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First Trust Multi Cap Value AlphaDEX Fund FAB

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Market dataready · fetched 2026-11-03T23:50:34.217Z

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 · 2026-11-03T21:00:00.395544697Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-03T23:50:32.201563+00:00

Share price$106.66
1D-0.6%
AH$106.78$106.97$107.15$107.33$107.515:30 AM6:30 AM9:00 AM1:00 PM2:00 PMFAB
Sold putSold callAH

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$1.15$2.00$2.85$3.70$4.55$100.05$103.03$106.01$108.99$111.9720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ 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 —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive FAB spot · $106.66FAB PRICE$1.45$1.63$1.84$2.09$2.48$2.78$3.00$4.30$1.24$1.33$1.43$1.52$1.67$1.80$1.89$1.99$2.08$2.52$2.98$3.10$3.22
PutsExpensive2.85×
Calls——
Skew——
Implied moveBullish±$3.98
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ98.7746.3%8.6%
25Δ101.5637.3%6.0%
30Δ103.3631.6%4.4%
35Δ109.5827.7%4.1%104.6527.4%3.3%
40Δ108.5925.8%3.3%105.5824.8%2.6%
45Δ107.7524.3%2.7%106.3122.5%2.0%
50Δ107.0223.6%2.3%106.9520.1%1.5%
55Δ106.3123.9%2.0%107.4318.2%1.1%
60Δ105.6623.2%1.7%107.8916.5%0.8%
65Δ105.0621.7%1.3%108.5017.0%0.6%
70Δ103.7827.3%1.3%109.0717.6%0.5%
75Δ109.3716.0%0.4%
80Δ109.6714.3%0.2%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
98.77
IV
46.3%
B/E move
8.6%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
101.56
IV
37.3%
B/E move
6.0%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
103.36
IV
31.6%
B/E move
4.4%

35Δ

Calls
Pseudo strike
109.58
IV
27.7%
B/E move
4.1%
Puts
Pseudo strike
104.65
IV
27.4%
B/E move
3.3%

40Δ

Calls
Pseudo strike
108.59
IV
25.8%
B/E move
3.3%
Puts
Pseudo strike
105.58
IV
24.8%
B/E move
2.6%

45Δ

Calls
Pseudo strike
107.75
IV
24.3%
B/E move
2.7%
Puts
Pseudo strike
106.31
IV
22.5%
B/E move
2.0%

50Δ

Calls
Pseudo strike
107.02
IV
23.6%
B/E move
2.3%
Puts
Pseudo strike
106.95
IV
20.1%
B/E move
1.5%

55Δ

Calls
Pseudo strike
106.31
IV
23.9%
B/E move
2.0%
Puts
Pseudo strike
107.43
IV
18.2%
B/E move
1.1%

60Δ

Calls
Pseudo strike
105.66
IV
23.2%
B/E move
1.7%
Puts
Pseudo strike
107.89
IV
16.5%
B/E move
0.8%

65Δ

Calls
Pseudo strike
105.06
IV
21.7%
B/E move
1.3%
Puts
Pseudo strike
108.50
IV
17.0%
B/E move
0.6%

70Δ

Calls
Pseudo strike
103.78
IV
27.3%
B/E move
1.3%
Puts
Pseudo strike
109.07
IV
17.6%
B/E move
0.5%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
109.37
IV
16.0%
B/E move
0.4%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
109.67
IV
14.3%
B/E move
0.2%

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%