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Amplify BlackSwan Growth & Treasure Core ETF SWAN

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Market dataready · fetched 2026-11-12T00:48:49.989Z

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 · 2026-11-11T23:30:00.003516341Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T00:48:49.682955+00:00

Share price$32.19
1D+0.9%
AH$31.90$32.00$32.09$32.19$32.285:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSWAN
Sold putSold callAH

Amplify BlackSwan Growth & Treasure Core ETF options

Live interpolated SWAN call and put midpoint premiums by absolute delta.Amplify BlackSwan Growth & Treasure Core ETF$0.34$0.68$1.02$1.36$1.70$30.06$31.16$32.25$33.35$34.4420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SWAN spot · $32.19SWAN PRICE$0.38$0.38$0.38$0.39$0.45$0.50$0.56$0.62$0.75$0.96$1.18$1.39$1.60$0.38$0.38$0.39$0.42$0.46$0.50$0.57$0.64$0.71$0.78$0.85$0.92$1.18
PutsFair0.95×
CallsFair0.96×
SkewBullish-2.44 pp
Implied moveBalanced±$1.13
TiltBullish7.6% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ35.6171.0%11.8%29.7564.5%8.8%
25Δ34.1952.6%7.4%30.6649.3%5.9%
30Δ33.4841.8%5.2%31.1840.9%4.4%
35Δ32.9533.9%3.6%31.5036.3%3.5%
40Δ32.7432.3%3.1%31.8231.8%2.6%
45Δ32.5330.6%2.6%32.0628.7%2.0%
50Δ32.3229.0%2.1%32.2227.5%1.7%
55Δ32.1127.4%1.7%32.3726.4%1.4%
60Δ31.8726.6%1.3%32.5225.2%1.2%
65Δ31.6126.8%1.2%32.6824.0%0.9%
70Δ31.3426.9%1.0%32.8322.8%0.7%
75Δ31.0827.1%0.8%32.9821.6%0.4%
80Δ30.8127.2%0.7%33.2922.5%0.3%

20Δ

Calls
Pseudo strike
35.61
IV
71.0%
B/E move
11.8%
Puts
Pseudo strike
29.75
IV
64.5%
B/E move
8.8%

25Δ

Calls
Pseudo strike
34.19
IV
52.6%
B/E move
7.4%
Puts
Pseudo strike
30.66
IV
49.3%
B/E move
5.9%

30Δ

Calls
Pseudo strike
33.48
IV
41.8%
B/E move
5.2%
Puts
Pseudo strike
31.18
IV
40.9%
B/E move
4.4%

35Δ

Calls
Pseudo strike
32.95
IV
33.9%
B/E move
3.6%
Puts
Pseudo strike
31.50
IV
36.3%
B/E move
3.5%

40Δ

Calls
Pseudo strike
32.74
IV
32.3%
B/E move
3.1%
Puts
Pseudo strike
31.82
IV
31.8%
B/E move
2.6%

45Δ

Calls
Pseudo strike
32.53
IV
30.6%
B/E move
2.6%
Puts
Pseudo strike
32.06
IV
28.7%
B/E move
2.0%

50Δ

Calls
Pseudo strike
32.32
IV
29.0%
B/E move
2.1%
Puts
Pseudo strike
32.22
IV
27.5%
B/E move
1.7%

55Δ

Calls
Pseudo strike
32.11
IV
27.4%
B/E move
1.7%
Puts
Pseudo strike
32.37
IV
26.4%
B/E move
1.4%

60Δ

Calls
Pseudo strike
31.87
IV
26.6%
B/E move
1.3%
Puts
Pseudo strike
32.52
IV
25.2%
B/E move
1.2%

65Δ

Calls
Pseudo strike
31.61
IV
26.8%
B/E move
1.2%
Puts
Pseudo strike
32.68
IV
24.0%
B/E move
0.9%

70Δ

Calls
Pseudo strike
31.34
IV
26.9%
B/E move
1.0%
Puts
Pseudo strike
32.83
IV
22.8%
B/E move
0.7%

75Δ

Calls
Pseudo strike
31.08
IV
27.1%
B/E move
0.8%
Puts
Pseudo strike
32.98
IV
21.6%
B/E move
0.4%

80Δ

Calls
Pseudo strike
30.81
IV
27.2%
B/E move
0.7%
Puts
Pseudo strike
33.29
IV
22.5%
B/E move
0.3%

Options history

IV · four-Friday blend16.77%
Daily EOD
SWAN13.8%15.4%17.0%2026-10-19: 14.06%2026-10-20: 14.45%2026-10-21: 14.37%2026-10-22: 14.32%2026-10-23: 15.11%2026-10-26: 14.12%2026-10-28: 16.73%2026-10-29: 16.13%2026-10-30: 16.77%Oct 19Oct 23Oct 30
9 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
14.06%
14.45%
14.37%
14.32%
15.11%
14.12%
16.73%
16.13%
16.77%