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ICICI Bank Limited IBN

FINANCIAL SERVICES · BANKS - REGIONAL
i

Market dataready · fetched 2026-11-12T02:43:11.279Z

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 · 2026-11-12T00:00:00.002931566Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T02:38:19.021526+00:00

Share price$34.74
1D+1.3%
AH$34.14$34.30$34.46$34.62$34.785:30 AM6:30 AM9:00 AM1:00 PM2:00 PMIBN
Sold putSold callAH

ICICI Bank Limited options

Live interpolated IBN call and put midpoint premiums by absolute delta.ICICI Bank Limited$0.16$1.09$2.02$2.95$3.88$29.06$31.35$33.64$35.93$38.2220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive IBN spot · $34.74IBN PRICE$0.26$0.31$0.36$0.43$0.52$0.62$0.71$0.81$0.90$1.36$3.13$0.47$0.52$0.30$0.40$0.51$0.61$0.71$2.31$2.48$2.65$3.62
Puts——
Calls——
Skew——
Implied moveBearish±$1.23
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ31.9370.3%9.4%
25Δ32.7262.1%7.3%
30Δ35.5724.6%3.1%34.0028.4%3.0%
35Δ35.3624.1%2.7%34.2129.0%2.7%
40Δ35.1523.5%2.2%34.4129.5%2.4%
45Δ34.9523.1%1.8%34.6230.1%2.1%
50Δ34.7923.1%1.6%34.8230.7%1.8%
55Δ34.6223.1%1.4%
60Δ34.4623.1%1.2%
65Δ34.2923.1%1.0%36.2963.5%2.2%
70Δ34.1323.0%0.8%36.6459.2%1.7%
75Δ33.6128.0%0.7%36.9954.9%1.1%
80Δ31.8350.7%0.7%38.0263.7%1.0%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
31.93
IV
70.3%
B/E move
9.4%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
32.72
IV
62.1%
B/E move
7.3%

30Δ

Calls
Pseudo strike
35.57
IV
24.6%
B/E move
3.1%
Puts
Pseudo strike
34.00
IV
28.4%
B/E move
3.0%

35Δ

Calls
Pseudo strike
35.36
IV
24.1%
B/E move
2.7%
Puts
Pseudo strike
34.21
IV
29.0%
B/E move
2.7%

40Δ

Calls
Pseudo strike
35.15
IV
23.5%
B/E move
2.2%
Puts
Pseudo strike
34.41
IV
29.5%
B/E move
2.4%

45Δ

Calls
Pseudo strike
34.95
IV
23.1%
B/E move
1.8%
Puts
Pseudo strike
34.62
IV
30.1%
B/E move
2.1%

50Δ

Calls
Pseudo strike
34.79
IV
23.1%
B/E move
1.6%
Puts
Pseudo strike
34.82
IV
30.7%
B/E move
1.8%

55Δ

Calls
Pseudo strike
34.62
IV
23.1%
B/E move
1.4%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
34.46
IV
23.1%
B/E move
1.2%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
34.29
IV
23.1%
B/E move
1.0%
Puts
Pseudo strike
36.29
IV
63.5%
B/E move
2.2%

70Δ

Calls
Pseudo strike
34.13
IV
23.0%
B/E move
0.8%
Puts
Pseudo strike
36.64
IV
59.2%
B/E move
1.7%

75Δ

Calls
Pseudo strike
33.61
IV
28.0%
B/E move
0.7%
Puts
Pseudo strike
36.99
IV
54.9%
B/E move
1.1%

80Δ

Calls
Pseudo strike
31.83
IV
50.7%
B/E move
0.7%
Puts
Pseudo strike
38.02
IV
63.7%
B/E move
1.0%

Options history

IV · four-Friday blend24.47%
Daily EOD
IBN18.3%23.5%28.7%2026-10-19: 20.72%2026-10-20: 21.90%2026-10-21: 19.06%2026-10-22: 20.24%2026-10-23: 25.17%2026-10-26: 20.19%2026-10-27: 23.91%2026-10-28: 28.02%2026-10-29: 21.20%2026-10-30: 24.47%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
20.72%
21.90%
19.06%
20.24%
25.17%
20.19%
23.91%
28.02%
21.20%
24.47%