IntraAlpha
Create free account Start free

Roku, Inc. Class A Common Stock ROKU

i

Market dataready · fetched 2026-11-07T01:22:45.138Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-07T00:16:29.676176697Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-07T01:22:44.450871+00:00

Share price$159.93
1D-0.0%
AH$159.24$160.03$160.81$161.59$162.385:30 AM6:30 AM9:00 AM1:00 PM2:00 PMROKU
Sold putSold callAH

Roku, Inc. Class A Common Stock options

Live interpolated ROKU call and put midpoint premiums by absolute delta.Roku, Inc. Class A Common Stock$0.21$2.08$3.94$5.80$7.67$-0.16$0.17$0.50$0.83$1.1620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICEROKU PRICE$0.41$0.52$0.78$1.04$1.30$1.55$1.81$2.25$2.73$3.21$3.85$5.27$7.13$0.64$0.88$1.11
Puts——
CallsCheap0.53×
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ163.5217.3%2.5%155.8923.2%2.9%
25Δ162.4816.0%1.9%156.5624.4%2.7%
30Δ162.0016.9%1.8%157.2425.6%2.4%
35Δ161.5317.9%1.6%
40Δ161.0518.8%1.5%
45Δ160.5719.7%1.4%
50Δ160.1020.6%1.2%
55Δ159.4521.5%1.1%
60Δ158.7622.4%1.0%
65Δ158.0723.2%0.8%
70Δ157.2524.7%0.7%
75Δ155.7529.3%0.7%
80Δ153.7834.8%0.6%

20Δ

Calls
Pseudo strike
163.52
IV
17.3%
B/E move
2.5%
Puts
Pseudo strike
155.89
IV
23.2%
B/E move
2.9%

25Δ

Calls
Pseudo strike
162.48
IV
16.0%
B/E move
1.9%
Puts
Pseudo strike
156.56
IV
24.4%
B/E move
2.7%

30Δ

Calls
Pseudo strike
162.00
IV
16.9%
B/E move
1.8%
Puts
Pseudo strike
157.24
IV
25.6%
B/E move
2.4%

35Δ

Calls
Pseudo strike
161.53
IV
17.9%
B/E move
1.6%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
161.05
IV
18.8%
B/E move
1.5%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
160.57
IV
19.7%
B/E move
1.4%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
160.10
IV
20.6%
B/E move
1.2%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
159.45
IV
21.5%
B/E move
1.1%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
158.76
IV
22.4%
B/E move
1.0%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
158.07
IV
23.2%
B/E move
0.8%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
157.25
IV
24.7%
B/E move
0.7%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
155.75
IV
29.3%
B/E move
0.7%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
153.78
IV
34.8%
B/E move
0.6%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend22.85%
Daily close
ROKU13.7%18.8%24.0%2026-08-10: 14.93%2026-08-14: 14.86%2026-08-18: 16.43%2026-08-19: 14.78%2026-08-20: 16.58%2026-08-21: 14.53%2026-08-24: 16.74%2026-08-27: 23.26%2026-08-28: 15.44%2026-08-31: 18.65%2026-09-01: 21.09%2026-09-02: 19.61%2026-09-03: 22.71%2026-09-04: 18.53%2026-09-08: 23.02%2026-09-09: 22.24%2026-09-11: 15.89%2026-09-14: 14.96%2026-09-15: 17.44%2026-09-16: 17.78%2026-09-18: 14.37%2026-09-21: 17.08%2026-09-25: 18.94%2026-09-28: 20.68%2026-09-29: 18.17%2026-09-30: 18.06%2026-10-01: 19.88%2026-10-02: 16.99%2026-10-06: 18.68%2026-10-07: 21.04%2026-10-08: 21.74%2026-10-09: 15.95%2026-10-12: 16.45%2026-10-13: 19.28%2026-10-14: 22.03%2026-10-15: 20.80%2026-10-16: 18.68%2026-10-19: 21.24%2026-10-20: 19.75%2026-10-21: 21.06%2026-10-22: 20.49%2026-10-23: 19.99%2026-10-26: 20.70%2026-10-27: 21.88%2026-10-28: 23.03%2026-10-30: 22.85%Aug 10Sep 25Oct 30
46 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
14.93%
14.86%
16.43%
14.78%
16.58%
14.53%
16.74%
23.26%
15.44%
18.65%
21.09%
19.61%
22.71%
18.53%
23.02%
22.24%
15.89%
14.96%
17.44%
17.78%
14.37%
17.08%
18.94%
20.68%
18.17%
18.06%
19.88%
16.99%
18.68%
21.04%
21.74%
15.95%
16.45%
19.28%
22.03%
20.80%
18.68%
21.24%
19.75%
21.06%
20.49%
19.99%
20.70%
21.88%
23.03%
22.85%