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Alibaba Group Holding Limited American Depositary Shares, each represents eight Ordinary Shares BABA

CONSUMER CYCLICAL · INTERNET RETAIL
i

Market dataready · fetched 2026-11-09T20:53:02.796Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-09T20:52:57.698884085Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-09T20:53:00.226912+00:00

Share price$105.38
1D-2.0%
$104.93$105.70$106.47$107.24$108.015:30 AM6:30 AM9:00 AM1:00 PMBABA
Sold putSold call

Alibaba Group Holding Limited American Depositary Shares, each represents eight Ordinary Shares options

Live interpolated BABA call and put midpoint premiums by absolute delta.Alibaba Group Holding Limited American Depositary Shares, each represents eight Ordinary Shares$0.49$1.85$3.22$4.58$5.94$98.46$102.00$105.53$109.07$112.6020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive BABA spot · $105.38BABA PRICE$0.65$0.86$1.08$1.33$1.59$1.90$2.22$2.55$2.95$3.52$4.12$4.77$5.55$0.64$0.85$1.09$1.35$1.64$1.95$2.30$2.69$3.12$3.61$4.14$4.77$5.51
PutsExpensive1.29×
CallsExpensive1.86×
SkewBullish-2.77 pp
Implied moveBalanced±$4.52
TiltBalanced0.8% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ110.7554.0%5.7%100.9650.5%4.8%
25Δ109.6553.4%4.9%101.8850.1%4.1%
30Δ108.7052.9%4.2%102.6950.1%3.6%
35Δ107.8552.8%3.6%103.4450.2%3.1%
40Δ107.0552.2%3.1%104.1650.3%2.7%
45Δ106.3052.3%2.7%104.8650.3%2.3%
50Δ105.5852.0%2.3%105.5650.3%2.0%
55Δ104.8551.4%1.9%106.2750.4%1.7%
60Δ104.1351.5%1.6%106.9950.6%1.4%
65Δ103.3253.2%1.4%107.7450.6%1.2%
70Δ102.4754.3%1.2%108.5350.3%0.9%
75Δ101.5754.7%0.9%109.3850.1%0.7%
80Δ100.5655.2%0.7%110.3249.9%0.5%

20Δ

Calls
Pseudo strike
110.75
IV
54.0%
B/E move
5.7%
Puts
Pseudo strike
100.96
IV
50.5%
B/E move
4.8%

25Δ

Calls
Pseudo strike
109.65
IV
53.4%
B/E move
4.9%
Puts
Pseudo strike
101.88
IV
50.1%
B/E move
4.1%

30Δ

Calls
Pseudo strike
108.70
IV
52.9%
B/E move
4.2%
Puts
Pseudo strike
102.69
IV
50.1%
B/E move
3.6%

35Δ

Calls
Pseudo strike
107.85
IV
52.8%
B/E move
3.6%
Puts
Pseudo strike
103.44
IV
50.2%
B/E move
3.1%

40Δ

Calls
Pseudo strike
107.05
IV
52.2%
B/E move
3.1%
Puts
Pseudo strike
104.16
IV
50.3%
B/E move
2.7%

45Δ

Calls
Pseudo strike
106.30
IV
52.3%
B/E move
2.7%
Puts
Pseudo strike
104.86
IV
50.3%
B/E move
2.3%

50Δ

Calls
Pseudo strike
105.58
IV
52.0%
B/E move
2.3%
Puts
Pseudo strike
105.56
IV
50.3%
B/E move
2.0%

55Δ

Calls
Pseudo strike
104.85
IV
51.4%
B/E move
1.9%
Puts
Pseudo strike
106.27
IV
50.4%
B/E move
1.7%

60Δ

Calls
Pseudo strike
104.13
IV
51.5%
B/E move
1.6%
Puts
Pseudo strike
106.99
IV
50.6%
B/E move
1.4%

65Δ

Calls
Pseudo strike
103.32
IV
53.2%
B/E move
1.4%
Puts
Pseudo strike
107.74
IV
50.6%
B/E move
1.2%

70Δ

Calls
Pseudo strike
102.47
IV
54.3%
B/E move
1.2%
Puts
Pseudo strike
108.53
IV
50.3%
B/E move
0.9%

75Δ

Calls
Pseudo strike
101.57
IV
54.7%
B/E move
0.9%
Puts
Pseudo strike
109.38
IV
50.1%
B/E move
0.7%

80Δ

Calls
Pseudo strike
100.56
IV
55.2%
B/E move
0.7%
Puts
Pseudo strike
110.32
IV
49.9%
B/E move
0.5%

Options history

IV · four-Friday blend44.27%
Daily close
BABA32.1%52.1%72.0%2026-08-11: 50.10%2026-08-12: 50.25%2026-08-13: 48.88%2026-08-14: 52.17%2026-08-17: 59.95%2026-08-18: 62.53%2026-08-19: 69.26%2026-08-20: 47.21%2026-08-21: 40.72%2026-08-24: 44.56%2026-08-25: 42.27%2026-08-26: 41.66%2026-08-27: 39.24%2026-08-28: 38.80%2026-08-31: 39.13%2026-09-01: 38.75%2026-09-02: 38.44%2026-09-03: 37.79%2026-09-04: 38.95%2026-09-08: 42.52%2026-09-09: 40.00%2026-09-10: 39.67%2026-09-11: 39.34%2026-09-14: 43.59%2026-09-15: 44.50%2026-09-16: 43.22%2026-09-17: 44.60%2026-09-18: 44.81%2026-09-21: 53.65%2026-09-22: 46.80%2026-09-23: 42.96%2026-09-24: 40.56%2026-09-25: 35.65%2026-09-28: 37.83%2026-09-29: 38.24%2026-09-30: 35.68%2026-10-01: 35.44%2026-10-02: 34.95%2026-10-05: 40.74%2026-10-06: 38.17%2026-10-07: 44.29%2026-10-08: 37.46%2026-10-09: 34.85%2026-10-12: 36.98%2026-10-13: 39.37%2026-10-14: 40.83%2026-10-15: 40.09%2026-10-16: 37.13%2026-10-19: 38.61%2026-10-20: 39.46%2026-10-21: 39.20%2026-10-22: 42.92%2026-10-23: 39.63%2026-10-26: 41.66%2026-10-27: 40.47%2026-10-28: 40.85%2026-10-29: 40.84%2026-10-30: 44.27%Aug 11Sep 21Oct 30
58 observations2026-08-11 — 2026-10-30
Table
DateIV (%)
50.10%
50.25%
48.88%
52.17%
59.95%
62.53%
69.26%
47.21%
40.72%
44.56%
42.27%
41.66%
39.24%
38.80%
39.13%
38.75%
38.44%
37.79%
38.95%
42.52%
40.00%
39.67%
39.34%
43.59%
44.50%
43.22%
44.60%
44.81%
53.65%
46.80%
42.96%
40.56%
35.65%
37.83%
38.24%
35.68%
35.44%
34.95%
40.74%
38.17%
44.29%
37.46%
34.85%
36.98%
39.37%
40.83%
40.09%
37.13%
38.61%
39.46%
39.20%
42.92%
39.63%
41.66%
40.47%
40.85%
40.84%
44.27%