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TECHNOLOGY · SOFTWARE - APPLICATION
i

Market dataready · fetched 2026-11-12T00:46:26.967Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-12-18

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 · 2026-11-12T00:00:00.003439101Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T00:46:26.264529+00:00

Share price$3.90
1D-0.3%
AH$3.77$3.83$3.89$3.95$4.015:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVTEX
Sold putSold callAH

VTEX options

Live interpolated VTEX call and put midpoint premiums by absolute delta.VTEX$0.15$0.37$0.60$0.82$1.04$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ40Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —55Δ C unavailable: no unambiguous, price-consistent delta bracketC —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICEVTEX PRICE$0.18$0.23$0.29$0.34$0.39$0.44$0.49$0.53$0.58$0.63$0.68$0.73$0.78$0.83$0.88$0.93$0.98
PutsExpensive1.99×
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ6.80148.3%79.0%2.62217.6%42.7%
25Δ6.31147.2%67.6%2.79206.0%39.7%
30Δ5.81146.1%56.3%2.95194.5%36.8%
35Δ5.31145.0%44.9%3.12183.0%33.8%
40Δ3.28171.5%30.9%
45Δ3.44160.0%27.9%
50Δ3.61148.4%25.0%
55Δ3.77136.9%22.1%
60Δ3.94125.4%19.1%
65Δ4.10113.9%16.2%
70Δ4.26102.4%13.2%
75Δ4.4390.8%10.3%
80Δ4.5979.3%7.3%

20Δ

Calls
Pseudo strike
6.80
IV
148.3%
B/E move
79.0%
Puts
Pseudo strike
2.62
IV
217.6%
B/E move
42.7%

25Δ

Calls
Pseudo strike
6.31
IV
147.2%
B/E move
67.6%
Puts
Pseudo strike
2.79
IV
206.0%
B/E move
39.7%

30Δ

Calls
Pseudo strike
5.81
IV
146.1%
B/E move
56.3%
Puts
Pseudo strike
2.95
IV
194.5%
B/E move
36.8%

35Δ

Calls
Pseudo strike
5.31
IV
145.0%
B/E move
44.9%
Puts
Pseudo strike
3.12
IV
183.0%
B/E move
33.8%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.28
IV
171.5%
B/E move
30.9%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.44
IV
160.0%
B/E move
27.9%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.61
IV
148.4%
B/E move
25.0%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.77
IV
136.9%
B/E move
22.1%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.94
IV
125.4%
B/E move
19.1%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.10
IV
113.9%
B/E move
16.2%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.26
IV
102.4%
B/E move
13.2%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.43
IV
90.8%
B/E move
10.3%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.59
IV
79.3%
B/E move
7.3%

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations