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Bally's Corporation BALY

i

Market dataready · fetched 2026-11-11T15:57:22.321Z

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 · 2026-11-11T15:16:07.195154178Z

FundamentalsSEC EDGAR · ready · as of 2026-06-30 · fetched 2026-11-11T15:57:21.820104+00:00

Share price$12.15
1D+3.2%
$11.75$11.86$11.97$12.07$12.185:30 AM6:30 AM9:00 AM1:00 PMBALY
Sold putSold call

Bally's Corporation options

Live interpolated BALY call and put midpoint premiums by absolute delta.Bally's Corporation$0.29$1.05$1.80$2.55$3.30$9.25$10.60$11.94$13.29$14.6420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive BALY spot · $12.15BALY PRICE$0.38$0.38$0.38$0.39$0.40$0.49$0.67$0.85$1.04$1.22$1.40$1.59$1.77$0.39$0.45$0.51$0.57$0.63$0.69$0.76$0.82$1.23$1.69$2.16$2.62$3.09
PutsFair0.98×
CallsFair0.98×
SkewBearish+20.47 pp
Implied moveBearish±$1.43
TiltBearish17.6% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ16.94203.9%42.5%10.07162.0%20.3%
25Δ14.83151.1%25.1%10.41151.0%18.0%
30Δ14.17128.3%19.8%10.75140.0%15.7%
35Δ13.51105.5%14.4%11.09128.9%13.4%
40Δ12.8582.7%9.0%11.43117.9%11.1%
45Δ12.3871.6%5.9%11.77106.9%8.8%
50Δ12.1373.7%5.3%12.1295.9%6.5%
55Δ11.8875.8%4.8%12.4684.9%4.2%
60Δ11.6377.9%4.2%12.9493.4%3.6%
65Δ11.3880.0%3.7%13.45104.9%3.2%
70Δ11.1382.1%3.1%13.97116.3%2.8%
75Δ10.8884.2%2.5%14.48127.8%2.5%
80Δ10.6286.3%2.0%14.99139.3%2.1%

20Δ

Calls
Pseudo strike
16.94
IV
203.9%
B/E move
42.5%
Puts
Pseudo strike
10.07
IV
162.0%
B/E move
20.3%

25Δ

Calls
Pseudo strike
14.83
IV
151.1%
B/E move
25.1%
Puts
Pseudo strike
10.41
IV
151.0%
B/E move
18.0%

30Δ

Calls
Pseudo strike
14.17
IV
128.3%
B/E move
19.8%
Puts
Pseudo strike
10.75
IV
140.0%
B/E move
15.7%

35Δ

Calls
Pseudo strike
13.51
IV
105.5%
B/E move
14.4%
Puts
Pseudo strike
11.09
IV
128.9%
B/E move
13.4%

40Δ

Calls
Pseudo strike
12.85
IV
82.7%
B/E move
9.0%
Puts
Pseudo strike
11.43
IV
117.9%
B/E move
11.1%

45Δ

Calls
Pseudo strike
12.38
IV
71.6%
B/E move
5.9%
Puts
Pseudo strike
11.77
IV
106.9%
B/E move
8.8%

50Δ

Calls
Pseudo strike
12.13
IV
73.7%
B/E move
5.3%
Puts
Pseudo strike
12.12
IV
95.9%
B/E move
6.5%

55Δ

Calls
Pseudo strike
11.88
IV
75.8%
B/E move
4.8%
Puts
Pseudo strike
12.46
IV
84.9%
B/E move
4.2%

60Δ

Calls
Pseudo strike
11.63
IV
77.9%
B/E move
4.2%
Puts
Pseudo strike
12.94
IV
93.4%
B/E move
3.6%

65Δ

Calls
Pseudo strike
11.38
IV
80.0%
B/E move
3.7%
Puts
Pseudo strike
13.45
IV
104.9%
B/E move
3.2%

70Δ

Calls
Pseudo strike
11.13
IV
82.1%
B/E move
3.1%
Puts
Pseudo strike
13.97
IV
116.3%
B/E move
2.8%

75Δ

Calls
Pseudo strike
10.88
IV
84.2%
B/E move
2.5%
Puts
Pseudo strike
14.48
IV
127.8%
B/E move
2.5%

80Δ

Calls
Pseudo strike
10.62
IV
86.3%
B/E move
2.0%
Puts
Pseudo strike
14.99
IV
139.3%
B/E move
2.1%

Options history

IV · four-Friday blend90.75%
Daily EOD
BALY75.6%83.7%91.9%2026-10-19: 76.90%2026-10-20: 78.19%2026-10-21: 85.23%2026-10-22: 76.68%2026-10-23: 81.28%2026-10-26: 82.09%2026-10-27: 77.01%2026-10-28: 88.94%2026-10-29: 78.77%2026-10-30: 90.75%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
76.90%
78.19%
85.23%
76.68%
81.28%
82.09%
77.01%
88.94%
78.77%
90.75%