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Embraer S.A. American Depositary Shares (Each representing Four Common Shares) EMBJ

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Market datapartial · fetched 2026-11-12T03:15:09.165Z

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 · 2026-11-12T00:02:23.757406088Z

FundamentalsAlpha Vantage · unavailable

Share price$81.55
1D-1.1%
AH$80.35$81.23$82.12$83.00$83.885:30 AM6:30 AM9:00 AM1:00 PM2:00 PMEMBJ
Sold putSold callAH

Embraer S.A. American Depositary Shares (Each representing Four Common Shares) options

Live interpolated EMBJ call and put midpoint premiums by absolute delta.Embraer S.A. American Depositary Shares (Each representing Four Common Shares)$0.43$2.30$4.17$6.04$7.91$71.54$77.05$82.56$88.06$93.5720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive EMBJ spot · $81.55EMBJ PRICE$0.71$0.92$1.14$1.51$1.92$2.34$2.75$3.16$3.57$4.44$5.42$6.40$7.37$0.64$0.81$0.99$1.16$1.42$1.68$1.95$2.21$2.47$2.74$3.00$3.26$3.53
PutsCheap0.59×
CallsCheap0.69×
SkewBullish-19.57 pp
Implied moveBullish±$4.69
TiltBullish23.4% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ87.7548.7%8.5%76.8342.5%6.6%
25Δ86.4948.4%7.2%77.8640.8%5.5%
30Δ85.2348.2%5.9%78.8939.0%4.5%
35Δ84.3249.0%5.3%79.9237.3%3.4%
40Δ83.4950.1%4.7%80.4936.1%3.0%
45Δ82.6651.1%4.2%81.0135.0%2.7%
50Δ81.8252.2%3.7%81.5433.9%2.4%
55Δ80.9953.3%3.2%82.0732.8%2.1%
60Δ80.1654.4%2.7%82.5931.7%1.8%
65Δ78.9956.8%2.3%83.1230.6%1.4%
70Δ77.7359.5%2.0%83.6529.5%1.1%
75Δ76.4862.3%1.6%84.1828.4%0.8%
80Δ75.2365.0%1.3%84.7027.2%0.5%

20Δ

Calls
Pseudo strike
87.75
IV
48.7%
B/E move
8.5%
Puts
Pseudo strike
76.83
IV
42.5%
B/E move
6.6%

25Δ

Calls
Pseudo strike
86.49
IV
48.4%
B/E move
7.2%
Puts
Pseudo strike
77.86
IV
40.8%
B/E move
5.5%

30Δ

Calls
Pseudo strike
85.23
IV
48.2%
B/E move
5.9%
Puts
Pseudo strike
78.89
IV
39.0%
B/E move
4.5%

35Δ

Calls
Pseudo strike
84.32
IV
49.0%
B/E move
5.3%
Puts
Pseudo strike
79.92
IV
37.3%
B/E move
3.4%

40Δ

Calls
Pseudo strike
83.49
IV
50.1%
B/E move
4.7%
Puts
Pseudo strike
80.49
IV
36.1%
B/E move
3.0%

45Δ

Calls
Pseudo strike
82.66
IV
51.1%
B/E move
4.2%
Puts
Pseudo strike
81.01
IV
35.0%
B/E move
2.7%

50Δ

Calls
Pseudo strike
81.82
IV
52.2%
B/E move
3.7%
Puts
Pseudo strike
81.54
IV
33.9%
B/E move
2.4%

55Δ

Calls
Pseudo strike
80.99
IV
53.3%
B/E move
3.2%
Puts
Pseudo strike
82.07
IV
32.8%
B/E move
2.1%

60Δ

Calls
Pseudo strike
80.16
IV
54.4%
B/E move
2.7%
Puts
Pseudo strike
82.59
IV
31.7%
B/E move
1.8%

65Δ

Calls
Pseudo strike
78.99
IV
56.8%
B/E move
2.3%
Puts
Pseudo strike
83.12
IV
30.6%
B/E move
1.4%

70Δ

Calls
Pseudo strike
77.73
IV
59.5%
B/E move
2.0%
Puts
Pseudo strike
83.65
IV
29.5%
B/E move
1.1%

75Δ

Calls
Pseudo strike
76.48
IV
62.3%
B/E move
1.6%
Puts
Pseudo strike
84.18
IV
28.4%
B/E move
0.8%

80Δ

Calls
Pseudo strike
75.23
IV
65.0%
B/E move
1.3%
Puts
Pseudo strike
84.70
IV
27.2%
B/E move
0.5%

Options history

IV · four-Friday blend42.60%
Daily close
EMBJ37.3%40.4%43.6%2026-08-13: 37.74%2026-08-14: 39.24%2026-08-21: 38.45%2026-08-24: 38.32%2026-08-25: 38.61%2026-08-26: 38.69%2026-08-27: 38.50%2026-08-28: 38.75%2026-08-31: 39.88%2026-09-01: 39.62%2026-09-02: 39.56%2026-09-03: 38.34%2026-09-04: 38.07%2026-09-08: 40.44%2026-09-09: 39.44%2026-09-10: 39.39%2026-09-11: 38.61%2026-09-14: 41.65%2026-09-18: 41.42%2026-09-21: 41.94%2026-09-22: 41.66%2026-09-23: 40.83%2026-09-24: 41.87%2026-09-25: 41.61%2026-09-28: 42.24%2026-09-29: 42.03%2026-09-30: 42.32%2026-10-01: 42.40%2026-10-02: 42.79%2026-10-05: 41.89%2026-10-06: 41.21%2026-10-07: 42.13%2026-10-08: 39.99%2026-10-09: 41.83%2026-10-16: 41.75%2026-10-19: 42.49%2026-10-20: 42.51%2026-10-21: 41.86%2026-10-22: 42.72%2026-10-23: 43.12%2026-10-26: 41.07%2026-10-27: 41.11%2026-10-28: 41.43%2026-10-29: 41.08%2026-10-30: 42.60%Aug 13Sep 24Oct 30
45 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
37.74%
39.24%
38.45%
38.32%
38.61%
38.69%
38.50%
38.75%
39.88%
39.62%
39.56%
38.34%
38.07%
40.44%
39.44%
39.39%
38.61%
41.65%
41.42%
41.94%
41.66%
40.83%
41.87%
41.61%
42.24%
42.03%
42.32%
42.40%
42.79%
41.89%
41.21%
42.13%
39.99%
41.83%
41.75%
42.49%
42.51%
41.86%
42.72%
43.12%
41.07%
41.11%
41.43%
41.08%
42.60%