15.8%17.3%2026-10-19: 15.34%2026-10-20: 14.81%2026-10-21: 14.53%2026-10-22: 15.56%2026-10-23: 16.20%2026-10-26: 15.48%2026-10-27: 15.89%2026-10-28: 15.10%2026-10-29: 14.70%2026-10-30: 17.07%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
15.34%
14.81%
14.53%
15.56%
16.20%
15.48%
15.89%
15.10%
14.70%
17.07%