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iShares US Small Cap Value Factor ETF SVAL

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Market datapartial · fetched 2026-10-22T22:05:24.783Z

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 · 2026-10-22T20:10:06.855287465Z

FundamentalsAlpha Vantage · unavailable

Share price$42.87
1D+1.1%
AH$42.29$42.44$42.60$42.76$42.915:30 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$0.73$1.26$1.79$2.32$2.85$38.25$40.32$42.39$44.46$46.5320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SVAL spot · $42.87SVAL PRICE$0.79$0.85$0.92$1.01$1.10$1.19$1.28$1.38$1.51$1.75$1.98$0.80$0.86$0.96$1.03$1.12$1.21$1.32$1.44$1.57$1.79$2.18$2.70
PutsExpensive2.64×
CallsExpensive1.67×
SkewBearish+7.89 pp
Implied moveBearish±$2.42
TiltBearish10.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ38.1855.4%12.8%
25Δ39.7945.1%9.2%
30Δ45.6736.5%8.4%40.8339.4%7.0%
35Δ44.7331.6%6.3%41.5934.7%5.4%
40Δ44.0328.0%4.9%42.2131.0%4.1%
45Δ43.5825.9%4.0%42.6928.4%3.2%
50Δ43.1423.8%3.2%43.1226.2%2.5%
55Δ42.8022.1%2.6%43.4524.6%2.0%
60Δ42.5120.6%2.2%43.7923.1%1.5%
65Δ42.2219.2%1.7%44.1822.5%1.1%
70Δ41.9218.0%1.3%44.6623.6%0.9%
75Δ41.5917.8%1.1%45.2725.4%0.7%
80Δ41.2717.6%0.9%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
38.18
IV
55.4%
B/E move
12.8%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
39.79
IV
45.1%
B/E move
9.2%

30Δ

Calls
Pseudo strike
45.67
IV
36.5%
B/E move
8.4%
Puts
Pseudo strike
40.83
IV
39.4%
B/E move
7.0%

35Δ

Calls
Pseudo strike
44.73
IV
31.6%
B/E move
6.3%
Puts
Pseudo strike
41.59
IV
34.7%
B/E move
5.4%

40Δ

Calls
Pseudo strike
44.03
IV
28.0%
B/E move
4.9%
Puts
Pseudo strike
42.21
IV
31.0%
B/E move
4.1%

45Δ

Calls
Pseudo strike
43.58
IV
25.9%
B/E move
4.0%
Puts
Pseudo strike
42.69
IV
28.4%
B/E move
3.2%

50Δ

Calls
Pseudo strike
43.14
IV
23.8%
B/E move
3.2%
Puts
Pseudo strike
43.12
IV
26.2%
B/E move
2.5%

55Δ

Calls
Pseudo strike
42.80
IV
22.1%
B/E move
2.6%
Puts
Pseudo strike
43.45
IV
24.6%
B/E move
2.0%

60Δ

Calls
Pseudo strike
42.51
IV
20.6%
B/E move
2.2%
Puts
Pseudo strike
43.79
IV
23.1%
B/E move
1.5%

65Δ

Calls
Pseudo strike
42.22
IV
19.2%
B/E move
1.7%
Puts
Pseudo strike
44.18
IV
22.5%
B/E move
1.1%

70Δ

Calls
Pseudo strike
41.92
IV
18.0%
B/E move
1.3%
Puts
Pseudo strike
44.66
IV
23.6%
B/E move
0.9%

75Δ

Calls
Pseudo strike
41.59
IV
17.8%
B/E move
1.1%
Puts
Pseudo strike
45.27
IV
25.4%
B/E move
0.7%

80Δ

Calls
Pseudo strike
41.27
IV
17.6%
B/E move
0.9%
Puts
Pseudo strike
IV
B/E move

Options history

No recorded observations