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Banco Santander S.A. SAN

FINANCIAL SERVICES · BANKS - DIVERSIFIED
i

Market dataready · fetched 2026-11-12T00:58:48.014Z

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 · 2026-11-12T00:00:00.00129014Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T00:58:47.527600+00:00

Share price$12.48
1D+0.4%
AH$12.37$12.41$12.44$12.47$12.515:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSAN
Sold putSold callAH

Banco Santander S.A. options

Live interpolated SAN call and put midpoint premiums by absolute delta.Banco Santander S.A.$0.02$0.54$1.06$1.58$2.10$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ35Δ 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 —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICESAN PRICE$0.07$0.09$0.12$0.15$0.18$0.21$0.24$0.27$0.30$0.33$0.36$0.39$0.42$0.14$0.18$0.22$1.35$1.55$1.75$1.95
Puts——
CallsCheap0.38×
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ13.3439.2%7.5%11.4663.5%9.3%
25Δ12.9630.8%4.6%11.7160.1%7.6%
30Δ12.8929.8%4.2%11.9656.7%5.9%
35Δ12.8228.8%3.9%
40Δ12.7527.8%3.6%
45Δ12.6826.7%3.3%
50Δ12.6125.7%3.0%
55Δ12.5424.7%2.6%13.08128.2%6.0%
60Δ12.4723.6%2.3%13.40125.5%5.1%
65Δ12.4022.6%2.0%13.72122.8%4.1%
70Δ12.3321.6%1.7%14.03119.7%3.2%
75Δ12.2620.5%1.4%
80Δ12.1919.5%1.1%

20Δ

Calls
Pseudo strike
13.34
IV
39.2%
B/E move
7.5%
Puts
Pseudo strike
11.46
IV
63.5%
B/E move
9.3%

25Δ

Calls
Pseudo strike
12.96
IV
30.8%
B/E move
4.6%
Puts
Pseudo strike
11.71
IV
60.1%
B/E move
7.6%

30Δ

Calls
Pseudo strike
12.89
IV
29.8%
B/E move
4.2%
Puts
Pseudo strike
11.96
IV
56.7%
B/E move
5.9%

35Δ

Calls
Pseudo strike
12.82
IV
28.8%
B/E move
3.9%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
12.75
IV
27.8%
B/E move
3.6%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
12.68
IV
26.7%
B/E move
3.3%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
12.61
IV
25.7%
B/E move
3.0%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
12.54
IV
24.7%
B/E move
2.6%
Puts
Pseudo strike
13.08
IV
128.2%
B/E move
6.0%

60Δ

Calls
Pseudo strike
12.47
IV
23.6%
B/E move
2.3%
Puts
Pseudo strike
13.40
IV
125.5%
B/E move
5.1%

65Δ

Calls
Pseudo strike
12.40
IV
22.6%
B/E move
2.0%
Puts
Pseudo strike
13.72
IV
122.8%
B/E move
4.1%

70Δ

Calls
Pseudo strike
12.33
IV
21.6%
B/E move
1.7%
Puts
Pseudo strike
14.03
IV
119.7%
B/E move
3.2%

75Δ

Calls
Pseudo strike
12.26
IV
20.5%
B/E move
1.4%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
12.19
IV
19.5%
B/E move
1.1%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend35.12%
Daily EOD
SAN33.9%42.8%51.7%2026-10-19: 41.20%2026-10-20: 43.91%2026-10-21: 44.77%2026-10-22: 39.68%2026-10-23: 35.78%2026-10-26: 39.73%2026-10-27: 50.51%2026-10-29: 35.12%Oct 19Oct 22Oct 29
8 observations2026-10-19 — 2026-10-29
Table
DateIV (%)
41.20%
43.91%
44.77%
39.68%
35.78%
39.73%
50.51%
35.12%