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iShares MSCI USA Size Factor ETF SIZE

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Market dataready · fetched 2026-11-03T14:42:11.053Z

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 · 2026-11-03T01:00:00.05690193Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-03T14:42:10.529568+00:00

Share price$181.07
1D-0.1%
AH$180.89$181.21$181.52$181.83$182.145:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSIZE
Sold putSold callAH

iShares MSCI USA Size Factor ETF options

Live interpolated SIZE call and put midpoint premiums by absolute delta.iShares MSCI USA Size Factor ETF$1.06$2.39$3.73$5.07$6.41$169.81$175.15$180.48$185.82$191.1620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SIZE spot · $181.07SIZE PRICE$1.20$1.69$2.19$2.45$2.45$2.46$2.50$2.77$3.44$3.83$4.96$5.34$6.02$2.32$2.45$2.45$2.45$2.46$2.49$2.75$3.11$3.43$3.91$5.05$5.82$5.99
PutsExpensive2.48×
CallsExpensive1.94×
SkewBearish+2.97 pp
Implied moveBearish±$5.24
TiltBearish3.9% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ189.1423.1%5.1%166.4450.3%9.4%
25Δ188.6026.4%5.1%171.7839.9%6.5%
30Δ188.0729.8%5.1%175.4431.5%4.5%
35Δ185.9827.3%4.1%177.8725.6%3.1%
40Δ183.9422.5%2.9%179.4721.5%2.2%
45Δ182.5519.0%2.2%180.6118.4%1.6%
50Δ181.5616.5%1.6%181.5217.2%1.3%
55Δ180.7215.5%1.3%182.3316.7%1.0%
60Δ179.8616.8%1.2%183.0915.9%0.8%
65Δ179.0816.2%1.0%183.8915.7%0.6%
70Δ177.8318.3%0.9%185.1817.5%0.5%
75Δ177.0717.1%0.7%186.2017.6%0.4%
80Δ176.1116.6%0.6%186.7015.7%0.2%

20Δ

Calls
Pseudo strike
189.14
IV
23.1%
B/E move
5.1%
Puts
Pseudo strike
166.44
IV
50.3%
B/E move
9.4%

25Δ

Calls
Pseudo strike
188.60
IV
26.4%
B/E move
5.1%
Puts
Pseudo strike
171.78
IV
39.9%
B/E move
6.5%

30Δ

Calls
Pseudo strike
188.07
IV
29.8%
B/E move
5.1%
Puts
Pseudo strike
175.44
IV
31.5%
B/E move
4.5%

35Δ

Calls
Pseudo strike
185.98
IV
27.3%
B/E move
4.1%
Puts
Pseudo strike
177.87
IV
25.6%
B/E move
3.1%

40Δ

Calls
Pseudo strike
183.94
IV
22.5%
B/E move
2.9%
Puts
Pseudo strike
179.47
IV
21.5%
B/E move
2.2%

45Δ

Calls
Pseudo strike
182.55
IV
19.0%
B/E move
2.2%
Puts
Pseudo strike
180.61
IV
18.4%
B/E move
1.6%

50Δ

Calls
Pseudo strike
181.56
IV
16.5%
B/E move
1.6%
Puts
Pseudo strike
181.52
IV
17.2%
B/E move
1.3%

55Δ

Calls
Pseudo strike
180.72
IV
15.5%
B/E move
1.3%
Puts
Pseudo strike
182.33
IV
16.7%
B/E move
1.0%

60Δ

Calls
Pseudo strike
179.86
IV
16.8%
B/E move
1.2%
Puts
Pseudo strike
183.09
IV
15.9%
B/E move
0.8%

65Δ

Calls
Pseudo strike
179.08
IV
16.2%
B/E move
1.0%
Puts
Pseudo strike
183.89
IV
15.7%
B/E move
0.6%

70Δ

Calls
Pseudo strike
177.83
IV
18.3%
B/E move
0.9%
Puts
Pseudo strike
185.18
IV
17.5%
B/E move
0.5%

75Δ

Calls
Pseudo strike
177.07
IV
17.1%
B/E move
0.7%
Puts
Pseudo strike
186.20
IV
17.6%
B/E move
0.4%

80Δ

Calls
Pseudo strike
176.11
IV
16.6%
B/E move
0.6%
Puts
Pseudo strike
186.70
IV
15.7%
B/E move
0.2%

Options history

IV · four-Friday blend15.78%
Daily EOD
SIZE13.5%14.7%15.9%2026-10-19: 14.42%2026-10-20: 13.69%2026-10-21: 14.07%2026-10-22: 14.73%2026-10-23: 15.16%2026-10-26: 14.00%2026-10-27: 14.22%2026-10-28: 14.90%2026-10-29: 13.76%2026-10-30: 15.78%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
14.42%
13.69%
14.07%
14.73%
15.16%
14.00%
14.22%
14.90%
13.76%
15.78%