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Ambarella, Inc. Ordinary Shares AMBA

TECHNOLOGY · SEMICONDUCTOR EQUIPMENT & MATERIALS
i

Market dataready · fetched 2026-11-03T14:42:07.551Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-06

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 · 2026-11-03T14:41:43.35931722Z

FundamentalsAlpha Vantage · ready · quarter 2026-07-31 · fetched 2026-11-03T14:42:05.571185+00:00

Share price$63.49
1D-0.0%
$62.47$62.83$63.19$63.54$63.905:30 AM6:30 AM9:00 AM1:00 PMAMBA
Sold putSold call

Ambarella, Inc. Ordinary Shares options

Live interpolated AMBA call and put midpoint premiums by absolute delta.Ambarella, Inc. Ordinary Shares$0.81$3.69$6.57$9.44$12.32$52.93$57.17$61.41$65.66$69.9020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive AMBA spot · $63.49AMBA PRICE$1.45$1.73$1.94$2.19$2.41$3.16$3.77$4.02$4.07$4.17$1.13$1.31$1.47$2.00$2.18$2.86$3.66$4.50$5.41$6.15$7.54$9.06$11.49
PutsExpensive2.41×
Calls——
Skew——
Implied moveBearish±$5.84
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ56.88152.7%12.2%
25Δ58.70142.4%9.6%
30Δ60.29123.9%7.4%
35Δ66.32111.1%6.7%61.00137.5%7.1%
40Δ65.53112.2%5.9%62.13123.7%5.6%
45Δ64.58104.8%4.8%63.01135.7%5.3%
50Δ63.79100.8%3.9%64.07146.0%4.8%
55Δ63.0795.0%3.1%65.26153.0%4.3%
60Δ62.22108.4%3.0%66.54157.3%3.7%
65Δ61.37113.0%2.6%67.71155.1%3.1%
70Δ60.75105.8%2.0%69.38163.3%2.6%
75Δ60.3392.4%1.4%71.23168.4%2.1%
80Δ59.8980.5%0.9%73.93173.8%1.7%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
56.88
IV
152.7%
B/E move
12.2%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
58.70
IV
142.4%
B/E move
9.6%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
60.29
IV
123.9%
B/E move
7.4%

35Δ

Calls
Pseudo strike
66.32
IV
111.1%
B/E move
6.7%
Puts
Pseudo strike
61.00
IV
137.5%
B/E move
7.1%

40Δ

Calls
Pseudo strike
65.53
IV
112.2%
B/E move
5.9%
Puts
Pseudo strike
62.13
IV
123.7%
B/E move
5.6%

45Δ

Calls
Pseudo strike
64.58
IV
104.8%
B/E move
4.8%
Puts
Pseudo strike
63.01
IV
135.7%
B/E move
5.3%

50Δ

Calls
Pseudo strike
63.79
IV
100.8%
B/E move
3.9%
Puts
Pseudo strike
64.07
IV
146.0%
B/E move
4.8%

55Δ

Calls
Pseudo strike
63.07
IV
95.0%
B/E move
3.1%
Puts
Pseudo strike
65.26
IV
153.0%
B/E move
4.3%

60Δ

Calls
Pseudo strike
62.22
IV
108.4%
B/E move
3.0%
Puts
Pseudo strike
66.54
IV
157.3%
B/E move
3.7%

65Δ

Calls
Pseudo strike
61.37
IV
113.0%
B/E move
2.6%
Puts
Pseudo strike
67.71
IV
155.1%
B/E move
3.1%

70Δ

Calls
Pseudo strike
60.75
IV
105.8%
B/E move
2.0%
Puts
Pseudo strike
69.38
IV
163.3%
B/E move
2.6%

75Δ

Calls
Pseudo strike
60.33
IV
92.4%
B/E move
1.4%
Puts
Pseudo strike
71.23
IV
168.4%
B/E move
2.1%

80Δ

Calls
Pseudo strike
59.89
IV
80.5%
B/E move
0.9%
Puts
Pseudo strike
73.93
IV
173.8%
B/E move
1.7%

Options history

IV · four-Friday blend81.89%
Daily close
AMBA55.5%120.9%186.3%2026-08-05: 87.52%2026-08-06: 96.38%2026-08-07: 74.76%2026-08-10: 76.22%2026-08-11: 78.05%2026-08-12: 67.46%2026-08-13: 80.07%2026-08-14: 70.34%2026-08-17: 72.94%2026-08-18: 78.63%2026-08-19: 79.04%2026-08-20: 89.05%2026-08-21: 82.08%2026-08-24: 99.38%2026-08-25: 93.29%2026-08-26: 93.15%2026-08-27: 102.71%2026-08-28: 98.09%2026-08-31: 115.11%2026-09-01: 111.99%2026-09-02: 134.96%2026-09-03: 177.28%2026-09-04: 117.46%2026-09-08: 116.62%2026-09-09: 122.37%2026-09-10: 123.87%2026-09-11: 98.28%2026-09-14: 77.68%2026-09-15: 82.85%2026-09-16: 91.52%2026-09-17: 106.75%2026-09-18: 76.00%2026-09-21: 81.98%2026-09-22: 70.03%2026-09-23: 82.67%2026-09-24: 92.31%2026-09-25: 78.31%2026-09-28: 66.25%2026-09-29: 76.34%2026-09-30: 75.04%2026-10-01: 80.61%2026-10-02: 64.50%2026-10-05: 66.03%2026-10-06: 68.44%2026-10-07: 68.78%2026-10-08: 71.08%2026-10-09: 71.49%2026-10-12: 74.42%2026-10-13: 73.82%2026-10-14: 79.67%2026-10-15: 88.62%2026-10-16: 83.73%2026-10-19: 78.67%2026-10-20: 78.30%2026-10-21: 88.61%2026-10-22: 92.28%2026-10-23: 81.84%2026-10-26: 77.70%2026-10-27: 74.89%2026-10-28: 88.67%2026-10-29: 90.70%2026-10-30: 81.89%Aug 5Sep 17Oct 30
62 observations2026-08-05 — 2026-10-30
Table
DateIV (%)
87.52%
96.38%
74.76%
76.22%
78.05%
67.46%
80.07%
70.34%
72.94%
78.63%
79.04%
89.05%
82.08%
99.38%
93.29%
93.15%
102.71%
98.09%
115.11%
111.99%
134.96%
177.28%
117.46%
116.62%
122.37%
123.87%
98.28%
77.68%
82.85%
91.52%
106.75%
76.00%
81.98%
70.03%
82.67%
92.31%
78.31%
66.25%
76.34%
75.04%
80.61%
64.50%
66.03%
68.44%
68.78%
71.08%
71.49%
74.42%
73.82%
79.67%
88.62%
83.73%
78.67%
78.30%
88.61%
92.28%
81.84%
77.70%
74.89%
88.67%
90.70%
81.89%