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iShares ESG Aware MSCI USA Small-Cap ETF ESML

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Market dataready · fetched 2026-11-04T03:02:06.481Z

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 · 2026-11-04T01:00:02.573495719Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-04T03:02:06.131888+00:00

Share price$53.86
1D+0.4%
AH$53.59$53.78$53.98$54.18$54.385:30 AM6:30 AM9:00 AM1:00 PM2:00 PMESML
Sold putSold callAH

iShares ESG Aware MSCI USA Small-Cap ETF options

Live interpolated ESML call and put midpoint premiums by absolute delta.iShares ESG Aware MSCI USA Small-Cap ETF$0.36$1.22$2.08$2.94$3.80$50.27$52.21$54.16$56.11$58.0520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive ESML spot · $53.86ESML PRICE$0.46$0.53$0.62$0.72$0.84$1.01$1.18$1.45$1.74$2.09$2.49$2.97$3.55$0.55$0.62$0.68$0.74$0.84$0.95$1.06$1.20$1.34$1.48$1.66$1.88$2.10
PutsExpensive1.85×
CallsExpensive1.90×
SkewBullish-5.21 pp
Implied moveBullish±$2.24
TiltBullish13.1% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ57.8736.8%8.3%50.3040.9%7.6%
25Δ56.6932.0%6.2%51.4235.0%5.7%
30Δ55.8929.1%4.9%52.2630.0%4.2%
35Δ55.3327.3%4.1%52.8726.4%3.2%
40Δ54.8426.3%3.4%53.2924.7%2.6%
45Δ54.4426.3%3.0%53.6623.4%2.1%
50Δ54.0526.3%2.5%54.0222.1%1.7%
55Δ53.6327.4%2.3%54.3121.3%1.4%
60Δ53.2028.6%2.0%54.6020.6%1.1%
65Δ52.7229.9%1.8%54.9019.8%0.8%
70Δ52.1831.2%1.5%55.2019.1%0.6%
75Δ51.5632.5%1.3%55.5118.6%0.4%
80Δ50.8633.9%1.0%55.8218.1%0.3%

20Δ

Calls
Pseudo strike
57.87
IV
36.8%
B/E move
8.3%
Puts
Pseudo strike
50.30
IV
40.9%
B/E move
7.6%

25Δ

Calls
Pseudo strike
56.69
IV
32.0%
B/E move
6.2%
Puts
Pseudo strike
51.42
IV
35.0%
B/E move
5.7%

30Δ

Calls
Pseudo strike
55.89
IV
29.1%
B/E move
4.9%
Puts
Pseudo strike
52.26
IV
30.0%
B/E move
4.2%

35Δ

Calls
Pseudo strike
55.33
IV
27.3%
B/E move
4.1%
Puts
Pseudo strike
52.87
IV
26.4%
B/E move
3.2%

40Δ

Calls
Pseudo strike
54.84
IV
26.3%
B/E move
3.4%
Puts
Pseudo strike
53.29
IV
24.7%
B/E move
2.6%

45Δ

Calls
Pseudo strike
54.44
IV
26.3%
B/E move
3.0%
Puts
Pseudo strike
53.66
IV
23.4%
B/E move
2.1%

50Δ

Calls
Pseudo strike
54.05
IV
26.3%
B/E move
2.5%
Puts
Pseudo strike
54.02
IV
22.1%
B/E move
1.7%

55Δ

Calls
Pseudo strike
53.63
IV
27.4%
B/E move
2.3%
Puts
Pseudo strike
54.31
IV
21.3%
B/E move
1.4%

60Δ

Calls
Pseudo strike
53.20
IV
28.6%
B/E move
2.0%
Puts
Pseudo strike
54.60
IV
20.6%
B/E move
1.1%

65Δ

Calls
Pseudo strike
52.72
IV
29.9%
B/E move
1.8%
Puts
Pseudo strike
54.90
IV
19.8%
B/E move
0.8%

70Δ

Calls
Pseudo strike
52.18
IV
31.2%
B/E move
1.5%
Puts
Pseudo strike
55.20
IV
19.1%
B/E move
0.6%

75Δ

Calls
Pseudo strike
51.56
IV
32.5%
B/E move
1.3%
Puts
Pseudo strike
55.51
IV
18.6%
B/E move
0.4%

80Δ

Calls
Pseudo strike
50.86
IV
33.9%
B/E move
1.0%
Puts
Pseudo strike
55.82
IV
18.1%
B/E move
0.3%

Options history

IV · four-Friday blend21.47%
Daily close
ESML17.9%23.3%28.7%2026-08-05: 24.08%2026-08-06: 23.83%2026-08-07: 23.40%2026-08-10: 24.87%2026-08-11: 20.27%2026-08-12: 19.82%2026-08-13: 19.91%2026-08-14: 19.78%2026-08-17: 21.62%2026-08-18: 23.21%2026-08-20: 27.99%2026-08-21: 19.69%2026-08-24: 19.72%2026-08-25: 19.61%2026-08-26: 19.34%2026-08-27: 18.73%2026-08-28: 18.95%2026-08-31: 18.95%2026-09-01: 19.57%2026-09-02: 19.52%2026-09-03: 18.95%2026-09-04: 18.66%2026-09-08: 19.87%2026-09-09: 20.42%2026-09-10: 21.91%2026-09-11: 21.04%2026-09-14: 22.64%2026-09-15: 24.42%2026-09-16: 24.34%2026-09-17: 27.34%2026-09-18: 19.39%2026-09-21: 19.36%2026-09-22: 19.29%2026-09-23: 19.89%2026-09-24: 20.18%2026-09-25: 20.28%2026-09-28: 20.43%2026-09-29: 20.61%2026-09-30: 20.86%2026-10-01: 21.05%2026-10-02: 20.14%2026-10-05: 20.42%2026-10-06: 20.74%2026-10-07: 21.42%2026-10-08: 21.45%2026-10-09: 21.12%2026-10-12: 22.72%2026-10-13: 23.46%2026-10-14: 25.26%2026-10-16: 20.82%2026-10-19: 20.45%2026-10-20: 20.63%2026-10-21: 20.57%2026-10-22: 21.46%2026-10-23: 21.37%2026-10-26: 21.28%2026-10-27: 20.74%2026-10-28: 20.19%2026-10-29: 19.89%2026-10-30: 21.47%Aug 5Sep 17Oct 30
60 observations2026-08-05 — 2026-10-30
Table
DateIV (%)
24.08%
23.83%
23.40%
24.87%
20.27%
19.82%
19.91%
19.78%
21.62%
23.21%
27.99%
19.69%
19.72%
19.61%
19.34%
18.73%
18.95%
18.95%
19.57%
19.52%
18.95%
18.66%
19.87%
20.42%
21.91%
21.04%
22.64%
24.42%
24.34%
27.34%
19.39%
19.36%
19.29%
19.89%
20.18%
20.28%
20.43%
20.61%
20.86%
21.05%
20.14%
20.42%
20.74%
21.42%
21.45%
21.12%
22.72%
23.46%
25.26%
20.82%
20.45%
20.63%
20.57%
21.46%
21.37%
21.28%
20.74%
20.19%
19.89%
21.47%