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ICICI Bank Limited IBN

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Market datapartial · fetched 2026-10-22T23:45:20.821Z

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 · 2026-10-22T23:00:00.002230243Z

FundamentalsAlpha Vantage · unavailable

Share price$29.94
1D+1.3%
AH$29.46$29.60$29.74$29.88$30.025:30 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$0.12$1.21$2.29$3.38$4.46$26.44$28.04$29.63$31.23$32.8220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive IBN spot · $29.94IBN PRICE$0.24$0.28$0.32$0.41$0.49$0.58$0.67$0.87$1.14$1.42$1.69$1.97$2.24$0.28$0.36$0.44$0.53$0.61$0.70$0.94$1.42$1.91$2.39$2.88$3.36$4.15
PutsExpensive1.26×
CallsCheap0.88×
SkewBearish+7.37 pp
Implied moveBearish±$1.61
TiltBearish23.6% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ32.3727.8%8.9%28.1428.4%6.9%
25Δ31.7024.3%6.8%28.5527.4%5.8%
30Δ31.0420.8%4.7%28.9626.4%4.8%
35Δ30.7820.5%4.2%29.2625.4%4.0%
40Δ30.5520.5%3.7%29.5424.4%3.4%
45Δ30.3220.4%3.2%29.8323.4%2.7%
50Δ30.0920.3%2.7%30.2124.3%2.2%
55Δ29.7921.3%2.4%30.7528.0%2.1%
60Δ29.4422.9%2.2%31.2931.7%1.9%
65Δ29.1024.6%1.9%31.8235.5%1.7%
70Δ28.7626.2%1.7%32.3639.2%1.5%
75Δ28.4127.8%1.5%32.9043.0%1.3%
80Δ28.0729.4%1.2%33.7845.6%1.0%

20Δ

Calls
Pseudo strike
32.37
IV
27.8%
B/E move
8.9%
Puts
Pseudo strike
28.14
IV
28.4%
B/E move
6.9%

25Δ

Calls
Pseudo strike
31.70
IV
24.3%
B/E move
6.8%
Puts
Pseudo strike
28.55
IV
27.4%
B/E move
5.8%

30Δ

Calls
Pseudo strike
31.04
IV
20.8%
B/E move
4.7%
Puts
Pseudo strike
28.96
IV
26.4%
B/E move
4.8%

35Δ

Calls
Pseudo strike
30.78
IV
20.5%
B/E move
4.2%
Puts
Pseudo strike
29.26
IV
25.4%
B/E move
4.0%

40Δ

Calls
Pseudo strike
30.55
IV
20.5%
B/E move
3.7%
Puts
Pseudo strike
29.54
IV
24.4%
B/E move
3.4%

45Δ

Calls
Pseudo strike
30.32
IV
20.4%
B/E move
3.2%
Puts
Pseudo strike
29.83
IV
23.4%
B/E move
2.7%

50Δ

Calls
Pseudo strike
30.09
IV
20.3%
B/E move
2.7%
Puts
Pseudo strike
30.21
IV
24.3%
B/E move
2.2%

55Δ

Calls
Pseudo strike
29.79
IV
21.3%
B/E move
2.4%
Puts
Pseudo strike
30.75
IV
28.0%
B/E move
2.1%

60Δ

Calls
Pseudo strike
29.44
IV
22.9%
B/E move
2.2%
Puts
Pseudo strike
31.29
IV
31.7%
B/E move
1.9%

65Δ

Calls
Pseudo strike
29.10
IV
24.6%
B/E move
1.9%
Puts
Pseudo strike
31.82
IV
35.5%
B/E move
1.7%

70Δ

Calls
Pseudo strike
28.76
IV
26.2%
B/E move
1.7%
Puts
Pseudo strike
32.36
IV
39.2%
B/E move
1.5%

75Δ

Calls
Pseudo strike
28.41
IV
27.8%
B/E move
1.5%
Puts
Pseudo strike
32.90
IV
43.0%
B/E move
1.3%

80Δ

Calls
Pseudo strike
28.07
IV
29.4%
B/E move
1.2%
Puts
Pseudo strike
33.78
IV
45.6%
B/E move
1.0%

Options history

No recorded observations