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BANCO SANTANDER (BRASIL) SA BSBR

i

Market datapartial · fetched 2026-11-06T21:59:06.219Z

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 · 2026-11-06T21:10:00.003796853Z

FundamentalsAlpha Vantage · unavailable

Share price$4.64
1D-0.1%
AH$4.62$4.64$4.67$4.69$4.715:30 AM6:30 AM9:00 AM1:00 PM2:00 PMBSBR
Sold putSold callAH

BANCO SANTANDER (BRASIL) SA options

Live interpolated BSBR call and put midpoint premiums by absolute delta.BANCO SANTANDER (BRASIL) SA$0.38$1.48$2.58$3.68$4.78$3.39$3.99$4.59$5.18$5.7820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —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 PRICELive BSBR spot · $4.64BSBR PRICE$0.49$0.62$0.75$0.87$1.00$1.13$1.25$1.38$1.51$1.63$1.76$1.52$1.85$2.19$2.52$2.86$3.19$3.53$4.46
Puts——
Calls——
Skew——
Implied moveBearish±$4.53
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ3.43704.0%58.8%
25Δ4.03667.1%53.0%
30Δ9.50366.4%115.4%4.64630.1%47.2%
35Δ8.97353.7%106.8%5.24593.1%41.4%
40Δ8.45341.1%98.1%5.84556.2%35.6%
45Δ7.92328.5%89.5%6.45519.2%29.8%
50Δ7.39315.8%80.9%7.05482.2%24.0%
55Δ6.86303.2%72.2%8.20477.2%19.6%
60Δ6.33290.6%63.6%
65Δ5.81278.0%54.9%
70Δ5.28265.3%46.3%
75Δ4.75252.7%37.6%
80Δ4.22240.1%29.0%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.43
IV
704.0%
B/E move
58.8%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.03
IV
667.1%
B/E move
53.0%

30Δ

Calls
Pseudo strike
9.50
IV
366.4%
B/E move
115.4%
Puts
Pseudo strike
4.64
IV
630.1%
B/E move
47.2%

35Δ

Calls
Pseudo strike
8.97
IV
353.7%
B/E move
106.8%
Puts
Pseudo strike
5.24
IV
593.1%
B/E move
41.4%

40Δ

Calls
Pseudo strike
8.45
IV
341.1%
B/E move
98.1%
Puts
Pseudo strike
5.84
IV
556.2%
B/E move
35.6%

45Δ

Calls
Pseudo strike
7.92
IV
328.5%
B/E move
89.5%
Puts
Pseudo strike
6.45
IV
519.2%
B/E move
29.8%

50Δ

Calls
Pseudo strike
7.39
IV
315.8%
B/E move
80.9%
Puts
Pseudo strike
7.05
IV
482.2%
B/E move
24.0%

55Δ

Calls
Pseudo strike
6.86
IV
303.2%
B/E move
72.2%
Puts
Pseudo strike
8.20
IV
477.2%
B/E move
19.6%

60Δ

Calls
Pseudo strike
6.33
IV
290.6%
B/E move
63.6%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
5.81
IV
278.0%
B/E move
54.9%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
5.28
IV
265.3%
B/E move
46.3%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
4.75
IV
252.7%
B/E move
37.6%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
4.22
IV
240.1%
B/E move
29.0%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend122.37%
Daily close
BSBR119.0%143.5%168.0%2026-10-01: 147.35%2026-10-02: 164.65%2026-10-22: 137.04%2026-10-23: 137.82%2026-10-27: 122.37%Oct 1Oct 22Oct 27
5 observations2026-10-01 — 2026-10-27
Table
DateIV (%)
147.35%
164.65%
137.04%
137.82%
122.37%