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iShares MSCI USA Size Factor ETF SIZE

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Market dataready · fetched 2026-11-12T00:45:20.365Z

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 · 2026-11-11T23:30:00.003636691Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T00:45:19.957458+00:00

Share price$183.10
1D+0.6%
AH$181.89$182.22$182.55$182.88$183.215:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSIZE
Sold putSold callAH

iShares MSCI USA Size Factor ETF options

Live interpolated SIZE call and put midpoint premiums by absolute delta.iShares MSCI USA Size Factor ETF$1.44$1.98$2.53$3.07$3.62$175.25$179.07$182.89$186.71$190.5220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive SIZE spot · $183.10SIZE PRICE$1.50$1.50$1.50$1.53$1.68$1.83$2.12$2.54$2.98$1.50$1.50$1.89$2.29$2.52$2.58$3.15$3.36$3.46
Puts——
Calls——
Skew——
Implied moveBearish±$4.02
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ179.4327.1%2.8%
35Δ181.0122.0%2.0%
40Δ184.7818.9%1.7%181.7822.7%1.8%
45Δ183.9415.8%1.3%182.5823.0%1.5%
50Δ183.4113.6%1.0%183.3421.6%1.2%
55Δ182.9211.7%0.7%184.0518.9%0.9%
60Δ182.5511.0%0.6%184.8319.9%0.8%
65Δ182.1710.4%0.5%185.3618.5%0.6%
70Δ181.7210.3%0.4%185.8216.6%0.4%
75Δ181.2010.8%0.3%
80Δ180.6510.9%0.3%

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
179.43
IV
27.1%
B/E move
2.8%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
181.01
IV
22.0%
B/E move
2.0%

40Δ

Calls
Pseudo strike
184.78
IV
18.9%
B/E move
1.7%
Puts
Pseudo strike
181.78
IV
22.7%
B/E move
1.8%

45Δ

Calls
Pseudo strike
183.94
IV
15.8%
B/E move
1.3%
Puts
Pseudo strike
182.58
IV
23.0%
B/E move
1.5%

50Δ

Calls
Pseudo strike
183.41
IV
13.6%
B/E move
1.0%
Puts
Pseudo strike
183.34
IV
21.6%
B/E move
1.2%

55Δ

Calls
Pseudo strike
182.92
IV
11.7%
B/E move
0.7%
Puts
Pseudo strike
184.05
IV
18.9%
B/E move
0.9%

60Δ

Calls
Pseudo strike
182.55
IV
11.0%
B/E move
0.6%
Puts
Pseudo strike
184.83
IV
19.9%
B/E move
0.8%

65Δ

Calls
Pseudo strike
182.17
IV
10.4%
B/E move
0.5%
Puts
Pseudo strike
185.36
IV
18.5%
B/E move
0.6%

70Δ

Calls
Pseudo strike
181.72
IV
10.3%
B/E move
0.4%
Puts
Pseudo strike
185.82
IV
16.6%
B/E move
0.4%

75Δ

Calls
Pseudo strike
181.20
IV
10.8%
B/E move
0.3%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
180.65
IV
10.9%
B/E move
0.3%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend15.78%
Daily EOD
SIZE13.5%14.7%15.9%2026-10-19: 14.42%2026-10-20: 13.69%2026-10-21: 14.07%2026-10-22: 14.73%2026-10-23: 15.16%2026-10-26: 14.00%2026-10-27: 14.22%2026-10-28: 14.90%2026-10-29: 13.76%2026-10-30: 15.78%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
14.42%
13.69%
14.07%
14.73%
15.16%
14.00%
14.22%
14.90%
13.76%
15.78%