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iShares U.S. Small Cap Equity Factor ETF SMLF

i

Market dataready · fetched 2026-11-12T02:18:53.874Z

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 · 2026-11-12T01:00:00.111438265Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T02:18:53.478706+00:00

Share price$86.56
1D+0.2%
AH$86.04$86.24$86.43$86.63$86.825:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSMLF
Sold putSold callAH

iShares U.S. Small Cap Equity Factor ETF options

Live interpolated SMLF call and put midpoint premiums by absolute delta.iShares U.S. Small Cap Equity Factor ETF$0.49$1.01$1.54$2.06$2.58$81.97$84.23$86.49$88.75$91.0120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SMLF spot · $86.56SMLF PRICE$0.55$0.58$0.61$0.65$0.70$0.76$0.83$0.90$0.98$1.05$1.26$1.46$1.67$0.59$0.60$0.65$0.71$0.78$0.85$0.93$1.01$1.19$1.40$1.62$1.96$2.43
PutsCheap0.89×
CallsCheap0.70×
SkewBearish+1.93 pp
Implied moveBearish±$1.76
TiltBearish10.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ91.2037.8%6.0%82.5538.4%5.3%
25Δ89.5029.6%4.1%84.0929.6%3.6%
30Δ88.5224.7%3.0%84.9824.9%2.6%
35Δ87.8321.0%2.2%85.5022.4%2.0%
40Δ87.3918.9%1.8%86.0120.0%1.5%
45Δ86.9816.9%1.4%86.3218.6%1.3%
50Δ86.7315.8%1.2%86.6217.2%1.0%
55Δ86.4914.8%1.0%86.9215.7%0.7%
60Δ86.2413.7%0.8%87.2315.6%0.6%
65Δ86.0012.6%0.6%87.5415.8%0.5%
70Δ85.7212.7%0.5%87.8516.1%0.4%
75Δ85.4512.7%0.4%88.2716.8%0.3%
80Δ85.1712.8%0.3%88.8018.1%0.2%

20Δ

Calls
Pseudo strike
91.20
IV
37.8%
B/E move
6.0%
Puts
Pseudo strike
82.55
IV
38.4%
B/E move
5.3%

25Δ

Calls
Pseudo strike
89.50
IV
29.6%
B/E move
4.1%
Puts
Pseudo strike
84.09
IV
29.6%
B/E move
3.6%

30Δ

Calls
Pseudo strike
88.52
IV
24.7%
B/E move
3.0%
Puts
Pseudo strike
84.98
IV
24.9%
B/E move
2.6%

35Δ

Calls
Pseudo strike
87.83
IV
21.0%
B/E move
2.2%
Puts
Pseudo strike
85.50
IV
22.4%
B/E move
2.0%

40Δ

Calls
Pseudo strike
87.39
IV
18.9%
B/E move
1.8%
Puts
Pseudo strike
86.01
IV
20.0%
B/E move
1.5%

45Δ

Calls
Pseudo strike
86.98
IV
16.9%
B/E move
1.4%
Puts
Pseudo strike
86.32
IV
18.6%
B/E move
1.3%

50Δ

Calls
Pseudo strike
86.73
IV
15.8%
B/E move
1.2%
Puts
Pseudo strike
86.62
IV
17.2%
B/E move
1.0%

55Δ

Calls
Pseudo strike
86.49
IV
14.8%
B/E move
1.0%
Puts
Pseudo strike
86.92
IV
15.7%
B/E move
0.7%

60Δ

Calls
Pseudo strike
86.24
IV
13.7%
B/E move
0.8%
Puts
Pseudo strike
87.23
IV
15.6%
B/E move
0.6%

65Δ

Calls
Pseudo strike
86.00
IV
12.6%
B/E move
0.6%
Puts
Pseudo strike
87.54
IV
15.8%
B/E move
0.5%

70Δ

Calls
Pseudo strike
85.72
IV
12.7%
B/E move
0.5%
Puts
Pseudo strike
87.85
IV
16.1%
B/E move
0.4%

75Δ

Calls
Pseudo strike
85.45
IV
12.7%
B/E move
0.4%
Puts
Pseudo strike
88.27
IV
16.8%
B/E move
0.3%

80Δ

Calls
Pseudo strike
85.17
IV
12.8%
B/E move
0.3%
Puts
Pseudo strike
88.80
IV
18.1%
B/E move
0.2%

Options history

IV · four-Friday blend15.63%
Daily EOD
SMLF12.0%20.8%29.6%2026-10-19: 14.32%2026-10-20: 13.30%2026-10-21: 15.29%2026-10-22: 25.26%2026-10-23: 28.42%2026-10-26: 14.46%2026-10-27: 13.83%2026-10-28: 14.28%2026-10-29: 13.23%2026-10-30: 15.63%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
14.32%
13.30%
15.29%
25.26%
28.42%
14.46%
13.83%
14.28%
13.23%
15.63%