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First Trust Exchange-Traded Fund II First Trust NASDAQ Cybersecurity ETF CIBR

i

Market dataready · fetched 2026-11-04T08:47:22.512Z

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 · 2026-11-04T00:51:36.834036701Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-04T08:47:22.051903+00:00

Share price$97.25
1D+0.7%
AH$96.60$96.99$97.38$97.77$98.165:30 AM6:30 AM9:00 AM1:00 PM2:00 PMCIBR
Sold putSold callAH

First Trust Exchange-Traded Fund II First Trust NASDAQ Cybersecurity ETF options

Live interpolated CIBR call and put midpoint premiums by absolute delta.First Trust Exchange-Traded Fund II First Trust NASDAQ Cybersecurity ETF$0.73$3.41$6.08$8.76$11.43$84.93$91.90$98.86$105.83$112.8020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive CIBR spot · $97.25CIBR PRICE$1.02$1.34$1.73$2.12$2.50$3.03$3.58$4.14$4.70$5.37$6.16$6.94$7.73$1.12$1.53$1.95$2.36$2.87$3.48$4.10$4.72$5.44$6.54$7.64$8.74$10.66
PutsFair1.01×
CallsExpensive1.08×
SkewBearish+1.72 pp
Implied moveBearish±$7.68
TiltBearish9.7% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ106.5546.9%10.6%90.1446.6%8.5%
25Δ104.4845.7%8.8%91.5046.4%7.5%
30Δ103.0745.6%7.8%92.8646.2%6.5%
35Δ101.6745.4%6.7%94.2246.0%5.5%
40Δ100.2745.3%5.7%95.5145.9%4.7%
45Δ99.0545.2%5.0%96.7045.9%4.1%
50Δ97.8845.2%4.3%97.8945.9%3.6%
55Δ96.7145.2%3.7%99.0845.8%3.0%
60Δ95.5445.1%3.1%100.3346.0%2.4%
65Δ94.3544.6%2.5%101.8146.6%2.0%
70Δ93.1443.7%2.1%103.2947.2%1.6%
75Δ91.9442.9%1.7%104.7847.8%1.2%
80Δ90.7342.0%1.2%107.0249.0%0.9%

20Δ

Calls
Pseudo strike
106.55
IV
46.9%
B/E move
10.6%
Puts
Pseudo strike
90.14
IV
46.6%
B/E move
8.5%

25Δ

Calls
Pseudo strike
104.48
IV
45.7%
B/E move
8.8%
Puts
Pseudo strike
91.50
IV
46.4%
B/E move
7.5%

30Δ

Calls
Pseudo strike
103.07
IV
45.6%
B/E move
7.8%
Puts
Pseudo strike
92.86
IV
46.2%
B/E move
6.5%

35Δ

Calls
Pseudo strike
101.67
IV
45.4%
B/E move
6.7%
Puts
Pseudo strike
94.22
IV
46.0%
B/E move
5.5%

40Δ

Calls
Pseudo strike
100.27
IV
45.3%
B/E move
5.7%
Puts
Pseudo strike
95.51
IV
45.9%
B/E move
4.7%

45Δ

Calls
Pseudo strike
99.05
IV
45.2%
B/E move
5.0%
Puts
Pseudo strike
96.70
IV
45.9%
B/E move
4.1%

50Δ

Calls
Pseudo strike
97.88
IV
45.2%
B/E move
4.3%
Puts
Pseudo strike
97.89
IV
45.9%
B/E move
3.6%

55Δ

Calls
Pseudo strike
96.71
IV
45.2%
B/E move
3.7%
Puts
Pseudo strike
99.08
IV
45.8%
B/E move
3.0%

60Δ

Calls
Pseudo strike
95.54
IV
45.1%
B/E move
3.1%
Puts
Pseudo strike
100.33
IV
46.0%
B/E move
2.4%

65Δ

Calls
Pseudo strike
94.35
IV
44.6%
B/E move
2.5%
Puts
Pseudo strike
101.81
IV
46.6%
B/E move
2.0%

70Δ

Calls
Pseudo strike
93.14
IV
43.7%
B/E move
2.1%
Puts
Pseudo strike
103.29
IV
47.2%
B/E move
1.6%

75Δ

Calls
Pseudo strike
91.94
IV
42.9%
B/E move
1.7%
Puts
Pseudo strike
104.78
IV
47.8%
B/E move
1.2%

80Δ

Calls
Pseudo strike
90.73
IV
42.0%
B/E move
1.2%
Puts
Pseudo strike
107.02
IV
49.0%
B/E move
0.9%

Options history

IV · four-Friday blend37.59%
Daily EOD
CIBR30.6%34.4%38.1%2026-10-19: 31.32%2026-10-20: 31.36%2026-10-21: 31.16%2026-10-22: 32.11%2026-10-23: 33.97%2026-10-26: 34.70%2026-10-27: 33.90%2026-10-28: 31.82%2026-10-29: 32.69%2026-10-30: 37.59%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
31.32%
31.36%
31.16%
32.11%
33.97%
34.70%
33.90%
31.82%
32.69%
37.59%