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HDFC Bank Limited HDB

FINANCIAL SERVICES · BANKS - REGIONAL
i

Market dataready · fetched 2026-11-12T15:29:25.046Z

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 · 2026-11-12T15:29:21.42322876Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T15:29:23.763399+00:00

Share price$25.99
1D-0.3%
$25.82$25.89$25.95$26.01$26.085:30 AM6:30 AM9:00 AM1:00 PMHDB
Sold putSold call

HDFC Bank Limited options

Live interpolated HDB call and put midpoint premiums by absolute delta.HDFC Bank Limited$0.02$1.42$2.82$4.23$5.63$22.85$24.32$25.79$27.26$28.7320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive HDB spot · $25.98HDB PRICE$0.19$0.27$0.35$0.43$0.51$0.59$0.67$0.75$0.83$0.91$0.99$1.07$1.15$0.17$0.45$0.89$1.32$1.76$2.19$2.62$3.06$3.49$3.93$4.36$4.79$5.23
PutsExpensive1.22×
CallsCheap0.58×
SkewBearish+23.34 pp
Implied moveBearish±$3.30
TiltBearish59.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ27.2231.7%5.5%24.6540.5%5.8%
25Δ27.0431.8%5.1%25.3337.3%4.3%
30Δ26.8531.9%4.7%25.8440.9%4.0%
35Δ26.6731.9%4.3%26.3544.4%3.7%
40Δ26.4832.0%3.9%26.8647.9%3.4%
45Δ26.3032.1%3.5%27.3751.5%3.1%
50Δ26.1132.2%3.1%27.8855.0%2.8%
55Δ25.9332.2%2.7%28.3958.5%2.5%
60Δ25.7432.3%2.3%28.9062.0%2.2%
65Δ25.5632.4%1.9%29.4165.6%1.9%
70Δ25.3732.5%1.4%29.9269.1%1.6%
75Δ25.1932.6%1.0%30.4372.6%1.3%
80Δ25.0032.6%0.6%30.9476.2%1.0%

20Δ

Calls
Pseudo strike
27.22
IV
31.7%
B/E move
5.5%
Puts
Pseudo strike
24.65
IV
40.5%
B/E move
5.8%

25Δ

Calls
Pseudo strike
27.04
IV
31.8%
B/E move
5.1%
Puts
Pseudo strike
25.33
IV
37.3%
B/E move
4.3%

30Δ

Calls
Pseudo strike
26.85
IV
31.9%
B/E move
4.7%
Puts
Pseudo strike
25.84
IV
40.9%
B/E move
4.0%

35Δ

Calls
Pseudo strike
26.67
IV
31.9%
B/E move
4.3%
Puts
Pseudo strike
26.35
IV
44.4%
B/E move
3.7%

40Δ

Calls
Pseudo strike
26.48
IV
32.0%
B/E move
3.9%
Puts
Pseudo strike
26.86
IV
47.9%
B/E move
3.4%

45Δ

Calls
Pseudo strike
26.30
IV
32.1%
B/E move
3.5%
Puts
Pseudo strike
27.37
IV
51.5%
B/E move
3.1%

50Δ

Calls
Pseudo strike
26.11
IV
32.2%
B/E move
3.1%
Puts
Pseudo strike
27.88
IV
55.0%
B/E move
2.8%

55Δ

Calls
Pseudo strike
25.93
IV
32.2%
B/E move
2.7%
Puts
Pseudo strike
28.39
IV
58.5%
B/E move
2.5%

60Δ

Calls
Pseudo strike
25.74
IV
32.3%
B/E move
2.3%
Puts
Pseudo strike
28.90
IV
62.0%
B/E move
2.2%

65Δ

Calls
Pseudo strike
25.56
IV
32.4%
B/E move
1.9%
Puts
Pseudo strike
29.41
IV
65.6%
B/E move
1.9%

70Δ

Calls
Pseudo strike
25.37
IV
32.5%
B/E move
1.4%
Puts
Pseudo strike
29.92
IV
69.1%
B/E move
1.6%

75Δ

Calls
Pseudo strike
25.19
IV
32.6%
B/E move
1.0%
Puts
Pseudo strike
30.43
IV
72.6%
B/E move
1.3%

80Δ

Calls
Pseudo strike
25.00
IV
32.6%
B/E move
0.6%
Puts
Pseudo strike
30.94
IV
76.2%
B/E move
1.0%

Options history

IV · four-Friday blend33.35%
Daily close
HDB28.4%39.5%50.5%2026-08-28: 32.91%2026-08-31: 36.40%2026-09-01: 36.72%2026-09-02: 37.96%2026-09-15: 46.04%2026-09-16: 44.02%2026-09-24: 37.76%2026-09-25: 36.96%2026-09-28: 30.42%2026-09-29: 31.80%2026-09-30: 29.95%2026-10-02: 32.29%2026-10-06: 32.76%2026-10-07: 35.14%2026-10-09: 35.17%2026-10-12: 38.60%2026-10-14: 48.97%2026-10-16: 31.80%2026-10-21: 36.81%2026-10-22: 34.95%2026-10-23: 32.57%2026-10-30: 33.35%Aug 28Sep 30Oct 30
22 observations2026-08-28 — 2026-10-30
Table
DateIV (%)
32.91%
36.40%
36.72%
37.96%
46.04%
44.02%
37.76%
36.96%
30.42%
31.80%
29.95%
32.29%
32.76%
35.14%
35.17%
38.60%
48.97%
31.80%
36.81%
34.95%
32.57%
33.35%