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Annexon, Inc. Common Stock ANNX

HEALTHCARE · BIOTECHNOLOGY
i

Market dataready · fetched 2026-11-12T00:58:42.440Z

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: 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 · 2026-11-11T23:55:07.04792597Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T00:56:33.832448+00:00

Share price$4.22
1D+0.2%
AH$4.14$4.17$4.20$4.23$4.265:30 AM6:30 AM9:00 AM1:00 PM2:00 PMANNX
Sold putSold callAH

Annexon, Inc. Common Stock options

Live interpolated ANNX call and put midpoint premiums by absolute delta.Annexon, Inc. Common Stock$0.08$0.75$1.43$2.11$2.78$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —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 —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 PRICEANNX PRICE$0.50$0.15$0.18$0.21$0.24$1.93$1.98$2.03$2.09$2.14$2.27$2.43$2.59
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ3.33192.4%24.6%
25Δ3.54175.2%20.3%
30Δ3.75158.1%16.1%
35Δ3.96140.9%11.9%
40Δ
45Δ5.13505.7%24.2%
50Δ5.34465.0%20.6%
55Δ5.54424.2%17.0%
60Δ4.19168.6%11.2%5.74383.4%13.3%
65Δ5.95342.6%9.7%
70Δ6.17315.9%7.6%
75Δ6.40294.2%6.0%
80Δ6.62272.5%4.3%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.33
IV
192.4%
B/E move
24.6%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.54
IV
175.2%
B/E move
20.3%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.75
IV
158.1%
B/E move
16.1%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.96
IV
140.9%
B/E move
11.9%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.13
IV
505.7%
B/E move
24.2%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.34
IV
465.0%
B/E move
20.6%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.54
IV
424.2%
B/E move
17.0%

60Δ

Calls
Pseudo strike
4.19
IV
168.6%
B/E move
11.2%
Puts
Pseudo strike
5.74
IV
383.4%
B/E move
13.3%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.95
IV
342.6%
B/E move
9.7%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.17
IV
315.9%
B/E move
7.6%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.40
IV
294.2%
B/E move
6.0%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.62
IV
272.5%
B/E move
4.3%

Options history

IV · four-Friday blend248.83%
Daily close
ANNX155.4%240.0%324.6%2026-08-13: 269.89%2026-08-14: 282.42%2026-08-20: 312.97%2026-08-21: 167.06%2026-08-24: 214.75%2026-08-25: 208.24%2026-08-26: 185.89%2026-08-27: 215.04%2026-08-28: 199.48%2026-09-03: 206.99%2026-09-09: 286.76%2026-09-14: 191.16%2026-09-18: 216.11%2026-09-21: 215.90%2026-09-23: 168.73%2026-09-24: 183.11%2026-09-25: 190.00%2026-09-28: 225.32%2026-09-29: 246.63%2026-09-30: 244.96%2026-10-01: 242.77%2026-10-02: 236.43%2026-10-06: 200.29%2026-10-08: 202.47%2026-10-09: 204.51%2026-10-12: 258.82%2026-10-13: 248.54%2026-10-16: 248.83%Aug 13Sep 21Oct 16
28 observations2026-08-13 — 2026-10-16
Table
DateIV (%)
269.89%
282.42%
312.97%
167.06%
214.75%
208.24%
185.89%
215.04%
199.48%
206.99%
286.76%
191.16%
216.11%
215.90%
168.73%
183.11%
190.00%
225.32%
246.63%
244.96%
242.77%
236.43%
200.29%
202.47%
204.51%
258.82%
248.54%
248.83%