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First Trust Multi Cap Value AlphaDEX Fund FAB

i

Market dataready · fetched 2026-11-03T14:44:40.404Z

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 · 2026-11-03T14:32:27.283727116Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-03T14:44:39.986550+00:00

Share price$107.46
1D+0.0%
$107.41$107.43$107.46$107.49$107.515:30 AM6:30 AM9:00 AM1:00 PMFAB
Sold putSold call

First Trust Multi Cap Value AlphaDEX Fund options

Live interpolated FAB call and put midpoint premiums by absolute delta.First Trust Multi Cap Value AlphaDEX Fund$1.19$1.82$2.44$3.07$3.70$101.28$104.14$107.00$109.86$112.7220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive FAB spot · $107.46FAB PRICE$1.59$1.75$1.91$2.12$2.39$2.68$3.18$3.47$3.52$1.26$1.36$1.49$1.68$1.82$2.02$2.16$2.44$2.78$3.16
Puts——
Calls——
Skew——
Implied moveBearish±$4.07
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ99.4646.1%8.6%
25Δ102.2537.6%6.1%
30Δ104.0632.2%4.5%
35Δ105.2629.5%3.6%
40Δ109.3424.7%3.2%106.2826.5%2.8%
45Δ108.5222.7%2.6%107.0824.8%2.2%
50Δ107.8221.1%2.1%107.7922.5%1.7%
55Δ107.2120.1%1.7%108.4321.7%1.4%
60Δ106.6319.5%1.4%109.0521.5%1.1%
65Δ106.0519.1%1.2%109.6821.2%0.9%
70Δ105.3619.7%1.0%
75Δ104.8618.9%0.8%
80Δ104.5716.5%0.6%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
99.46
IV
46.1%
B/E move
8.6%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
102.25
IV
37.6%
B/E move
6.1%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
104.06
IV
32.2%
B/E move
4.5%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
105.26
IV
29.5%
B/E move
3.6%

40Δ

Calls
Pseudo strike
109.34
IV
24.7%
B/E move
3.2%
Puts
Pseudo strike
106.28
IV
26.5%
B/E move
2.8%

45Δ

Calls
Pseudo strike
108.52
IV
22.7%
B/E move
2.6%
Puts
Pseudo strike
107.08
IV
24.8%
B/E move
2.2%

50Δ

Calls
Pseudo strike
107.82
IV
21.1%
B/E move
2.1%
Puts
Pseudo strike
107.79
IV
22.5%
B/E move
1.7%

55Δ

Calls
Pseudo strike
107.21
IV
20.1%
B/E move
1.7%
Puts
Pseudo strike
108.43
IV
21.7%
B/E move
1.4%

60Δ

Calls
Pseudo strike
106.63
IV
19.5%
B/E move
1.4%
Puts
Pseudo strike
109.05
IV
21.5%
B/E move
1.1%

65Δ

Calls
Pseudo strike
106.05
IV
19.1%
B/E move
1.2%
Puts
Pseudo strike
109.68
IV
21.2%
B/E move
0.9%

70Δ

Calls
Pseudo strike
105.36
IV
19.7%
B/E move
1.0%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
104.86
IV
18.9%
B/E move
0.8%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
104.57
IV
16.5%
B/E move
0.6%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend18.18%
Daily close
FAB14.8%20.8%26.8%2026-08-05: 17.25%2026-08-06: 16.49%2026-08-07: 15.93%2026-08-10: 16.40%2026-08-11: 16.42%2026-08-12: 16.76%2026-08-13: 16.17%2026-08-14: 17.04%2026-08-17: 18.85%2026-08-18: 19.91%2026-08-19: 20.97%2026-08-20: 24.41%2026-08-21: 16.28%2026-08-24: 16.39%2026-08-25: 16.63%2026-08-26: 16.33%2026-08-27: 16.48%2026-08-28: 16.26%2026-08-31: 16.66%2026-09-01: 16.91%2026-09-02: 16.62%2026-09-03: 15.65%2026-09-04: 16.42%2026-09-08: 17.66%2026-09-09: 18.66%2026-09-10: 18.88%2026-09-11: 18.48%2026-09-14: 20.17%2026-09-15: 20.86%2026-09-16: 22.71%2026-09-17: 25.98%2026-09-18: 16.93%2026-09-21: 16.21%2026-09-22: 16.40%2026-09-23: 16.38%2026-09-24: 17.26%2026-09-25: 16.17%2026-09-28: 16.58%2026-09-29: 17.20%2026-09-30: 21.61%2026-10-01: 17.29%2026-10-02: 17.14%2026-10-05: 18.03%2026-10-06: 17.41%2026-10-07: 17.98%2026-10-08: 18.44%2026-10-09: 18.55%2026-10-12: 19.56%2026-10-13: 20.08%2026-10-14: 21.63%2026-10-15: 24.79%2026-10-16: 17.22%2026-10-19: 16.99%2026-10-20: 15.89%2026-10-21: 15.77%2026-10-23: 16.34%2026-10-26: 18.45%2026-10-27: 18.00%2026-10-28: 17.72%2026-10-29: 17.05%2026-10-30: 18.18%Aug 5Sep 17Oct 30
61 observations2026-08-05 — 2026-10-30
Table
DateIV (%)
17.25%
16.49%
15.93%
16.40%
16.42%
16.76%
16.17%
17.04%
18.85%
19.91%
20.97%
24.41%
16.28%
16.39%
16.63%
16.33%
16.48%
16.26%
16.66%
16.91%
16.62%
15.65%
16.42%
17.66%
18.66%
18.88%
18.48%
20.17%
20.86%
22.71%
25.98%
16.93%
16.21%
16.40%
16.38%
17.26%
16.17%
16.58%
17.20%
21.61%
17.29%
17.14%
18.03%
17.41%
17.98%
18.44%
18.55%
19.56%
20.08%
21.63%
24.79%
17.22%
16.99%
15.89%
15.77%
16.34%
18.45%
18.00%
17.72%
17.05%
18.18%