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BigBear.ai Holdings, Inc. BBAI

TECHNOLOGY · INFORMATION TECHNOLOGY SERVICES
i

Market dataready · fetched 2026-11-03T23:51:17.331Z

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 · 2026-11-03T23:49:23.452366765Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-03T23:51:16.647038+00:00

Share price$2.53
1D-3.9%
AH$2.48$2.52$2.56$2.60$2.645:30 AM6:30 AM9:00 AM1:00 PM2:00 PMBBAI
Sold putSold callAH

BigBear.ai Holdings, Inc. options

Live interpolated BBAI call and put midpoint premiums by absolute delta.BigBear.ai Holdings, Inc.$0.00$0.26$0.52$0.78$1.05$2.24$2.43$2.62$2.82$3.0120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —25Δ P unavailable: no unambiguous, price-consistent delta bracketP —30Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive BBAI spot · $2.53BBAI PRICE$0.03$0.04$0.05$0.06$0.06$0.07$0.08$0.09$0.18$0.38$0.58$0.77$0.97$0.10$0.14$0.19$0.24$0.28$0.33$0.38
Puts——
CallsExpensive2.30×
Skew——
Implied moveBearish±$0.22
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ2.86105.0%14.1%
25Δ2.81102.6%12.6%
30Δ2.76100.1%11.1%
35Δ2.7297.7%9.5%
40Δ2.6795.2%8.0%
45Δ2.6292.8%6.5%2.52101.5%4.0%
50Δ2.5790.3%4.9%2.58108.1%3.6%
55Δ2.5387.8%3.4%2.64114.8%3.2%
60Δ2.41128.2%2.5%2.69121.4%2.9%
65Δ2.21220.9%2.4%2.75128.1%2.5%
70Δ2.01313.6%2.3%2.81134.7%2.1%
75Δ1.81406.2%2.2%2.86141.4%1.7%
80Δ1.61498.9%2.1%

20Δ

Calls
Pseudo strike
2.86
IV
105.0%
B/E move
14.1%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
2.81
IV
102.6%
B/E move
12.6%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
2.76
IV
100.1%
B/E move
11.1%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
2.72
IV
97.7%
B/E move
9.5%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
2.67
IV
95.2%
B/E move
8.0%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
2.62
IV
92.8%
B/E move
6.5%
Puts
Pseudo strike
2.52
IV
101.5%
B/E move
4.0%

50Δ

Calls
Pseudo strike
2.57
IV
90.3%
B/E move
4.9%
Puts
Pseudo strike
2.58
IV
108.1%
B/E move
3.6%

55Δ

Calls
Pseudo strike
2.53
IV
87.8%
B/E move
3.4%
Puts
Pseudo strike
2.64
IV
114.8%
B/E move
3.2%

60Δ

Calls
Pseudo strike
2.41
IV
128.2%
B/E move
2.5%
Puts
Pseudo strike
2.69
IV
121.4%
B/E move
2.9%

65Δ

Calls
Pseudo strike
2.21
IV
220.9%
B/E move
2.4%
Puts
Pseudo strike
2.75
IV
128.1%
B/E move
2.5%

70Δ

Calls
Pseudo strike
2.01
IV
313.6%
B/E move
2.3%
Puts
Pseudo strike
2.81
IV
134.7%
B/E move
2.1%

75Δ

Calls
Pseudo strike
1.81
IV
406.2%
B/E move
2.2%
Puts
Pseudo strike
2.86
IV
141.4%
B/E move
1.7%

80Δ

Calls
Pseudo strike
1.61
IV
498.9%
B/E move
2.1%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend128.20%
Daily close
BBAI75.0%103.6%132.1%2026-08-06: 78.94%2026-10-27: 128.20%Aug 6Oct 27
2 observations2026-08-06 — 2026-10-27
Table
DateIV (%)
78.94%
128.20%