IntraAlpha
Create free account Start free

British American Tobacco p.l.c. American Depositary Shares, American Depositary Shares, each representing one Ordinary Share BTI

i

Market datapartial · fetched 2026-11-13T17:10:42.514Z

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 · 2026-11-13T17:10:33.849413697Z

FundamentalsAlpha Vantage · unavailable

Share price$61.70
1D+0.9%
$61.00$61.21$61.42$61.62$61.835:30 AM6:30 AM9:00 AM1:00 PMBTI
Sold putSold call

British American Tobacco p.l.c. American Depositary Shares, American Depositary Shares, each representing one Ordinary Share options

Live interpolated BTI call and put midpoint premiums by absolute delta.British American Tobacco p.l.c. American Depositary Shares, American Depositary Shares, each representing one Ordinary Share$0.18$1.01$1.84$2.67$3.49$58.43$59.93$61.44$62.94$64.4520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive BTI spot · $61.70BTI PRICE$0.39$0.52$0.65$0.78$0.92$1.05$1.18$1.32$1.45$1.58$1.71$1.85$0.27$0.45$0.71$0.96$1.22$1.47$1.73$1.98$2.24$2.49$2.74$3.00$3.25
PutsExpensive1.36×
Calls——
Skew——
Implied moveBearish±$2.91
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ64.2427.3%4.7%59.4629.2%4.1%
25Δ63.8827.1%4.4%60.2427.7%3.1%
30Δ63.5326.9%4.0%60.6428.3%2.9%
35Δ63.1726.7%3.7%61.0329.0%2.6%
40Δ62.8226.5%3.3%61.4329.6%2.4%
45Δ62.4726.4%3.0%61.8330.3%2.2%
50Δ62.1126.2%2.6%62.2330.9%1.9%
55Δ61.7626.0%2.2%62.6331.5%1.7%
60Δ61.4125.8%1.9%63.0232.2%1.5%
65Δ61.0525.6%1.5%63.4232.8%1.2%
70Δ60.7025.4%1.2%63.8233.5%1.0%
75Δ60.3425.2%0.8%64.2234.1%0.8%
80Δ64.6234.8%0.5%

20Δ

Calls
Pseudo strike
64.24
IV
27.3%
B/E move
4.7%
Puts
Pseudo strike
59.46
IV
29.2%
B/E move
4.1%

25Δ

Calls
Pseudo strike
63.88
IV
27.1%
B/E move
4.4%
Puts
Pseudo strike
60.24
IV
27.7%
B/E move
3.1%

30Δ

Calls
Pseudo strike
63.53
IV
26.9%
B/E move
4.0%
Puts
Pseudo strike
60.64
IV
28.3%
B/E move
2.9%

35Δ

Calls
Pseudo strike
63.17
IV
26.7%
B/E move
3.7%
Puts
Pseudo strike
61.03
IV
29.0%
B/E move
2.6%

40Δ

Calls
Pseudo strike
62.82
IV
26.5%
B/E move
3.3%
Puts
Pseudo strike
61.43
IV
29.6%
B/E move
2.4%

45Δ

Calls
Pseudo strike
62.47
IV
26.4%
B/E move
3.0%
Puts
Pseudo strike
61.83
IV
30.3%
B/E move
2.2%

50Δ

Calls
Pseudo strike
62.11
IV
26.2%
B/E move
2.6%
Puts
Pseudo strike
62.23
IV
30.9%
B/E move
1.9%

55Δ

Calls
Pseudo strike
61.76
IV
26.0%
B/E move
2.2%
Puts
Pseudo strike
62.63
IV
31.5%
B/E move
1.7%

60Δ

Calls
Pseudo strike
61.41
IV
25.8%
B/E move
1.9%
Puts
Pseudo strike
63.02
IV
32.2%
B/E move
1.5%

65Δ

Calls
Pseudo strike
61.05
IV
25.6%
B/E move
1.5%
Puts
Pseudo strike
63.42
IV
32.8%
B/E move
1.2%

70Δ

Calls
Pseudo strike
60.70
IV
25.4%
B/E move
1.2%
Puts
Pseudo strike
63.82
IV
33.5%
B/E move
1.0%

75Δ

Calls
Pseudo strike
60.34
IV
25.2%
B/E move
0.8%
Puts
Pseudo strike
64.22
IV
34.1%
B/E move
0.8%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
64.62
IV
34.8%
B/E move
0.5%

Options history

IV · four-Friday blend23.49%
Daily EOD
BTI23.1%23.5%24.0%2026-10-19: 23.44%2026-10-20: 23.13%2026-10-21: 23.45%2026-10-22: 23.97%2026-10-23: 23.64%2026-10-26: 23.62%2026-10-27: 23.48%2026-10-28: 23.49%Oct 19Oct 22Oct 28
8 observations2026-10-19 — 2026-10-28
Table
DateIV (%)
23.44%
23.13%
23.45%
23.97%
23.64%
23.62%
23.48%
23.49%