IntraAlpha
Create free account Start free

YPF Sociedad Anonima American Depositary Shares (Each representing ten (10) Class D shares of Capital Stock) YPF

ENERGY · OIL & GAS INTEGRATED
i

Market dataready · fetched 2026-11-07T21:44:40.578Z

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 · 2026-11-07T00:00:00.001010149Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-07T21:38:40.086849+00:00

Share price$38.66
1D+0.7%
AH$38.01$38.32$38.64$38.95$39.275:30 AM6:30 AM9:00 AM1:00 PM2:00 PMYPF
Sold putSold callAH

YPF Sociedad Anonima American Depositary Shares (Each representing ten (10) Class D shares of Capital Stock) options

Live interpolated YPF call and put midpoint premiums by absolute delta.YPF Sociedad Anonima American Depositary Shares (Each representing ten (10) Class D shares of Capital Stock)$0.36$1.42$2.47$3.53$4.58$29.84$35.48$41.11$46.75$52.3820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive YPF spot · $38.66YPF PRICE$0.48$0.64$0.76$0.94$1.14$1.38$1.62$1.94$2.26$2.57$2.96$3.42$3.69$0.53$0.71$0.82$1.04$1.29$1.58$1.88$2.18$2.48$2.80$3.15$3.63$4.28
PutsCheap0.63×
CallsCheap0.81×
SkewBullish-2.24 pp
Implied moveBearish±$3.50
TiltBearish5.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ42.9961.7%12.4%35.3760.6%9.9%
25Δ42.1961.9%10.8%36.0461.3%8.6%
30Δ41.2958.3%8.8%36.8156.1%6.9%
35Δ40.6157.3%7.5%37.3856.1%6.0%
40Δ40.0458.0%6.5%37.8957.9%5.3%
45Δ39.5058.8%5.7%38.4258.4%4.7%
50Δ38.9659.6%5.0%38.9758.5%4.1%
55Δ38.3960.0%4.3%39.5158.5%3.4%
60Δ37.8360.4%3.7%40.0558.4%2.8%
65Δ37.2760.9%3.1%40.5856.9%2.3%
70Δ36.6661.5%2.5%41.1355.5%1.7%
75Δ36.0162.2%2.0%41.7755.2%1.3%
80Δ35.5457.7%1.5%42.5655.8%1.0%

20Δ

Calls
Pseudo strike
42.99
IV
61.7%
B/E move
12.4%
Puts
Pseudo strike
35.37
IV
60.6%
B/E move
9.9%

25Δ

Calls
Pseudo strike
42.19
IV
61.9%
B/E move
10.8%
Puts
Pseudo strike
36.04
IV
61.3%
B/E move
8.6%

30Δ

Calls
Pseudo strike
41.29
IV
58.3%
B/E move
8.8%
Puts
Pseudo strike
36.81
IV
56.1%
B/E move
6.9%

35Δ

Calls
Pseudo strike
40.61
IV
57.3%
B/E move
7.5%
Puts
Pseudo strike
37.38
IV
56.1%
B/E move
6.0%

40Δ

Calls
Pseudo strike
40.04
IV
58.0%
B/E move
6.5%
Puts
Pseudo strike
37.89
IV
57.9%
B/E move
5.3%

45Δ

Calls
Pseudo strike
39.50
IV
58.8%
B/E move
5.7%
Puts
Pseudo strike
38.42
IV
58.4%
B/E move
4.7%

50Δ

Calls
Pseudo strike
38.96
IV
59.6%
B/E move
5.0%
Puts
Pseudo strike
38.97
IV
58.5%
B/E move
4.1%

55Δ

Calls
Pseudo strike
38.39
IV
60.0%
B/E move
4.3%
Puts
Pseudo strike
39.51
IV
58.5%
B/E move
3.4%

60Δ

Calls
Pseudo strike
37.83
IV
60.4%
B/E move
3.7%
Puts
Pseudo strike
40.05
IV
58.4%
B/E move
2.8%

65Δ

Calls
Pseudo strike
37.27
IV
60.9%
B/E move
3.1%
Puts
Pseudo strike
40.58
IV
56.9%
B/E move
2.3%

70Δ

Calls
Pseudo strike
36.66
IV
61.5%
B/E move
2.5%
Puts
Pseudo strike
41.13
IV
55.5%
B/E move
1.7%

75Δ

Calls
Pseudo strike
36.01
IV
62.2%
B/E move
2.0%
Puts
Pseudo strike
41.77
IV
55.2%
B/E move
1.3%

80Δ

Calls
Pseudo strike
35.54
IV
57.7%
B/E move
1.5%
Puts
Pseudo strike
42.56
IV
55.8%
B/E move
1.0%

Options history

IV · four-Friday blend40.53%
Daily EOD
YPF40.2%42.8%45.5%2026-10-19: 40.88%2026-10-20: 41.64%2026-10-21: 41.54%2026-10-22: 42.43%2026-10-23: 42.04%2026-10-26: 45.17%2026-10-27: 44.14%2026-10-28: 45.01%2026-10-29: 41.95%2026-10-30: 40.53%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
40.88%
41.64%
41.54%
42.43%
42.04%
45.17%
44.14%
45.01%
41.95%
40.53%