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iShares MSCI EAFE Small-Cap ETF SCZ

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Market dataready · fetched 2026-11-12T00:52:39.405Z

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 · 2026-11-11T21:00:00.088247556Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T00:52:38.958352+00:00

Share price$83.32
1D+0.5%
AH$82.82$82.97$83.12$83.26$83.415:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSCZ
Sold putSold callAH

iShares MSCI EAFE Small-Cap ETF options

Live interpolated SCZ call and put midpoint premiums by absolute delta.iShares MSCI EAFE Small-Cap ETF$0.55$1.31$2.06$2.82$3.58$80.37$82.13$83.89$85.65$87.4120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive SCZ spot · $83.32SCZ PRICE$0.72$0.63$0.78$0.83$0.91$1.01$1.18$1.34$1.51$1.70$1.88$2.10$2.33$0.80$0.82$0.86$0.99$1.11$1.21$1.31$1.46$1.73$2.00$2.52$3.36
Puts——
CallsExpensive1.36×
Skew——
Implied moveBalanced±$2.39
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ89.6152.1%8.4%
25Δ86.4833.0%4.5%80.1040.3%4.8%
30Δ85.8132.8%3.9%81.2832.8%3.4%
35Δ84.9228.1%2.9%82.1127.4%2.5%
40Δ84.3525.3%2.3%82.5926.0%2.1%
45Δ83.8523.4%1.9%83.0524.5%1.7%
50Δ83.4722.9%1.6%83.4022.9%1.4%
55Δ83.0922.5%1.3%83.7621.2%1.0%
60Δ82.7321.8%1.1%84.1220.1%0.8%
65Δ82.3921.2%0.9%84.5120.4%0.7%
70Δ82.0520.5%0.7%84.8920.7%0.5%
75Δ81.7119.7%0.6%85.5022.4%0.4%
80Δ81.3718.8%0.4%86.3925.8%0.3%

20Δ

Calls
Pseudo strike
89.61
IV
52.1%
B/E move
8.4%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
86.48
IV
33.0%
B/E move
4.5%
Puts
Pseudo strike
80.10
IV
40.3%
B/E move
4.8%

30Δ

Calls
Pseudo strike
85.81
IV
32.8%
B/E move
3.9%
Puts
Pseudo strike
81.28
IV
32.8%
B/E move
3.4%

35Δ

Calls
Pseudo strike
84.92
IV
28.1%
B/E move
2.9%
Puts
Pseudo strike
82.11
IV
27.4%
B/E move
2.5%

40Δ

Calls
Pseudo strike
84.35
IV
25.3%
B/E move
2.3%
Puts
Pseudo strike
82.59
IV
26.0%
B/E move
2.1%

45Δ

Calls
Pseudo strike
83.85
IV
23.4%
B/E move
1.9%
Puts
Pseudo strike
83.05
IV
24.5%
B/E move
1.7%

50Δ

Calls
Pseudo strike
83.47
IV
22.9%
B/E move
1.6%
Puts
Pseudo strike
83.40
IV
22.9%
B/E move
1.4%

55Δ

Calls
Pseudo strike
83.09
IV
22.5%
B/E move
1.3%
Puts
Pseudo strike
83.76
IV
21.2%
B/E move
1.0%

60Δ

Calls
Pseudo strike
82.73
IV
21.8%
B/E move
1.1%
Puts
Pseudo strike
84.12
IV
20.1%
B/E move
0.8%

65Δ

Calls
Pseudo strike
82.39
IV
21.2%
B/E move
0.9%
Puts
Pseudo strike
84.51
IV
20.4%
B/E move
0.7%

70Δ

Calls
Pseudo strike
82.05
IV
20.5%
B/E move
0.7%
Puts
Pseudo strike
84.89
IV
20.7%
B/E move
0.5%

75Δ

Calls
Pseudo strike
81.71
IV
19.7%
B/E move
0.6%
Puts
Pseudo strike
85.50
IV
22.4%
B/E move
0.4%

80Δ

Calls
Pseudo strike
81.37
IV
18.8%
B/E move
0.4%
Puts
Pseudo strike
86.39
IV
25.8%
B/E move
0.3%

Options history

IV · four-Friday blend18.21%
Daily EOD
SCZ16.5%17.4%18.3%2026-10-19: 16.74%2026-10-20: 16.71%2026-10-21: 16.64%2026-10-22: 17.23%2026-10-23: 17.42%2026-10-26: 17.24%2026-10-27: 17.90%2026-10-28: 17.11%2026-10-29: 16.93%2026-10-30: 18.21%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
16.74%
16.71%
16.64%
17.23%
17.42%
17.24%
17.90%
17.11%
16.93%
18.21%