Options delta methodology

Price

Last available Alpaca trade in USD. A closed market retains its last trade; retrieval time does not change the observation time.

Fundamentals

Alpha Vantage company overview. Reported periods and source retrieval timestamps are separate. Fund classifications come from provider or issuer evidence.

Delta bucket

Calls and puts grouped by absolute delta. Values are linearly interpolated between observed points; unavailable ranges are left empty. Comparable delta does not imply equal total risk.

Pseudo strike

Interpolated strike in USD for the selected delta and expiration. It need not correspond to a listed, tradable contract.

IV

Annualized implied volatility. Provider IV is used when available; otherwise midpoint premium is inverted using a zero-rate, zero-dividend Black–Scholes approximation.

B/E move

Absolute distance from current underlying price to pseudo strike plus call premium, or pseudo strike minus put premium, divided by underlying price. Expressed as a percentage.

Implied move

Sum of the interpolated 50-delta call and put premiums, expressed in USD and as a percentage of the underlying. This is a premium-based estimate, not a confidence interval or forecast.

Skew

Mean put IV minus mean call IV over selected delta buckets, in percentage points.

Tilt

Difference between selected call and put premium totals divided by their combined total. A relative premium comparison, not a direction forecast.

Sources and freshness

Company information tooltip and JSON contain provider observations, captured time and ready, partial or stale state. Five-minute server refresh; one-minute browser checks.