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Banco Santander S.A. SAN

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Market datapartial · fetched 2026-10-23T02:31:24.589Z

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 · 2026-10-22T23:00:00.001382095Z

FundamentalsAlpha Vantage · unavailable

Share price$12.90
1D-0.4%
AH$12.82$12.87$12.92$12.97$13.025:30 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.$0.16$0.87$1.58$2.29$2.99$9.63$11.23$12.82$14.42$16.0220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SAN spot · $12.90SAN PRICE$0.42$0.24$0.28$0.36$0.44$0.53$0.61$0.95$1.37$1.79$2.13$2.45$2.60$0.43$0.45$0.48$0.50$0.53$0.55$0.59$0.74$0.90$1.06$1.22$1.70$2.79
PutsExpensive1.68×
CallsExpensive1.69×
SkewBearish+4.19 pp
Implied moveBalanced±$1.19
TiltBullish8.5% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ18.22120.6%44.5%8.67156.8%36.2%
25Δ14.4448.2%13.8%9.40136.7%30.7%
30Δ13.8139.8%9.2%10.13116.6%25.2%
35Δ13.6241.0%8.4%10.8696.4%19.7%
40Δ13.4342.3%7.5%11.5976.3%14.2%
45Δ13.2343.5%6.7%12.3256.1%8.8%
50Δ13.0444.8%5.8%13.0237.6%3.6%
55Δ12.7458.8%6.1%13.2338.6%3.2%
60Δ12.4076.3%6.8%13.4539.6%2.7%
65Δ12.0793.8%7.4%13.6740.7%2.3%
70Δ11.6198.6%6.5%13.8941.7%1.8%
75Δ11.12100.2%5.2%14.4049.4%1.6%
80Δ10.8291.5%4.0%15.4967.3%1.6%

20Δ

Calls
Pseudo strike
18.22
IV
120.6%
B/E move
44.5%
Puts
Pseudo strike
8.67
IV
156.8%
B/E move
36.2%

25Δ

Calls
Pseudo strike
14.44
IV
48.2%
B/E move
13.8%
Puts
Pseudo strike
9.40
IV
136.7%
B/E move
30.7%

30Δ

Calls
Pseudo strike
13.81
IV
39.8%
B/E move
9.2%
Puts
Pseudo strike
10.13
IV
116.6%
B/E move
25.2%

35Δ

Calls
Pseudo strike
13.62
IV
41.0%
B/E move
8.4%
Puts
Pseudo strike
10.86
IV
96.4%
B/E move
19.7%

40Δ

Calls
Pseudo strike
13.43
IV
42.3%
B/E move
7.5%
Puts
Pseudo strike
11.59
IV
76.3%
B/E move
14.2%

45Δ

Calls
Pseudo strike
13.23
IV
43.5%
B/E move
6.7%
Puts
Pseudo strike
12.32
IV
56.1%
B/E move
8.8%

50Δ

Calls
Pseudo strike
13.04
IV
44.8%
B/E move
5.8%
Puts
Pseudo strike
13.02
IV
37.6%
B/E move
3.6%

55Δ

Calls
Pseudo strike
12.74
IV
58.8%
B/E move
6.1%
Puts
Pseudo strike
13.23
IV
38.6%
B/E move
3.2%

60Δ

Calls
Pseudo strike
12.40
IV
76.3%
B/E move
6.8%
Puts
Pseudo strike
13.45
IV
39.6%
B/E move
2.7%

65Δ

Calls
Pseudo strike
12.07
IV
93.8%
B/E move
7.4%
Puts
Pseudo strike
13.67
IV
40.7%
B/E move
2.3%

70Δ

Calls
Pseudo strike
11.61
IV
98.6%
B/E move
6.5%
Puts
Pseudo strike
13.89
IV
41.7%
B/E move
1.8%

75Δ

Calls
Pseudo strike
11.12
IV
100.2%
B/E move
5.2%
Puts
Pseudo strike
14.40
IV
49.4%
B/E move
1.6%

80Δ

Calls
Pseudo strike
10.82
IV
91.5%
B/E move
4.0%
Puts
Pseudo strike
15.49
IV
67.3%
B/E move
1.6%

Options history

No recorded observations