IntraAlpha
Create free account Start free

Annexon, Inc. Common Stock ANNX

i

Market datapartial · fetched 2026-10-22T21:31:08.558Z

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 · 2026-10-22T20:00:02.434666755Z

FundamentalsAlpha Vantage · unavailable

Share price$3.81
1D-2.3%
AH$3.77$3.81$3.86$3.91$3.955:30 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$0.14$0.82$1.50$2.19$2.87$-1.04$1.11$3.26$5.41$7.5620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive ANNX spot · $3.81ANNX PRICE$0.22$0.26$0.31$0.35$0.40$0.75$1.13$1.51$1.89$1.61$1.88$2.07$2.16$2.44$2.67$2.64$2.61$2.58$2.55$2.52$2.49$2.46
PutsExpensive3.06×
CallsExpensive2.17×
SkewBearish+102.13 pp
Implied moveBearish±$2.98
TiltBearish45.1% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ3.60592.9%59.9%
25Δ4.03506.7%51.1%
30Δ4.92125.0%34.8%4.55471.3%44.6%
35Δ4.69121.5%30.1%5.02436.1%38.3%
40Δ4.47118.0%25.3%5.15402.6%34.0%
45Δ4.24114.5%20.6%5.29369.0%29.7%
50Δ4.02111.1%15.9%5.42335.4%25.4%
55Δ4.70229.5%42.9%5.56301.9%21.1%
60Δ5.46358.9%72.8%5.69268.3%16.8%
65Δ6.21488.3%102.6%5.82234.8%12.5%
70Δ6.97617.7%132.5%5.96201.2%8.2%
75Δ3.71353.1%39.7%
80Δ2.66358.9%19.0%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.60
IV
592.9%
B/E move
59.9%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.03
IV
506.7%
B/E move
51.1%

30Δ

Calls
Pseudo strike
4.92
IV
125.0%
B/E move
34.8%
Puts
Pseudo strike
4.55
IV
471.3%
B/E move
44.6%

35Δ

Calls
Pseudo strike
4.69
IV
121.5%
B/E move
30.1%
Puts
Pseudo strike
5.02
IV
436.1%
B/E move
38.3%

40Δ

Calls
Pseudo strike
4.47
IV
118.0%
B/E move
25.3%
Puts
Pseudo strike
5.15
IV
402.6%
B/E move
34.0%

45Δ

Calls
Pseudo strike
4.24
IV
114.5%
B/E move
20.6%
Puts
Pseudo strike
5.29
IV
369.0%
B/E move
29.7%

50Δ

Calls
Pseudo strike
4.02
IV
111.1%
B/E move
15.9%
Puts
Pseudo strike
5.42
IV
335.4%
B/E move
25.4%

55Δ

Calls
Pseudo strike
4.70
IV
229.5%
B/E move
42.9%
Puts
Pseudo strike
5.56
IV
301.9%
B/E move
21.1%

60Δ

Calls
Pseudo strike
5.46
IV
358.9%
B/E move
72.8%
Puts
Pseudo strike
5.69
IV
268.3%
B/E move
16.8%

65Δ

Calls
Pseudo strike
6.21
IV
488.3%
B/E move
102.6%
Puts
Pseudo strike
5.82
IV
234.8%
B/E move
12.5%

70Δ

Calls
Pseudo strike
6.97
IV
617.7%
B/E move
132.5%
Puts
Pseudo strike
5.96
IV
201.2%
B/E move
8.2%

75Δ

Calls
Pseudo strike
3.71
IV
353.1%
B/E move
39.7%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
2.66
IV
358.9%
B/E move
19.0%
Puts
Pseudo strike
IV
B/E move

Options history

No recorded observations