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BANCO SANTANDER (BRASIL) SA BSBR

i

Market datapartial · fetched 2026-11-07T07:04:46.678Z

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 · 2026-11-07T00:00:00.002895208Z

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$3.84$4.24$4.64$5.04$5.4420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ 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
20Δ3.43713.8%58.8%
25Δ4.03676.3%53.0%
30Δ9.50371.5%115.4%4.64638.8%47.2%
35Δ8.97358.7%106.8%5.24601.4%41.4%
40Δ8.45345.9%98.1%5.84563.9%35.6%
45Δ7.92333.1%89.5%6.45526.4%29.8%
50Δ7.39320.3%80.8%7.05488.9%24.0%
55Δ6.86307.5%72.2%8.19483.6%19.6%
60Δ6.33294.7%63.6%
65Δ5.81281.9%54.9%
70Δ5.28269.1%46.3%
75Δ4.75256.3%37.6%
80Δ4.22243.5%29.0%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.43
IV
713.8%
B/E move
58.8%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.03
IV
676.3%
B/E move
53.0%

30Δ

Calls
Pseudo strike
9.50
IV
371.5%
B/E move
115.4%
Puts
Pseudo strike
4.64
IV
638.8%
B/E move
47.2%

35Δ

Calls
Pseudo strike
8.97
IV
358.7%
B/E move
106.8%
Puts
Pseudo strike
5.24
IV
601.4%
B/E move
41.4%

40Δ

Calls
Pseudo strike
8.45
IV
345.9%
B/E move
98.1%
Puts
Pseudo strike
5.84
IV
563.9%
B/E move
35.6%

45Δ

Calls
Pseudo strike
7.92
IV
333.1%
B/E move
89.5%
Puts
Pseudo strike
6.45
IV
526.4%
B/E move
29.8%

50Δ

Calls
Pseudo strike
7.39
IV
320.3%
B/E move
80.8%
Puts
Pseudo strike
7.05
IV
488.9%
B/E move
24.0%

55Δ

Calls
Pseudo strike
6.86
IV
307.5%
B/E move
72.2%
Puts
Pseudo strike
8.19
IV
483.6%
B/E move
19.6%

60Δ

Calls
Pseudo strike
6.33
IV
294.7%
B/E move
63.6%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
5.81
IV
281.9%
B/E move
54.9%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
5.28
IV
269.1%
B/E move
46.3%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
4.75
IV
256.3%
B/E move
37.6%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
4.22
IV
243.5%
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%