IntraAlpha
Create free account Start free

iShares Russell 2500 ETF SMMD

i

Market dataready · fetched 2026-10-23T04:43:36.436Z

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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-23T00:00:06.915705775Z

FundamentalsAlpha Vantage · ready · fetched 2026-10-23T04:43:36.014692+00:00

Share price$86.04
1D+0.3%
AH$85.19$85.42$85.65$85.87$86.105:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSMMD
Sold putSold callAH

iShares Russell 2500 ETF options

Live interpolated SMMD call and put midpoint premiums by absolute delta.iShares Russell 2500 ETF$0.33$1.61$2.90$4.19$5.47$76.09$80.89$85.70$90.50$95.3120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SMMD spot · $86.04SMMD PRICE$0.47$0.57$0.74$0.92$1.10$1.33$1.67$2.02$2.37$2.66$2.92$3.34$4.11$0.62$0.83$1.01$1.24$1.50$1.77$2.10$2.45$2.77$3.25$3.90$4.59$5.10
PutsCheap0.64×
CallsCheap0.57×
SkewBearish+3.89 pp
Implied moveBearish±$3.77
TiltBearish12.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ90.1717.8%5.3%82.0022.8%5.4%
25Δ89.0816.3%4.2%82.9022.5%4.6%
30Δ88.5016.5%3.7%83.7821.5%3.8%
35Δ87.9516.7%3.3%84.5021.2%3.2%
40Δ87.4216.6%2.9%85.1721.2%2.8%
45Δ86.8916.7%2.5%85.8121.1%2.3%
50Δ86.3817.9%2.3%86.4521.1%2.0%
55Δ85.8518.7%2.1%87.0921.2%1.6%
60Δ85.2719.0%1.8%87.7020.7%1.3%
65Δ84.7218.6%1.6%88.4120.9%1.0%
70Δ84.2117.7%1.3%89.2521.8%0.8%
75Δ83.5917.6%1.0%90.1322.2%0.6%
80Δ82.6918.9%0.9%90.8621.3%0.3%

20Δ

Calls
Pseudo strike
90.17
IV
17.8%
B/E move
5.3%
Puts
Pseudo strike
82.00
IV
22.8%
B/E move
5.4%

25Δ

Calls
Pseudo strike
89.08
IV
16.3%
B/E move
4.2%
Puts
Pseudo strike
82.90
IV
22.5%
B/E move
4.6%

30Δ

Calls
Pseudo strike
88.50
IV
16.5%
B/E move
3.7%
Puts
Pseudo strike
83.78
IV
21.5%
B/E move
3.8%

35Δ

Calls
Pseudo strike
87.95
IV
16.7%
B/E move
3.3%
Puts
Pseudo strike
84.50
IV
21.2%
B/E move
3.2%

40Δ

Calls
Pseudo strike
87.42
IV
16.6%
B/E move
2.9%
Puts
Pseudo strike
85.17
IV
21.2%
B/E move
2.8%

45Δ

Calls
Pseudo strike
86.89
IV
16.7%
B/E move
2.5%
Puts
Pseudo strike
85.81
IV
21.1%
B/E move
2.3%

50Δ

Calls
Pseudo strike
86.38
IV
17.9%
B/E move
2.3%
Puts
Pseudo strike
86.45
IV
21.1%
B/E move
2.0%

55Δ

Calls
Pseudo strike
85.85
IV
18.7%
B/E move
2.1%
Puts
Pseudo strike
87.09
IV
21.2%
B/E move
1.6%

60Δ

Calls
Pseudo strike
85.27
IV
19.0%
B/E move
1.8%
Puts
Pseudo strike
87.70
IV
20.7%
B/E move
1.3%

65Δ

Calls
Pseudo strike
84.72
IV
18.6%
B/E move
1.6%
Puts
Pseudo strike
88.41
IV
20.9%
B/E move
1.0%

70Δ

Calls
Pseudo strike
84.21
IV
17.7%
B/E move
1.3%
Puts
Pseudo strike
89.25
IV
21.8%
B/E move
0.8%

75Δ

Calls
Pseudo strike
83.59
IV
17.6%
B/E move
1.0%
Puts
Pseudo strike
90.13
IV
22.2%
B/E move
0.6%

80Δ

Calls
Pseudo strike
82.69
IV
18.9%
B/E move
0.9%
Puts
Pseudo strike
90.86
IV
21.3%
B/E move
0.3%

Options history

No recorded observations