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KraneShares Mount Lucas Managed Futures Index Strategy ETF KMLM

i

Market datapartial · fetched 2026-11-06T17:24:41.207Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2027-01-15

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 · 2026-11-06T17:20:36.093316751Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-06T17:24:39.813475+00:00

Share price$29.12
1D-0.4%
$29.05$29.10$29.15$29.21$29.265:30 AM6:30 AM9:00 AM1:00 PMKMLM
Sold putSold call

KraneShares Mount Lucas Managed Futures Index Strategy ETF options

Live interpolated KMLM call and put midpoint premiums by absolute delta.KraneShares Mount Lucas Managed Futures Index Strategy ETF$0.81$1.28$1.75$2.22$2.68$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —35Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —40Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —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 PRICEKMLM PRICE$0.86$1.10$1.34$1.58$1.83$2.07$2.31$2.55
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ
40Δ
45Δ29.6818.7%4.9%
50Δ29.3119.2%4.4%
55Δ28.9519.7%4.0%
60Δ28.5820.2%3.6%
65Δ28.2120.7%3.2%
70Δ27.8521.2%2.7%
75Δ27.4821.7%2.3%
80Δ27.1122.2%1.9%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
29.68
IV
18.7%
B/E move
4.9%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
29.31
IV
19.2%
B/E move
4.4%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
28.95
IV
19.7%
B/E move
4.0%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
28.58
IV
20.2%
B/E move
3.6%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
28.21
IV
20.7%
B/E move
3.2%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
27.85
IV
21.2%
B/E move
2.7%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
27.48
IV
21.7%
B/E move
2.3%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
27.11
IV
22.2%
B/E move
1.9%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend24.89%
Daily EOD
KMLM23.0%24.0%25.0%2026-10-19: 23.33%2026-10-20: 23.10%2026-10-21: 23.32%2026-10-22: 23.27%2026-10-23: 23.85%2026-10-26: 24.05%2026-10-27: 23.73%2026-10-28: 23.65%2026-10-29: 23.23%2026-10-30: 24.89%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
23.33%
23.10%
23.32%
23.27%
23.85%
24.05%
23.73%
23.65%
23.23%
24.89%