IntraAlpha
Create free account Start free

Zscaler, Inc. Common Stock ZS

i

Market dataready · fetched 2026-11-07T02:13:36.640Z

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 2026-11-07T02:13:36.081393+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$6.32$11.10$15.89$20.68$164.28$185.79$207.30$228.81$250.3220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive ZS spot · $197.66ZS PRICE$2.05$2.69$3.51$4.41$5.36$6.45$7.64$8.94$10.43$12.22$13.89$16.50$19.30$2.58$3.51$4.16$5.09$5.98$7.01$8.04$9.39$11.15$12.53$14.38$17.27$19.06
PutsCheap0.78×
CallsExpensive1.14×
SkewBullish-2.27 pp
Implied moveBearish±$15.68
TiltBearish2.9% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ215.7070.1%10.2%181.3079.9%9.6%
25Δ211.9368.9%8.6%184.5481.1%8.4%
30Δ209.2170.6%7.6%188.2775.4%6.9%
35Δ206.6072.0%6.7%191.0974.4%5.9%
40Δ203.9372.5%5.9%193.8072.2%5.0%
45Δ201.4073.6%5.2%196.3270.9%4.2%
50Δ198.8574.3%4.5%198.6969.2%3.5%
55Δ196.3074.9%3.8%201.1468.9%3.0%
60Δ193.6775.7%3.3%203.7470.5%2.6%
65Δ190.8877.3%2.8%206.1168.7%2.1%
70Δ188.1576.7%2.2%208.8168.2%1.6%
75Δ184.7479.6%1.8%212.3470.7%1.3%
80Δ181.1180.9%1.4%214.9167.4%0.9%

20Δ

Calls
Pseudo strike
215.70
IV
70.1%
B/E move
10.2%
Puts
Pseudo strike
181.30
IV
79.9%
B/E move
9.6%

25Δ

Calls
Pseudo strike
211.93
IV
68.9%
B/E move
8.6%
Puts
Pseudo strike
184.54
IV
81.1%
B/E move
8.4%

30Δ

Calls
Pseudo strike
209.21
IV
70.6%
B/E move
7.6%
Puts
Pseudo strike
188.27
IV
75.4%
B/E move
6.9%

35Δ

Calls
Pseudo strike
206.60
IV
72.0%
B/E move
6.7%
Puts
Pseudo strike
191.09
IV
74.4%
B/E move
5.9%

40Δ

Calls
Pseudo strike
203.93
IV
72.5%
B/E move
5.9%
Puts
Pseudo strike
193.80
IV
72.2%
B/E move
5.0%

45Δ

Calls
Pseudo strike
201.40
IV
73.6%
B/E move
5.2%
Puts
Pseudo strike
196.32
IV
70.9%
B/E move
4.2%

50Δ

Calls
Pseudo strike
198.85
IV
74.3%
B/E move
4.5%
Puts
Pseudo strike
198.69
IV
69.2%
B/E move
3.5%

55Δ

Calls
Pseudo strike
196.30
IV
74.9%
B/E move
3.8%
Puts
Pseudo strike
201.14
IV
68.9%
B/E move
3.0%

60Δ

Calls
Pseudo strike
193.67
IV
75.7%
B/E move
3.3%
Puts
Pseudo strike
203.74
IV
70.5%
B/E move
2.6%

65Δ

Calls
Pseudo strike
190.88
IV
77.3%
B/E move
2.8%
Puts
Pseudo strike
206.11
IV
68.7%
B/E move
2.1%

70Δ

Calls
Pseudo strike
188.15
IV
76.7%
B/E move
2.2%
Puts
Pseudo strike
208.81
IV
68.2%
B/E move
1.6%

75Δ

Calls
Pseudo strike
184.74
IV
79.6%
B/E move
1.8%
Puts
Pseudo strike
212.34
IV
70.7%
B/E move
1.3%

80Δ

Calls
Pseudo strike
181.11
IV
80.9%
B/E move
1.4%
Puts
Pseudo strike
214.91
IV
67.4%
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%