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iShares US Small Cap Value Factor ETF SVAL

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Market datapartial · fetched 2026-11-12T00:48:40.597Z

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 · 2026-11-11T23:30:06.903226957Z

FundamentalsAlpha Vantage · unavailable

Share price$42.68
1D+0.0%
AH$42.47$42.54$42.61$42.68$42.755:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSVAL
Sold putSold callAH

iShares US Small Cap Value Factor ETF options

Live interpolated SVAL call and put midpoint premiums by absolute delta.iShares US Small Cap Value Factor ETF$0.67$0.94$1.21$1.47$1.74$38.43$40.46$42.49$44.53$46.5620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive SVAL spot · $42.68SVAL PRICE$0.70$0.70$0.72$0.77$0.83$0.91$0.99$1.08$1.16$1.32$1.49$1.66$0.70$0.72$0.77$0.80$0.84$0.91$0.97$1.04$1.13$1.21$1.30$1.38$1.60
PutsCheap0.81×
Calls——
Skew——
Implied moveBearish±$1.88
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ38.3988.7%11.7%
25Δ46.5775.1%10.7%39.9669.2%8.1%
30Δ44.9958.1%7.0%40.9058.2%6.0%
35Δ44.1248.3%5.1%41.5449.9%4.5%
40Δ43.6143.0%4.0%42.0843.0%3.4%
45Δ43.1638.4%3.1%42.4139.5%2.8%
50Δ42.8335.5%2.5%42.7435.9%2.1%
55Δ42.5733.4%2.1%43.0432.7%1.6%
60Δ42.3031.2%1.6%43.2430.6%1.3%
65Δ42.0429.1%1.2%43.4428.5%1.1%
70Δ41.7828.0%1.0%43.6426.4%0.8%
75Δ41.5327.2%0.8%43.8324.3%0.5%
80Δ41.2826.3%0.6%44.1524.0%0.3%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
38.39
IV
88.7%
B/E move
11.7%

25Δ

Calls
Pseudo strike
46.57
IV
75.1%
B/E move
10.7%
Puts
Pseudo strike
39.96
IV
69.2%
B/E move
8.1%

30Δ

Calls
Pseudo strike
44.99
IV
58.1%
B/E move
7.0%
Puts
Pseudo strike
40.90
IV
58.2%
B/E move
6.0%

35Δ

Calls
Pseudo strike
44.12
IV
48.3%
B/E move
5.1%
Puts
Pseudo strike
41.54
IV
49.9%
B/E move
4.5%

40Δ

Calls
Pseudo strike
43.61
IV
43.0%
B/E move
4.0%
Puts
Pseudo strike
42.08
IV
43.0%
B/E move
3.4%

45Δ

Calls
Pseudo strike
43.16
IV
38.4%
B/E move
3.1%
Puts
Pseudo strike
42.41
IV
39.5%
B/E move
2.8%

50Δ

Calls
Pseudo strike
42.83
IV
35.5%
B/E move
2.5%
Puts
Pseudo strike
42.74
IV
35.9%
B/E move
2.1%

55Δ

Calls
Pseudo strike
42.57
IV
33.4%
B/E move
2.1%
Puts
Pseudo strike
43.04
IV
32.7%
B/E move
1.6%

60Δ

Calls
Pseudo strike
42.30
IV
31.2%
B/E move
1.6%
Puts
Pseudo strike
43.24
IV
30.6%
B/E move
1.3%

65Δ

Calls
Pseudo strike
42.04
IV
29.1%
B/E move
1.2%
Puts
Pseudo strike
43.44
IV
28.5%
B/E move
1.1%

70Δ

Calls
Pseudo strike
41.78
IV
28.0%
B/E move
1.0%
Puts
Pseudo strike
43.64
IV
26.4%
B/E move
0.8%

75Δ

Calls
Pseudo strike
41.53
IV
27.2%
B/E move
0.8%
Puts
Pseudo strike
43.83
IV
24.3%
B/E move
0.5%

80Δ

Calls
Pseudo strike
41.28
IV
26.3%
B/E move
0.6%
Puts
Pseudo strike
44.15
IV
24.0%
B/E move
0.3%

Options history

IV · four-Friday blend24.33%
Daily EOD
SVAL24.2%25.1%26.0%2026-10-19: 25.24%2026-10-20: 25.03%2026-10-21: 24.72%2026-10-22: 24.87%2026-10-23: 25.86%2026-10-26: 25.27%2026-10-27: 25.19%2026-10-28: 25.45%2026-10-29: 25.39%2026-10-30: 24.33%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
25.24%
25.03%
24.72%
24.87%
25.86%
25.27%
25.19%
25.45%
25.39%
24.33%