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VersaBank VBNK

FINANCIAL SERVICES · BANKS - REGIONAL
i

Market dataready · fetched 2026-10-22T23:30:57.934Z

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 · 2026-10-22T20:00:10.348768249Z

FundamentalsAlpha Vantage · ready · quarter 2026-07-31 · fetched 2026-10-22T23:23:57.586728+00:00

Share price$22.84
1D-0.9%
AH$22.56$22.69$22.82$22.95$23.085:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVBNK
Sold putSold callAH

VersaBank options

Live interpolated VBNK call and put midpoint premiums by absolute delta.VersaBank$0.65$1.64$2.63$3.63$4.62$18.03$20.63$23.24$25.84$28.4520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VBNK spot · $22.84VBNK PRICE$1.30$1.30$1.31$1.43$1.56$1.68$1.85$2.07$2.29$2.51$2.72$1.30$1.26$1.13$0.94$0.75$0.92$1.15$1.38$1.61$1.84$2.08$2.31$4.33
PutsExpensive1.59×
CallsExpensive1.83×
SkewBullish-12.36 pp
Implied moveBullish±$2.71
TiltBearish2.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ17.61147.0%28.6%
25Δ19.37113.8%20.7%
30Δ29.67128.0%35.6%20.5786.9%14.9%
35Δ27.24103.9%25.0%21.4763.4%10.1%
40Δ24.9581.2%15.0%22.3639.9%5.4%
45Δ24.2675.3%12.5%22.7936.5%4.2%
50Δ23.5669.4%10.0%23.1436.9%3.7%
55Δ22.8763.5%7.5%23.4837.3%3.2%
60Δ22.3159.0%5.8%23.8337.7%2.7%
65Δ21.9056.2%4.9%24.1738.1%2.2%
70Δ21.4953.4%4.1%24.5238.4%1.8%
75Δ21.0750.6%3.2%24.8638.8%1.3%
80Δ20.6647.8%2.4%26.9156.0%1.1%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
17.61
IV
147.0%
B/E move
28.6%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
19.37
IV
113.8%
B/E move
20.7%

30Δ

Calls
Pseudo strike
29.67
IV
128.0%
B/E move
35.6%
Puts
Pseudo strike
20.57
IV
86.9%
B/E move
14.9%

35Δ

Calls
Pseudo strike
27.24
IV
103.9%
B/E move
25.0%
Puts
Pseudo strike
21.47
IV
63.4%
B/E move
10.1%

40Δ

Calls
Pseudo strike
24.95
IV
81.2%
B/E move
15.0%
Puts
Pseudo strike
22.36
IV
39.9%
B/E move
5.4%

45Δ

Calls
Pseudo strike
24.26
IV
75.3%
B/E move
12.5%
Puts
Pseudo strike
22.79
IV
36.5%
B/E move
4.2%

50Δ

Calls
Pseudo strike
23.56
IV
69.4%
B/E move
10.0%
Puts
Pseudo strike
23.14
IV
36.9%
B/E move
3.7%

55Δ

Calls
Pseudo strike
22.87
IV
63.5%
B/E move
7.5%
Puts
Pseudo strike
23.48
IV
37.3%
B/E move
3.2%

60Δ

Calls
Pseudo strike
22.31
IV
59.0%
B/E move
5.8%
Puts
Pseudo strike
23.83
IV
37.7%
B/E move
2.7%

65Δ

Calls
Pseudo strike
21.90
IV
56.2%
B/E move
4.9%
Puts
Pseudo strike
24.17
IV
38.1%
B/E move
2.2%

70Δ

Calls
Pseudo strike
21.49
IV
53.4%
B/E move
4.1%
Puts
Pseudo strike
24.52
IV
38.4%
B/E move
1.8%

75Δ

Calls
Pseudo strike
21.07
IV
50.6%
B/E move
3.2%
Puts
Pseudo strike
24.86
IV
38.8%
B/E move
1.3%

80Δ

Calls
Pseudo strike
20.66
IV
47.8%
B/E move
2.4%
Puts
Pseudo strike
26.91
IV
56.0%
B/E move
1.1%

Options history

No recorded observations