IntraAlpha
Create free account Start free

Blue Ridge Bankshares, Inc. BRBS

FINANCIAL SERVICES · BANKS - REGIONAL
i

Market dataready · fetched 2026-11-11T15:46:44.742Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2027-04-16

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 · 2026-11-11T15:32:29.421366368Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-11T15:39:05.012491+00:00

Share price$4.02
1D-0.9%
$4.02$4.03$4.04$4.05$4.065:30 AM6:30 AM9:00 AM1:00 PMBRBS
Sold putSold call

Blue Ridge Bankshares, Inc. options

Live interpolated BRBS call and put midpoint premiums by absolute delta.Blue Ridge Bankshares, Inc.$0.20$0.52$0.83$1.15$1.47$3.04$3.78$4.52$5.27$6.0120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ65Δ 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 BRBS spot · $4.02BRBS PRICE$0.23$0.33$0.42$0.52$0.61$0.71$0.81$0.90$1.00$1.09$1.19$1.29$1.38$0.46$0.54$0.63$0.71$0.80$0.88$0.97$1.05$1.14
Puts——
CallsExpensive1.82×
Skew——
Implied moveBearish±$1.77
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ7.0768.1%81.7%2.74113.2%43.1%
25Δ6.7667.5%76.2%3.00106.8%38.8%
30Δ6.4466.9%70.8%3.26100.4%34.4%
35Δ6.1366.4%65.3%3.5294.0%30.1%
40Δ5.8165.8%59.9%3.7887.5%25.8%
45Δ5.5065.3%54.5%4.0481.1%21.5%
50Δ5.1964.7%49.0%4.3074.7%17.2%
55Δ4.8764.1%43.6%4.5668.3%12.9%
60Δ4.5663.6%38.2%4.8261.9%8.5%
65Δ4.2463.0%32.7%
70Δ3.9362.5%27.3%
75Δ3.6161.9%21.9%
80Δ3.3061.3%16.4%

20Δ

Calls
Pseudo strike
7.07
IV
68.1%
B/E move
81.7%
Puts
Pseudo strike
2.74
IV
113.2%
B/E move
43.1%

25Δ

Calls
Pseudo strike
6.76
IV
67.5%
B/E move
76.2%
Puts
Pseudo strike
3.00
IV
106.8%
B/E move
38.8%

30Δ

Calls
Pseudo strike
6.44
IV
66.9%
B/E move
70.8%
Puts
Pseudo strike
3.26
IV
100.4%
B/E move
34.4%

35Δ

Calls
Pseudo strike
6.13
IV
66.4%
B/E move
65.3%
Puts
Pseudo strike
3.52
IV
94.0%
B/E move
30.1%

40Δ

Calls
Pseudo strike
5.81
IV
65.8%
B/E move
59.9%
Puts
Pseudo strike
3.78
IV
87.5%
B/E move
25.8%

45Δ

Calls
Pseudo strike
5.50
IV
65.3%
B/E move
54.5%
Puts
Pseudo strike
4.04
IV
81.1%
B/E move
21.5%

50Δ

Calls
Pseudo strike
5.19
IV
64.7%
B/E move
49.0%
Puts
Pseudo strike
4.30
IV
74.7%
B/E move
17.2%

55Δ

Calls
Pseudo strike
4.87
IV
64.1%
B/E move
43.6%
Puts
Pseudo strike
4.56
IV
68.3%
B/E move
12.9%

60Δ

Calls
Pseudo strike
4.56
IV
63.6%
B/E move
38.2%
Puts
Pseudo strike
4.82
IV
61.9%
B/E move
8.5%

65Δ

Calls
Pseudo strike
4.24
IV
63.0%
B/E move
32.7%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
3.93
IV
62.5%
B/E move
27.3%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
3.61
IV
61.9%
B/E move
21.9%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
3.30
IV
61.3%
B/E move
16.4%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations