IntraAlpha
Create free account Start free

Snap Inc SNAP

COMMUNICATION SERVICES · INTERNET CONTENT & INFORMATION
i

Market dataready · fetched 2026-10-15T20:33:42.595Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-10-16

Calculation methodology

PriceAlpaca · sip · 2026-10-15T20:24:48.395735486Z

FundamentalsAlpha Vantage · quarter 2026-06-30 · fetched 2026-10-15T20:33:41.607168+00:00

Share price$6.38
1D+6.7%
AH$5.90$6.05$6.19$6.34$6.485:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSNAP
Sold putSold callAH

Snap Inc options

Live interpolated SNAP call and put midpoint premiums by absolute delta.Snap Inc$0.00$0.91$1.82$2.73$3.64$4.59$5.18$5.76$6.35$6.9420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔATM · $6.38OPTION PRICELive SNAP spot · $6.38SNAP PRICE$0.04$0.05$0.06$0.07$0.10$0.14$0.18$0.21$0.25$0.29$0.32$0.36$0.40$0.53$0.79$1.05$1.31$1.56$1.82$2.08$2.34$2.60$2.85$3.11$3.37$1.25
PutsExpensive8.30×
CallsExpensive1.11×
SkewBearish+373.19 pp
Implied moveBearish±$2.26
TiltBearish81.9% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ6.7492.3%6.2%6.52198.3%6.2%
25Δ6.6690.0%5.1%6.78250.6%6.1%
30Δ6.5887.7%4.0%7.04302.9%6.1%
35Δ6.5085.7%2.9%7.30355.2%6.1%
40Δ6.4590.0%2.7%7.56407.6%6.1%
45Δ6.3994.3%2.4%7.82459.9%6.1%
50Δ6.3498.5%2.2%8.07512.2%6.1%
55Δ6.29102.8%1.9%8.33564.5%6.0%
60Δ6.24107.1%1.7%8.59616.8%6.0%
65Δ6.19111.4%1.5%8.85669.2%6.0%
70Δ6.14115.7%1.2%9.11721.5%6.0%
75Δ6.08120.0%1.0%9.37773.8%6.0%
80Δ6.03124.3%0.8%7.51338.8%1.8%

20Δ

Calls
Pseudo strike
6.74
IV
92.3%
B/E move
6.2%
Puts
Pseudo strike
6.52
IV
198.3%
B/E move
6.2%

25Δ

Calls
Pseudo strike
6.66
IV
90.0%
B/E move
5.1%
Puts
Pseudo strike
6.78
IV
250.6%
B/E move
6.1%

30Δ

Calls
Pseudo strike
6.58
IV
87.7%
B/E move
4.0%
Puts
Pseudo strike
7.04
IV
302.9%
B/E move
6.1%

35Δ

Calls
Pseudo strike
6.50
IV
85.7%
B/E move
2.9%
Puts
Pseudo strike
7.30
IV
355.2%
B/E move
6.1%

40Δ

Calls
Pseudo strike
6.45
IV
90.0%
B/E move
2.7%
Puts
Pseudo strike
7.56
IV
407.6%
B/E move
6.1%

45Δ

Calls
Pseudo strike
6.39
IV
94.3%
B/E move
2.4%
Puts
Pseudo strike
7.82
IV
459.9%
B/E move
6.1%

50Δ

Calls
Pseudo strike
6.34
IV
98.5%
B/E move
2.2%
Puts
Pseudo strike
8.07
IV
512.2%
B/E move
6.1%

55Δ

Calls
Pseudo strike
6.29
IV
102.8%
B/E move
1.9%
Puts
Pseudo strike
8.33
IV
564.5%
B/E move
6.0%

60Δ

Calls
Pseudo strike
6.24
IV
107.1%
B/E move
1.7%
Puts
Pseudo strike
8.59
IV
616.8%
B/E move
6.0%

65Δ

Calls
Pseudo strike
6.19
IV
111.4%
B/E move
1.5%
Puts
Pseudo strike
8.85
IV
669.2%
B/E move
6.0%

70Δ

Calls
Pseudo strike
6.14
IV
115.7%
B/E move
1.2%
Puts
Pseudo strike
9.11
IV
721.5%
B/E move
6.0%

75Δ

Calls
Pseudo strike
6.08
IV
120.0%
B/E move
1.0%
Puts
Pseudo strike
9.37
IV
773.8%
B/E move
6.0%

80Δ

Calls
Pseudo strike
6.03
IV
124.3%
B/E move
0.8%
Puts
Pseudo strike
7.51
IV
338.8%
B/E move
1.8%