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iShares Russell 2000 ETF IWM

i

Market dataready · fetched 2026-11-07T01:44:56.926Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-07T01:00:00.001749445Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-07T01:44:55.217234+00:00

NewsAlpha Vantage · collected 2026-11-06T06:07:00.816534+00:00

Share price$273.67
1D+0.8%
AH$270$272$273$274$2755:30 AM6:30 AM9:00 AM1:00 PM2:00 PMIWM
Sold putSold callAH

iShares Russell 2000 ETF options

Live interpolated IWM call and put midpoint premiums by absolute delta.iShares Russell 2000 ETF$0.61$3.25$5.88$8.52$11.16$261.83$268.53$275.23$281.93$288.6320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive IWM spot · $273.67IWM PRICE$0.90$1.23$1.60$2.02$2.50$3.04$3.65$4.34$5.16$6.09$7.23$8.62$10.40$1.26$1.61$1.99$2.39$2.82$3.28$3.77$4.32$4.90$5.54$6.26$7.07$8.01
PutsExpensive1.05×
CallsFair1.03×
SkewNeutral-0.21 pp
Implied moveBalanced±$7.42
TiltBullish3.2% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ280.9521.5%3.0%264.9429.1%3.6%
25Δ279.7022.0%2.7%267.0227.9%3.0%
30Δ278.5322.5%2.4%268.7327.0%2.5%
35Δ277.4123.1%2.1%270.2426.2%2.1%
40Δ276.2923.6%1.9%271.5925.6%1.8%
45Δ275.1824.1%1.7%272.8525.0%1.5%
50Δ274.0324.6%1.5%274.0324.4%1.2%
55Δ272.8425.2%1.3%275.1724.0%1.0%
60Δ271.5725.9%1.1%276.2923.5%0.8%
65Δ270.2026.6%1.0%277.4023.0%0.7%
70Δ268.6627.4%0.8%278.5322.5%0.5%
75Δ266.8928.5%0.7%279.7122.1%0.4%
80Δ264.7529.8%0.5%280.9921.6%0.3%

20Δ

Calls
Pseudo strike
280.95
IV
21.5%
B/E move
3.0%
Puts
Pseudo strike
264.94
IV
29.1%
B/E move
3.6%

25Δ

Calls
Pseudo strike
279.70
IV
22.0%
B/E move
2.7%
Puts
Pseudo strike
267.02
IV
27.9%
B/E move
3.0%

30Δ

Calls
Pseudo strike
278.53
IV
22.5%
B/E move
2.4%
Puts
Pseudo strike
268.73
IV
27.0%
B/E move
2.5%

35Δ

Calls
Pseudo strike
277.41
IV
23.1%
B/E move
2.1%
Puts
Pseudo strike
270.24
IV
26.2%
B/E move
2.1%

40Δ

Calls
Pseudo strike
276.29
IV
23.6%
B/E move
1.9%
Puts
Pseudo strike
271.59
IV
25.6%
B/E move
1.8%

45Δ

Calls
Pseudo strike
275.18
IV
24.1%
B/E move
1.7%
Puts
Pseudo strike
272.85
IV
25.0%
B/E move
1.5%

50Δ

Calls
Pseudo strike
274.03
IV
24.6%
B/E move
1.5%
Puts
Pseudo strike
274.03
IV
24.4%
B/E move
1.2%

55Δ

Calls
Pseudo strike
272.84
IV
25.2%
B/E move
1.3%
Puts
Pseudo strike
275.17
IV
24.0%
B/E move
1.0%

60Δ

Calls
Pseudo strike
271.57
IV
25.9%
B/E move
1.1%
Puts
Pseudo strike
276.29
IV
23.5%
B/E move
0.8%

65Δ

Calls
Pseudo strike
270.20
IV
26.6%
B/E move
1.0%
Puts
Pseudo strike
277.40
IV
23.0%
B/E move
0.7%

70Δ

Calls
Pseudo strike
268.66
IV
27.4%
B/E move
0.8%
Puts
Pseudo strike
278.53
IV
22.5%
B/E move
0.5%

75Δ

Calls
Pseudo strike
266.89
IV
28.5%
B/E move
0.7%
Puts
Pseudo strike
279.71
IV
22.1%
B/E move
0.4%

80Δ

Calls
Pseudo strike
264.75
IV
29.8%
B/E move
0.5%
Puts
Pseudo strike
280.99
IV
21.6%
B/E move
0.3%

Options history

IV · four-Friday blend23.41%
Daily close
IWM13.2%19.4%25.6%2026-08-10: 16.91%2026-08-11: 17.38%2026-08-12: 15.04%2026-08-13: 14.05%2026-08-14: 14.40%2026-08-17: 14.94%2026-08-18: 16.03%2026-08-19: 14.97%2026-08-20: 17.62%2026-08-21: 15.80%2026-08-24: 17.05%2026-08-25: 16.63%2026-08-26: 16.72%2026-08-27: 16.97%2026-08-28: 15.22%2026-08-31: 16.38%2026-09-01: 18.88%2026-09-02: 17.13%2026-09-03: 16.54%2026-09-04: 15.16%2026-09-08: 18.04%2026-09-09: 19.95%2026-09-10: 24.75%2026-09-11: 17.71%2026-09-14: 19.27%2026-09-15: 21.36%2026-09-16: 20.22%2026-09-17: 16.79%2026-09-18: 15.48%2026-09-21: 16.30%2026-09-22: 16.52%2026-09-23: 18.11%2026-09-24: 19.06%2026-09-25: 17.63%2026-09-28: 19.68%2026-09-29: 19.86%2026-09-30: 20.16%2026-10-01: 20.92%2026-10-02: 16.81%2026-10-05: 17.40%2026-10-06: 17.42%2026-10-07: 17.78%2026-10-08: 18.13%2026-10-09: 16.46%2026-10-12: 17.45%2026-10-13: 18.32%2026-10-14: 19.52%2026-10-15: 17.58%2026-10-16: 19.49%2026-10-19: 19.92%2026-10-20: 19.58%2026-10-21: 19.07%2026-10-22: 21.73%2026-10-23: 21.02%2026-10-26: 21.03%2026-10-27: 19.94%2026-10-28: 18.56%2026-10-29: 17.48%2026-10-30: 20.58%2026-11-03: 24.69%2026-11-06: 23.41%Aug 10Sep 22Nov 6
61 observations2026-08-10 — 2026-11-06
Table
DateIV (%)
16.91%
17.38%
15.04%
14.05%
14.40%
14.94%
16.03%
14.97%
17.62%
15.80%
17.05%
16.63%
16.72%
16.97%
15.22%
16.38%
18.88%
17.13%
16.54%
15.16%
18.04%
19.95%
24.75%
17.71%
19.27%
21.36%
20.22%
16.79%
15.48%
16.30%
16.52%
18.11%
19.06%
17.63%
19.68%
19.86%
20.16%
20.92%
16.81%
17.40%
17.42%
17.78%
18.13%
16.46%
17.45%
18.32%
19.52%
17.58%
19.49%
19.92%
19.58%
19.07%
21.73%
21.02%
21.03%
19.94%
18.56%
17.48%
20.58%
24.69%
23.41%

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