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iShares MSCI USA Value Factor ETF VLUE

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Market dataready · fetched 2026-11-12T02:52:22.334Z

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 · 2026-11-12T01:00:07.673555899Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-12T02:52:21.942836+00:00

Share price$192.40
1D+1.7%
AH$189$190$191$192$1935:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVLUE
Sold putSold callAH

iShares MSCI USA Value Factor ETF options

Live interpolated VLUE call and put midpoint premiums by absolute delta.iShares MSCI USA Value Factor ETF$1.54$4.50$7.45$10.40$13.36$178.27$184.83$191.39$197.96$204.5220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VLUE spot · $192.40VLUE PRICE$1.86$1.98$2.17$2.23$2.44$2.75$3.07$3.47$3.98$4.42$5.72$7.01$8.30$1.99$2.15$2.47$2.88$3.26$3.66$4.29$5.02$5.71$6.56$7.71$9.79$12.51
PutsExpensive1.24×
CallsFair1.05×
SkewBearish+6.75 pp
Implied moveBearish±$7.36
TiltBearish15.8% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ208.8858.7%9.5%179.3657.5%7.8%
25Δ202.9846.7%6.5%183.7047.1%5.6%
30Δ199.2839.5%4.7%186.3042.2%4.5%
35Δ196.6632.3%3.4%188.2239.5%3.7%
40Δ195.0429.1%2.6%190.1136.6%2.9%
45Δ193.8227.5%2.2%191.5734.5%2.3%
50Δ192.7626.1%1.8%192.8734.4%2.0%
55Δ191.7825.3%1.5%194.1934.5%1.7%
60Δ190.8325.1%1.2%195.4633.9%1.4%
65Δ189.9124.1%1.0%196.8333.6%1.1%
70Δ188.3726.0%0.9%198.3934.2%0.9%
75Δ186.8427.8%0.8%200.7737.1%0.7%
80Δ185.3029.6%0.6%203.7940.6%0.6%

20Δ

Calls
Pseudo strike
208.88
IV
58.7%
B/E move
9.5%
Puts
Pseudo strike
179.36
IV
57.5%
B/E move
7.8%

25Δ

Calls
Pseudo strike
202.98
IV
46.7%
B/E move
6.5%
Puts
Pseudo strike
183.70
IV
47.1%
B/E move
5.6%

30Δ

Calls
Pseudo strike
199.28
IV
39.5%
B/E move
4.7%
Puts
Pseudo strike
186.30
IV
42.2%
B/E move
4.5%

35Δ

Calls
Pseudo strike
196.66
IV
32.3%
B/E move
3.4%
Puts
Pseudo strike
188.22
IV
39.5%
B/E move
3.7%

40Δ

Calls
Pseudo strike
195.04
IV
29.1%
B/E move
2.6%
Puts
Pseudo strike
190.11
IV
36.6%
B/E move
2.9%

45Δ

Calls
Pseudo strike
193.82
IV
27.5%
B/E move
2.2%
Puts
Pseudo strike
191.57
IV
34.5%
B/E move
2.3%

50Δ

Calls
Pseudo strike
192.76
IV
26.1%
B/E move
1.8%
Puts
Pseudo strike
192.87
IV
34.4%
B/E move
2.0%

55Δ

Calls
Pseudo strike
191.78
IV
25.3%
B/E move
1.5%
Puts
Pseudo strike
194.19
IV
34.5%
B/E move
1.7%

60Δ

Calls
Pseudo strike
190.83
IV
25.1%
B/E move
1.2%
Puts
Pseudo strike
195.46
IV
33.9%
B/E move
1.4%

65Δ

Calls
Pseudo strike
189.91
IV
24.1%
B/E move
1.0%
Puts
Pseudo strike
196.83
IV
33.6%
B/E move
1.1%

70Δ

Calls
Pseudo strike
188.37
IV
26.0%
B/E move
0.9%
Puts
Pseudo strike
198.39
IV
34.2%
B/E move
0.9%

75Δ

Calls
Pseudo strike
186.84
IV
27.8%
B/E move
0.8%
Puts
Pseudo strike
200.77
IV
37.1%
B/E move
0.7%

80Δ

Calls
Pseudo strike
185.30
IV
29.6%
B/E move
0.6%
Puts
Pseudo strike
203.79
IV
40.6%
B/E move
0.6%

Options history

IV · four-Friday blend22.27%
Daily EOD
VLUE21.7%22.1%22.4%2026-10-19: 22.33%2026-10-20: 21.87%2026-10-21: 21.77%2026-10-22: 21.91%2026-10-23: 22.40%2026-10-26: 22.28%2026-10-27: 22.23%2026-10-28: 22.18%2026-10-29: 21.80%2026-10-30: 22.27%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
22.33%
21.87%
21.77%
21.91%
22.40%
22.28%
22.23%
22.18%
21.80%
22.27%