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Annexon, Inc. Common Stock ANNX

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Market datapartial · fetched 2026-10-22T16:53:54.681Z

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 · 2026-10-22T16:53:46.570765033Z

FundamentalsAlpha Vantage · unavailable

Share price$3.87
1D-1.2%
$3.77$3.81$3.86$3.91$3.955:30 AM6:30 AM9:00 AM1:00 PMANNX
Sold putSold call

Annexon, Inc. Common Stock options

Live interpolated ANNX call and put midpoint premiums by absolute delta.Annexon, Inc. Common Stock$0.22$0.88$1.54$2.20$2.86$-1.24$1.02$3.28$5.54$7.8020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive ANNX spot · $3.87ANNX PRICE$0.29$0.34$0.38$0.42$0.47$0.61$1.05$1.49$1.89$1.71$1.90$2.08$2.19$2.48$2.67$2.63$2.60$2.57$2.54$2.51$2.47
PutsExpensive3.16×
CallsExpensive2.23×
SkewBearish+106.92 pp
Implied moveBearish±$3.04
TiltBearish40.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ3.63587.5%59.8%
25Δ4.08505.4%51.2%
30Δ5.85179.9%59.0%4.62469.5%44.5%
35Δ5.46168.8%50.0%5.04434.0%38.5%
40Δ5.07157.7%41.0%5.18399.4%34.0%
45Δ4.68146.6%32.0%5.33364.7%29.5%
50Δ4.29135.5%23.0%5.47330.0%25.0%
55Δ4.25166.9%25.8%5.61295.3%20.5%
60Δ5.18317.0%61.2%5.75260.6%16.0%
65Δ6.11467.1%96.5%5.89225.9%11.5%
70Δ6.87600.3%126.6%
75Δ4.02388.1%48.2%
80Δ2.70355.6%19.2%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.63
IV
587.5%
B/E move
59.8%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.08
IV
505.4%
B/E move
51.2%

30Δ

Calls
Pseudo strike
5.85
IV
179.9%
B/E move
59.0%
Puts
Pseudo strike
4.62
IV
469.5%
B/E move
44.5%

35Δ

Calls
Pseudo strike
5.46
IV
168.8%
B/E move
50.0%
Puts
Pseudo strike
5.04
IV
434.0%
B/E move
38.5%

40Δ

Calls
Pseudo strike
5.07
IV
157.7%
B/E move
41.0%
Puts
Pseudo strike
5.18
IV
399.4%
B/E move
34.0%

45Δ

Calls
Pseudo strike
4.68
IV
146.6%
B/E move
32.0%
Puts
Pseudo strike
5.33
IV
364.7%
B/E move
29.5%

50Δ

Calls
Pseudo strike
4.29
IV
135.5%
B/E move
23.0%
Puts
Pseudo strike
5.47
IV
330.0%
B/E move
25.0%

55Δ

Calls
Pseudo strike
4.25
IV
166.9%
B/E move
25.8%
Puts
Pseudo strike
5.61
IV
295.3%
B/E move
20.5%

60Δ

Calls
Pseudo strike
5.18
IV
317.0%
B/E move
61.2%
Puts
Pseudo strike
5.75
IV
260.6%
B/E move
16.0%

65Δ

Calls
Pseudo strike
6.11
IV
467.1%
B/E move
96.5%
Puts
Pseudo strike
5.89
IV
225.9%
B/E move
11.5%

70Δ

Calls
Pseudo strike
6.87
IV
600.3%
B/E move
126.6%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
4.02
IV
388.1%
B/E move
48.2%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
2.70
IV
355.6%
B/E move
19.2%
Puts
Pseudo strike
IV
B/E move

Options history

No recorded observations