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iShares MSCI USA Value Factor ETF VLUE

i

Market dataready · fetched 2026-11-06T17:58:47.063Z

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 · 2026-11-06T17:58:41.202084403Z

FundamentalsAlpha Vantage · ready · fetched 2026-11-06T17:58:44.581415+00:00

Share price$182.60
1D-0.1%
$181.91$182.59$183.28$183.96$184.645:30 AM6:30 AM9:00 AM1:00 PMVLUE
Sold putSold call

iShares MSCI USA Value Factor ETF options

Live interpolated VLUE call and put midpoint premiums by absolute delta.iShares MSCI USA Value Factor ETF$2.15$4.89$7.63$10.36$13.10$171.36$179.01$186.66$194.30$201.9520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive VLUE spot · $182.59VLUE PRICE$2.45$2.45$2.53$3.25$3.83$4.40$5.02$5.64$6.26$8.00$9.92$11.27$12.31$2.45$2.67$3.06$3.51$4.27$5.02$5.78$6.52$7.26$8.00$9.95$10.19
Puts——
CallsExpensive2.18×
Skew——
Implied moveBalanced±$10.04
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ205.3464.9%13.8%
25Δ195.7947.9%8.6%172.9444.4%6.6%
30Δ190.8538.5%5.9%176.2037.9%5.0%
35Δ189.1840.2%5.4%178.2935.2%4.0%
40Δ187.1439.0%4.6%180.2733.0%3.2%
45Δ185.1037.9%3.8%181.7733.0%2.8%
50Δ183.4636.6%3.2%183.2633.1%2.4%
55Δ181.8535.3%2.7%184.7633.2%2.0%
60Δ180.2334.0%2.1%186.1332.1%1.6%
65Δ178.0637.0%1.9%187.4730.9%1.3%
70Δ175.8040.6%1.7%188.8229.7%1.0%
75Δ173.9240.4%1.4%191.1532.1%0.8%
80Δ172.2537.9%1.1%191.9528.5%0.5%

20Δ

Calls
Pseudo strike
205.34
IV
64.9%
B/E move
13.8%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
195.79
IV
47.9%
B/E move
8.6%
Puts
Pseudo strike
172.94
IV
44.4%
B/E move
6.6%

30Δ

Calls
Pseudo strike
190.85
IV
38.5%
B/E move
5.9%
Puts
Pseudo strike
176.20
IV
37.9%
B/E move
5.0%

35Δ

Calls
Pseudo strike
189.18
IV
40.2%
B/E move
5.4%
Puts
Pseudo strike
178.29
IV
35.2%
B/E move
4.0%

40Δ

Calls
Pseudo strike
187.14
IV
39.0%
B/E move
4.6%
Puts
Pseudo strike
180.27
IV
33.0%
B/E move
3.2%

45Δ

Calls
Pseudo strike
185.10
IV
37.9%
B/E move
3.8%
Puts
Pseudo strike
181.77
IV
33.0%
B/E move
2.8%

50Δ

Calls
Pseudo strike
183.46
IV
36.6%
B/E move
3.2%
Puts
Pseudo strike
183.26
IV
33.1%
B/E move
2.4%

55Δ

Calls
Pseudo strike
181.85
IV
35.3%
B/E move
2.7%
Puts
Pseudo strike
184.76
IV
33.2%
B/E move
2.0%

60Δ

Calls
Pseudo strike
180.23
IV
34.0%
B/E move
2.1%
Puts
Pseudo strike
186.13
IV
32.1%
B/E move
1.6%

65Δ

Calls
Pseudo strike
178.06
IV
37.0%
B/E move
1.9%
Puts
Pseudo strike
187.47
IV
30.9%
B/E move
1.3%

70Δ

Calls
Pseudo strike
175.80
IV
40.6%
B/E move
1.7%
Puts
Pseudo strike
188.82
IV
29.7%
B/E move
1.0%

75Δ

Calls
Pseudo strike
173.92
IV
40.4%
B/E move
1.4%
Puts
Pseudo strike
191.15
IV
32.1%
B/E move
0.8%

80Δ

Calls
Pseudo strike
172.25
IV
37.9%
B/E move
1.1%
Puts
Pseudo strike
191.95
IV
28.5%
B/E move
0.5%

Options history

IV · four-Friday blend22.27%
Daily EOD
VLUE21.7%22.1%22.4%2026-10-19: 22.33%2026-10-20: 21.87%2026-10-21: 21.77%2026-10-22: 21.91%2026-10-23: 22.40%2026-10-26: 22.28%2026-10-27: 22.23%2026-10-28: 22.18%2026-10-29: 21.80%2026-10-30: 22.27%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
22.33%
21.87%
21.77%
21.91%
22.40%
22.28%
22.23%
22.18%
21.80%
22.27%