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Banco Santander S.A. SAN

i

Market datapartial · fetched 2026-11-03T22:09:22.469Z

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 · 2026-11-03T22:04:01.531513755Z

FundamentalsAlpha Vantage · unavailable

Share price$11.35
1D-1.8%
AH$11.30$11.37$11.45$11.53$11.605:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSAN
Sold putSold callAH

Banco Santander S.A. options

Live interpolated SAN call and put midpoint premiums by absolute delta.Banco Santander S.A.$0.05$0.50$0.94$1.38$1.83$9.30$10.49$11.68$12.86$14.0520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ 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 —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive SAN spot · $11.35SAN PRICE$0.10$0.12$0.20$0.27$0.35$0.42$0.49$0.57$0.64$0.76$1.01$1.27$1.52$0.30$0.50$0.70$0.90$1.10$1.30$1.50$1.70
Puts——
CallsFair0.99×
Skew——
Implied moveBearish±$1.40
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ12.3438.9%9.6%
25Δ12.0135.3%6.9%
30Δ11.8837.2%6.4%
35Δ11.7539.3%5.9%11.1239.6%4.7%
40Δ11.6241.4%5.4%11.3644.8%4.4%
45Δ11.4943.5%4.9%11.5950.1%4.1%
50Δ11.3645.6%4.4%11.8355.3%3.8%
55Δ11.2347.6%3.9%12.0660.5%3.4%
60Δ11.1049.7%3.5%12.3065.8%3.1%
65Δ10.9352.9%3.0%12.5371.0%2.8%
70Δ10.6459.7%2.7%12.7776.2%2.5%
75Δ10.3566.5%2.4%
80Δ10.0673.3%2.0%

20Δ

Calls
Pseudo strike
12.34
IV
38.9%
B/E move
9.6%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
12.01
IV
35.3%
B/E move
6.9%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
11.88
IV
37.2%
B/E move
6.4%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
11.75
IV
39.3%
B/E move
5.9%
Puts
Pseudo strike
11.12
IV
39.6%
B/E move
4.7%

40Δ

Calls
Pseudo strike
11.62
IV
41.4%
B/E move
5.4%
Puts
Pseudo strike
11.36
IV
44.8%
B/E move
4.4%

45Δ

Calls
Pseudo strike
11.49
IV
43.5%
B/E move
4.9%
Puts
Pseudo strike
11.59
IV
50.1%
B/E move
4.1%

50Δ

Calls
Pseudo strike
11.36
IV
45.6%
B/E move
4.4%
Puts
Pseudo strike
11.83
IV
55.3%
B/E move
3.8%

55Δ

Calls
Pseudo strike
11.23
IV
47.6%
B/E move
3.9%
Puts
Pseudo strike
12.06
IV
60.5%
B/E move
3.4%

60Δ

Calls
Pseudo strike
11.10
IV
49.7%
B/E move
3.5%
Puts
Pseudo strike
12.30
IV
65.8%
B/E move
3.1%

65Δ

Calls
Pseudo strike
10.93
IV
52.9%
B/E move
3.0%
Puts
Pseudo strike
12.53
IV
71.0%
B/E move
2.8%

70Δ

Calls
Pseudo strike
10.64
IV
59.7%
B/E move
2.7%
Puts
Pseudo strike
12.77
IV
76.2%
B/E move
2.5%

75Δ

Calls
Pseudo strike
10.35
IV
66.5%
B/E move
2.4%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
10.06
IV
73.3%
B/E move
2.0%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend35.12%
Daily EOD
SAN33.9%42.8%51.7%2026-10-19: 41.20%2026-10-20: 43.91%2026-10-21: 44.77%2026-10-22: 39.68%2026-10-23: 35.78%2026-10-26: 39.73%2026-10-27: 50.51%2026-10-29: 35.12%Oct 19Oct 22Oct 29
8 observations2026-10-19 — 2026-10-29
Table
DateIV (%)
41.20%
43.91%
44.77%
39.68%
35.78%
39.73%
50.51%
35.12%