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First Trust Small Cap Growth AlphaDEX Fund FYC

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Market dataready · fetched 2026-11-07T17:03:07.513Z

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 · 2026-11-06T21:00:00.476593157Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-07T17:03:07.116145+00:00

Share price$111.06
1D+0.9%
AH$109.48$110.01$110.55$111.08$111.625:30 AM6:30 AM9:00 AM1:00 PM2:00 PMFYC
Sold putSold callAH

First Trust Small Cap Growth AlphaDEX Fund options

Live interpolated FYC call and put midpoint premiums by absolute delta.First Trust Small Cap Growth AlphaDEX Fund$0.36$2.10$3.84$5.58$7.32$103.42$107.28$111.14$115.00$118.8620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive FYC spot · $111.06FYC PRICE$0.54$0.71$0.91$1.14$1.43$1.77$2.12$2.55$3.06$3.64$4.39$5.45$6.82$0.84$1.02$1.28$1.52$1.72$1.99$2.29$2.62$2.94$3.27$3.60$4.05$4.59
PutsCheap0.93×
CallsExpensive1.06×
SkewNeutral-0.05 pp
Implied moveBearish±$4.41
TiltBullish4.2% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ115.6523.7%4.6%105.4634.7%5.8%
25Δ114.6623.1%3.9%106.9931.8%4.6%
30Δ113.9123.2%3.4%108.0331.1%3.9%
35Δ113.2523.5%3.0%108.9929.9%3.2%
40Δ112.6224.4%2.7%109.8828.0%2.6%
45Δ112.0225.5%2.5%110.6427.1%2.2%
50Δ111.3426.0%2.2%111.3526.5%1.8%
55Δ110.6326.8%1.9%112.0326.0%1.5%
60Δ109.8828.0%1.7%112.6825.2%1.2%
65Δ109.0529.1%1.5%113.3024.2%0.9%
70Δ108.0730.6%1.3%113.9123.2%0.7%
75Δ106.8333.1%1.1%114.5722.6%0.5%
80Δ105.2636.0%0.9%115.3022.1%0.3%

20Δ

Calls
Pseudo strike
115.65
IV
23.7%
B/E move
4.6%
Puts
Pseudo strike
105.46
IV
34.7%
B/E move
5.8%

25Δ

Calls
Pseudo strike
114.66
IV
23.1%
B/E move
3.9%
Puts
Pseudo strike
106.99
IV
31.8%
B/E move
4.6%

30Δ

Calls
Pseudo strike
113.91
IV
23.2%
B/E move
3.4%
Puts
Pseudo strike
108.03
IV
31.1%
B/E move
3.9%

35Δ

Calls
Pseudo strike
113.25
IV
23.5%
B/E move
3.0%
Puts
Pseudo strike
108.99
IV
29.9%
B/E move
3.2%

40Δ

Calls
Pseudo strike
112.62
IV
24.4%
B/E move
2.7%
Puts
Pseudo strike
109.88
IV
28.0%
B/E move
2.6%

45Δ

Calls
Pseudo strike
112.02
IV
25.5%
B/E move
2.5%
Puts
Pseudo strike
110.64
IV
27.1%
B/E move
2.2%

50Δ

Calls
Pseudo strike
111.34
IV
26.0%
B/E move
2.2%
Puts
Pseudo strike
111.35
IV
26.5%
B/E move
1.8%

55Δ

Calls
Pseudo strike
110.63
IV
26.8%
B/E move
1.9%
Puts
Pseudo strike
112.03
IV
26.0%
B/E move
1.5%

60Δ

Calls
Pseudo strike
109.88
IV
28.0%
B/E move
1.7%
Puts
Pseudo strike
112.68
IV
25.2%
B/E move
1.2%

65Δ

Calls
Pseudo strike
109.05
IV
29.1%
B/E move
1.5%
Puts
Pseudo strike
113.30
IV
24.2%
B/E move
0.9%

70Δ

Calls
Pseudo strike
108.07
IV
30.6%
B/E move
1.3%
Puts
Pseudo strike
113.91
IV
23.2%
B/E move
0.7%

75Δ

Calls
Pseudo strike
106.83
IV
33.1%
B/E move
1.1%
Puts
Pseudo strike
114.57
IV
22.6%
B/E move
0.5%

80Δ

Calls
Pseudo strike
105.26
IV
36.0%
B/E move
0.9%
Puts
Pseudo strike
115.30
IV
22.1%
B/E move
0.3%

Options history

IV · four-Friday blend22.10%
Daily close
FYC14.3%18.8%23.2%2026-08-10: 16.55%2026-08-11: 16.71%2026-08-12: 15.76%2026-08-13: 15.41%2026-08-14: 14.96%2026-08-17: 16.07%2026-08-18: 16.20%2026-08-19: 16.66%2026-08-20: 18.58%2026-08-21: 16.83%2026-08-24: 16.97%2026-08-25: 16.91%2026-08-26: 16.19%2026-08-27: 16.03%2026-08-28: 16.52%2026-08-31: 16.54%2026-09-01: 17.30%2026-09-02: 16.48%2026-09-03: 16.21%2026-09-04: 15.70%2026-09-08: 16.85%2026-09-09: 17.86%2026-09-10: 18.87%2026-09-11: 17.64%2026-09-14: 18.47%2026-09-15: 19.19%2026-09-16: 18.91%2026-09-17: 22.62%2026-09-18: 19.61%2026-09-21: 19.83%2026-09-22: 19.87%2026-09-23: 20.71%2026-09-24: 21.00%2026-09-25: 20.90%2026-09-28: 21.30%2026-09-29: 21.60%2026-09-30: 21.54%2026-10-01: 21.67%2026-10-02: 20.53%2026-10-05: 20.74%2026-10-06: 21.17%2026-10-07: 21.31%2026-10-09: 20.43%2026-10-12: 20.83%2026-10-16: 21.94%2026-10-19: 21.15%2026-10-20: 21.34%2026-10-21: 21.35%2026-10-22: 22.29%2026-10-23: 22.49%2026-10-26: 21.95%2026-10-27: 21.32%2026-10-28: 20.71%2026-10-29: 20.85%2026-10-30: 22.10%Aug 10Sep 17Oct 30
55 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
16.55%
16.71%
15.76%
15.41%
14.96%
16.07%
16.20%
16.66%
18.58%
16.83%
16.97%
16.91%
16.19%
16.03%
16.52%
16.54%
17.30%
16.48%
16.21%
15.70%
16.85%
17.86%
18.87%
17.64%
18.47%
19.19%
18.91%
22.62%
19.61%
19.83%
19.87%
20.71%
21.00%
20.90%
21.30%
21.60%
21.54%
21.67%
20.53%
20.74%
21.17%
21.31%
20.43%
20.83%
21.94%
21.15%
21.34%
21.35%
22.29%
22.49%
21.95%
21.32%
20.71%
20.85%
22.10%