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Cullen/Frost Bankers Inc. CFR

FINANCIAL SERVICES · BANKS - REGIONAL
i

Market dataready · fetched 2026-11-12T02:18:30.066Z

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 · 2026-11-12T00:00:00.001921704Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T02:18:29.503880+00:00

Share price$157.85
1D-0.5%
AH$156.33$156.97$157.61$158.24$158.885:30 AM6:30 AM9:00 AM1:00 PM2:00 PMCFR
Sold putSold callAH

Cullen/Frost Bankers Inc. options

Live interpolated CFR call and put midpoint premiums by absolute delta.Cullen/Frost Bankers Inc.$0.93$2.95$4.98$7.01$9.03$149.64$153.85$158.07$162.29$166.5020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive CFR spot · $157.85CFR PRICE$1.15$1.26$1.30$1.34$1.63$2.03$2.44$2.84$3.25$3.65$4.06$5.11$6.25$1.20$1.24$1.29$1.55$1.87$2.18$2.50$2.82$3.14$3.84$5.38$6.91$8.45
PutsFair1.00×
CallsCheap0.92×
SkewBearish+0.43 pp
Implied moveBalanced±$4.94
TiltBearish7.7% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ168.0044.0%7.2%149.7842.5%5.9%
25Δ164.5336.1%5.0%152.2134.8%4.4%
30Δ162.5730.1%3.8%154.5227.3%2.9%
35Δ160.6124.1%2.6%155.6125.3%2.4%
40Δ159.5022.3%2.1%156.3924.8%2.1%
45Δ158.7622.5%1.9%157.1624.2%1.8%
50Δ158.0222.7%1.7%157.9323.7%1.5%
55Δ157.2922.8%1.4%158.7023.1%1.2%
60Δ156.5523.0%1.2%159.4822.6%1.0%
65Δ155.8223.2%1.0%160.5622.8%0.7%
70Δ155.0823.4%0.8%162.2824.4%0.6%
75Δ153.8124.3%0.7%164.0026.1%0.5%
80Δ152.4725.3%0.6%165.7327.8%0.4%

20Δ

Calls
Pseudo strike
168.00
IV
44.0%
B/E move
7.2%
Puts
Pseudo strike
149.78
IV
42.5%
B/E move
5.9%

25Δ

Calls
Pseudo strike
164.53
IV
36.1%
B/E move
5.0%
Puts
Pseudo strike
152.21
IV
34.8%
B/E move
4.4%

30Δ

Calls
Pseudo strike
162.57
IV
30.1%
B/E move
3.8%
Puts
Pseudo strike
154.52
IV
27.3%
B/E move
2.9%

35Δ

Calls
Pseudo strike
160.61
IV
24.1%
B/E move
2.6%
Puts
Pseudo strike
155.61
IV
25.3%
B/E move
2.4%

40Δ

Calls
Pseudo strike
159.50
IV
22.3%
B/E move
2.1%
Puts
Pseudo strike
156.39
IV
24.8%
B/E move
2.1%

45Δ

Calls
Pseudo strike
158.76
IV
22.5%
B/E move
1.9%
Puts
Pseudo strike
157.16
IV
24.2%
B/E move
1.8%

50Δ

Calls
Pseudo strike
158.02
IV
22.7%
B/E move
1.7%
Puts
Pseudo strike
157.93
IV
23.7%
B/E move
1.5%

55Δ

Calls
Pseudo strike
157.29
IV
22.8%
B/E move
1.4%
Puts
Pseudo strike
158.70
IV
23.1%
B/E move
1.2%

60Δ

Calls
Pseudo strike
156.55
IV
23.0%
B/E move
1.2%
Puts
Pseudo strike
159.48
IV
22.6%
B/E move
1.0%

65Δ

Calls
Pseudo strike
155.82
IV
23.2%
B/E move
1.0%
Puts
Pseudo strike
160.56
IV
22.8%
B/E move
0.7%

70Δ

Calls
Pseudo strike
155.08
IV
23.4%
B/E move
0.8%
Puts
Pseudo strike
162.28
IV
24.4%
B/E move
0.6%

75Δ

Calls
Pseudo strike
153.81
IV
24.3%
B/E move
0.7%
Puts
Pseudo strike
164.00
IV
26.1%
B/E move
0.5%

80Δ

Calls
Pseudo strike
152.47
IV
25.3%
B/E move
0.6%
Puts
Pseudo strike
165.73
IV
27.8%
B/E move
0.4%

Options history

IV · four-Friday blend24.12%
Daily EOD
CFR22.9%24.7%26.6%2026-10-19: 25.08%2026-10-20: 24.84%2026-10-21: 25.74%2026-10-22: 25.86%2026-10-23: 26.15%2026-10-26: 26.30%2026-10-27: 25.78%2026-10-28: 25.45%2026-10-29: 23.19%2026-10-30: 24.12%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
25.08%
24.84%
25.74%
25.86%
26.15%
26.30%
25.78%
25.45%
23.19%
24.12%