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iShares Russell 2000 ETF IWM

i

Market dataready · fetched 2026-11-07T07:36:39.168Z

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 2026-11-07T07:36:38.071999+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$3.27$5.94$8.60$11.26$261.24$268.11$274.97$281.83$288.7020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive IWM spot · $273.67IWM PRICE$0.90$1.23$1.61$2.03$2.51$3.05$3.66$4.37$5.19$6.13$7.28$8.69$10.49$1.25$1.61$1.99$2.39$2.81$3.27$3.76$4.30$4.88$5.51$6.22$7.02$7.94
PutsExpensive1.11×
CallsExpensive1.09×
SkewBullish-0.47 pp
Implied moveBalanced±$7.42
TiltBullish3.8% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ280.9423.3%3.0%264.9331.4%3.7%
25Δ279.6923.9%2.7%267.0130.1%3.0%
30Δ278.5224.4%2.4%268.7129.1%2.5%
35Δ277.3925.0%2.1%270.2228.3%2.1%
40Δ276.2725.6%1.9%271.5727.5%1.8%
45Δ275.1526.1%1.7%272.8226.9%1.5%
50Δ274.0026.7%1.5%274.0026.3%1.3%
55Δ272.8127.4%1.3%275.1325.8%1.0%
60Δ271.5328.1%1.1%276.2525.3%0.8%
65Δ270.1528.8%1.0%277.3524.7%0.7%
70Δ268.5929.8%0.8%278.4724.2%0.5%
75Δ266.8131.0%0.7%279.6423.7%0.4%
80Δ264.6432.4%0.5%280.9023.1%0.3%

20Δ

Calls
Pseudo strike
280.94
IV
23.3%
B/E move
3.0%
Puts
Pseudo strike
264.93
IV
31.4%
B/E move
3.7%

25Δ

Calls
Pseudo strike
279.69
IV
23.9%
B/E move
2.7%
Puts
Pseudo strike
267.01
IV
30.1%
B/E move
3.0%

30Δ

Calls
Pseudo strike
278.52
IV
24.4%
B/E move
2.4%
Puts
Pseudo strike
268.71
IV
29.1%
B/E move
2.5%

35Δ

Calls
Pseudo strike
277.39
IV
25.0%
B/E move
2.1%
Puts
Pseudo strike
270.22
IV
28.3%
B/E move
2.1%

40Δ

Calls
Pseudo strike
276.27
IV
25.6%
B/E move
1.9%
Puts
Pseudo strike
271.57
IV
27.5%
B/E move
1.8%

45Δ

Calls
Pseudo strike
275.15
IV
26.1%
B/E move
1.7%
Puts
Pseudo strike
272.82
IV
26.9%
B/E move
1.5%

50Δ

Calls
Pseudo strike
274.00
IV
26.7%
B/E move
1.5%
Puts
Pseudo strike
274.00
IV
26.3%
B/E move
1.3%

55Δ

Calls
Pseudo strike
272.81
IV
27.4%
B/E move
1.3%
Puts
Pseudo strike
275.13
IV
25.8%
B/E move
1.0%

60Δ

Calls
Pseudo strike
271.53
IV
28.1%
B/E move
1.1%
Puts
Pseudo strike
276.25
IV
25.3%
B/E move
0.8%

65Δ

Calls
Pseudo strike
270.15
IV
28.8%
B/E move
1.0%
Puts
Pseudo strike
277.35
IV
24.7%
B/E move
0.7%

70Δ

Calls
Pseudo strike
268.59
IV
29.8%
B/E move
0.8%
Puts
Pseudo strike
278.47
IV
24.2%
B/E move
0.5%

75Δ

Calls
Pseudo strike
266.81
IV
31.0%
B/E move
0.7%
Puts
Pseudo strike
279.64
IV
23.7%
B/E move
0.4%

80Δ

Calls
Pseudo strike
264.64
IV
32.4%
B/E move
0.5%
Puts
Pseudo strike
280.90
IV
23.1%
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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