IntraAlpha
Create free account Start free

Cullen/Frost Bankers Inc CFR

FINANCIAL SERVICES · BANKS - REGIONAL
i

Market dataready · fetched 2026-10-22T23:52:48.559Z

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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-22T23:00:00.002834829Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-10-22T23:50:48.712297+00:00

Share price$157.68
1D+0.8%
AH$156.29$156.81$157.33$157.85$158.375:30 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$1.02$4.22$7.41$10.61$13.80$141.28$149.17$157.06$164.95$172.8420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive CFR spot · $157.68CFR PRICE$1.36$1.58$2.01$2.61$3.21$3.81$4.65$5.51$6.37$7.51$8.80$10.09$12.46$1.82$2.19$2.72$3.28$3.97$5.03$6.08$6.99$7.64$8.28$8.93$10.89$12.88
PutsExpensive1.36×
CallsExpensive1.16×
SkewBearish+2.81 pp
Implied moveBearish±$10.73
TiltBearish7.1% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ171.2029.9%9.4%146.1135.3%8.5%
25Δ166.8725.4%6.8%149.4531.7%6.6%
30Δ164.2223.9%5.4%151.6230.5%5.6%
35Δ162.8424.7%4.9%153.5629.8%4.7%
40Δ161.4725.5%4.4%155.4529.5%3.9%
45Δ160.0926.3%3.9%157.1830.6%3.5%
50Δ158.5726.8%3.5%158.9031.8%3.1%
55Δ157.0427.3%3.1%160.5431.9%2.6%
60Δ155.5127.8%2.7%162.0130.1%2.1%
65Δ153.7728.3%2.3%163.4928.3%1.6%
70Δ151.9328.8%1.9%164.9626.5%1.0%
75Δ150.0929.3%1.6%167.3327.4%0.8%
80Δ147.2931.1%1.3%169.7428.3%0.5%

20Δ

Calls
Pseudo strike
171.20
IV
29.9%
B/E move
9.4%
Puts
Pseudo strike
146.11
IV
35.3%
B/E move
8.5%

25Δ

Calls
Pseudo strike
166.87
IV
25.4%
B/E move
6.8%
Puts
Pseudo strike
149.45
IV
31.7%
B/E move
6.6%

30Δ

Calls
Pseudo strike
164.22
IV
23.9%
B/E move
5.4%
Puts
Pseudo strike
151.62
IV
30.5%
B/E move
5.6%

35Δ

Calls
Pseudo strike
162.84
IV
24.7%
B/E move
4.9%
Puts
Pseudo strike
153.56
IV
29.8%
B/E move
4.7%

40Δ

Calls
Pseudo strike
161.47
IV
25.5%
B/E move
4.4%
Puts
Pseudo strike
155.45
IV
29.5%
B/E move
3.9%

45Δ

Calls
Pseudo strike
160.09
IV
26.3%
B/E move
3.9%
Puts
Pseudo strike
157.18
IV
30.6%
B/E move
3.5%

50Δ

Calls
Pseudo strike
158.57
IV
26.8%
B/E move
3.5%
Puts
Pseudo strike
158.90
IV
31.8%
B/E move
3.1%

55Δ

Calls
Pseudo strike
157.04
IV
27.3%
B/E move
3.1%
Puts
Pseudo strike
160.54
IV
31.9%
B/E move
2.6%

60Δ

Calls
Pseudo strike
155.51
IV
27.8%
B/E move
2.7%
Puts
Pseudo strike
162.01
IV
30.1%
B/E move
2.1%

65Δ

Calls
Pseudo strike
153.77
IV
28.3%
B/E move
2.3%
Puts
Pseudo strike
163.49
IV
28.3%
B/E move
1.6%

70Δ

Calls
Pseudo strike
151.93
IV
28.8%
B/E move
1.9%
Puts
Pseudo strike
164.96
IV
26.5%
B/E move
1.0%

75Δ

Calls
Pseudo strike
150.09
IV
29.3%
B/E move
1.6%
Puts
Pseudo strike
167.33
IV
27.4%
B/E move
0.8%

80Δ

Calls
Pseudo strike
147.29
IV
31.1%
B/E move
1.3%
Puts
Pseudo strike
169.74
IV
28.3%
B/E move
0.5%

Options history

CFR24.7725.2925.812026-10-20: 24.84%2026-10-21: 25.74%Oct 20Oct 21
Table
DateIV
24.84%
25.74%