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Zscaler, Inc. Common Stock ZS

i

Market dataready · fetched 2026-11-07T06:08:19.318Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-07T00:52:15.903651315Z

FundamentalsSEC EDGAR · ready · as of 2026-07-31 · fetched 2026-11-07T06:08:18.560589+00:00

Share price$197.66
1D-6.5%
AH$196$200$204$208$2125:30 AM6:30 AM9:00 AM1:00 PM2:00 PMZS
Sold putSold callAH

Zscaler, Inc. Common Stock options

Live interpolated ZS call and put midpoint premiums by absolute delta.Zscaler, Inc. Common Stock$1.53$6.33$11.13$15.93$20.73$164.28$185.79$207.30$228.81$250.3220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive ZS spot · $197.66ZS PRICE$2.05$2.69$3.51$4.41$5.37$6.45$7.64$8.95$10.44$12.23$13.91$16.53$19.34$2.57$3.51$4.16$5.08$5.97$7.00$8.03$9.36$11.12$12.51$14.32$17.21$19.02
PutsCheap0.83×
CallsExpensive1.22×
SkewBullish-2.70 pp
Implied moveBearish±$15.68
TiltBearish2.7% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ215.6875.8%10.2%181.2986.2%9.6%
25Δ211.9274.5%8.6%184.5387.5%8.4%
30Δ209.2076.3%7.6%188.2681.4%6.9%
35Δ206.5877.8%6.7%191.0880.3%5.9%
40Δ203.9178.4%5.9%193.7877.9%5.0%
45Δ201.3979.5%5.2%196.3076.5%4.2%
50Δ198.8380.4%4.5%198.6774.7%3.6%
55Δ196.2881.0%3.8%201.1174.3%3.0%
60Δ193.6481.9%3.2%203.7176.0%2.6%
65Δ190.8683.7%2.7%206.0774.1%2.1%
70Δ188.1182.9%2.2%208.7473.3%1.6%
75Δ184.6986.2%1.8%212.2676.1%1.3%
80Δ181.0587.6%1.4%214.8472.6%0.9%

20Δ

Calls
Pseudo strike
215.68
IV
75.8%
B/E move
10.2%
Puts
Pseudo strike
181.29
IV
86.2%
B/E move
9.6%

25Δ

Calls
Pseudo strike
211.92
IV
74.5%
B/E move
8.6%
Puts
Pseudo strike
184.53
IV
87.5%
B/E move
8.4%

30Δ

Calls
Pseudo strike
209.20
IV
76.3%
B/E move
7.6%
Puts
Pseudo strike
188.26
IV
81.4%
B/E move
6.9%

35Δ

Calls
Pseudo strike
206.58
IV
77.8%
B/E move
6.7%
Puts
Pseudo strike
191.08
IV
80.3%
B/E move
5.9%

40Δ

Calls
Pseudo strike
203.91
IV
78.4%
B/E move
5.9%
Puts
Pseudo strike
193.78
IV
77.9%
B/E move
5.0%

45Δ

Calls
Pseudo strike
201.39
IV
79.5%
B/E move
5.2%
Puts
Pseudo strike
196.30
IV
76.5%
B/E move
4.2%

50Δ

Calls
Pseudo strike
198.83
IV
80.4%
B/E move
4.5%
Puts
Pseudo strike
198.67
IV
74.7%
B/E move
3.6%

55Δ

Calls
Pseudo strike
196.28
IV
81.0%
B/E move
3.8%
Puts
Pseudo strike
201.11
IV
74.3%
B/E move
3.0%

60Δ

Calls
Pseudo strike
193.64
IV
81.9%
B/E move
3.2%
Puts
Pseudo strike
203.71
IV
76.0%
B/E move
2.6%

65Δ

Calls
Pseudo strike
190.86
IV
83.7%
B/E move
2.7%
Puts
Pseudo strike
206.07
IV
74.1%
B/E move
2.1%

70Δ

Calls
Pseudo strike
188.11
IV
82.9%
B/E move
2.2%
Puts
Pseudo strike
208.74
IV
73.3%
B/E move
1.6%

75Δ

Calls
Pseudo strike
184.69
IV
86.2%
B/E move
1.8%
Puts
Pseudo strike
212.26
IV
76.1%
B/E move
1.3%

80Δ

Calls
Pseudo strike
181.05
IV
87.6%
B/E move
1.4%
Puts
Pseudo strike
214.84
IV
72.6%
B/E move
0.9%

Options history

IV · four-Friday blend67.46%
Daily close
ZS37.9%109.3%180.6%2026-08-10: 60.13%2026-08-11: 58.68%2026-08-12: 57.78%2026-08-13: 64.73%2026-08-14: 63.13%2026-08-17: 67.54%2026-08-18: 69.73%2026-08-19: 70.53%2026-08-20: 70.90%2026-08-21: 74.68%2026-08-24: 81.38%2026-08-25: 82.76%2026-08-26: 89.05%2026-08-27: 87.72%2026-08-28: 91.35%2026-08-31: 105.62%2026-09-01: 115.95%2026-09-02: 123.30%2026-09-03: 170.81%2026-09-04: 49.87%2026-09-08: 54.14%2026-09-09: 54.73%2026-09-10: 54.67%2026-09-11: 47.77%2026-09-14: 63.58%2026-09-15: 60.01%2026-09-16: 58.51%2026-09-17: 57.26%2026-09-18: 55.30%2026-09-21: 58.06%2026-09-22: 57.44%2026-09-23: 56.90%2026-09-24: 56.21%2026-09-25: 55.68%2026-09-28: 63.09%2026-09-29: 58.66%2026-09-30: 57.97%2026-10-01: 58.00%2026-10-02: 55.02%2026-10-05: 64.35%2026-10-06: 54.85%2026-10-07: 49.18%2026-10-08: 51.41%2026-10-09: 50.23%2026-10-12: 50.12%2026-10-13: 55.54%2026-10-14: 58.06%2026-10-15: 58.10%2026-10-16: 59.39%2026-10-19: 56.95%2026-10-20: 55.73%2026-10-21: 58.59%2026-10-22: 61.61%2026-10-23: 63.27%2026-10-26: 64.53%2026-10-27: 62.76%2026-10-28: 65.05%2026-10-29: 63.56%2026-10-30: 67.46%Aug 10Sep 21Oct 30
59 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
60.13%
58.68%
57.78%
64.73%
63.13%
67.54%
69.73%
70.53%
70.90%
74.68%
81.38%
82.76%
89.05%
87.72%
91.35%
105.62%
115.95%
123.30%
170.81%
49.87%
54.14%
54.73%
54.67%
47.77%
63.58%
60.01%
58.51%
57.26%
55.30%
58.06%
57.44%
56.90%
56.21%
55.68%
63.09%
58.66%
57.97%
58.00%
55.02%
64.35%
54.85%
49.18%
51.41%
50.23%
50.12%
55.54%
58.06%
58.10%
59.39%
56.95%
55.73%
58.59%
61.61%
63.27%
64.53%
62.76%
65.05%
63.56%
67.46%