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AstraZeneca PLC AZN

HEALTHCARE · DRUG MANUFACTURERS - GENERAL
i

Market dataready · fetched 2026-11-08T00:51:31.518Z

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 · 2026-11-07T00:00:00.001658909Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-08T00:51:31.011067+00:00

Share price$186.43
1D+3.6%
AH$181$183$185$187$1895:30 AM6:30 AM9:00 AM1:00 PM2:00 PMAZN
Sold putSold callAH

AstraZeneca PLC options

Live interpolated AZN call and put midpoint premiums by absolute delta.AstraZeneca PLC$0.78$3.51$6.23$8.95$11.68$164.66$174.89$185.11$195.33$205.5620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive AZN spot · $186.43AZN PRICE$1.08$1.48$1.91$2.34$2.83$3.45$4.06$4.68$5.46$6.41$7.36$8.31$9.92$1.26$1.62$2.07$2.52$2.98$3.55$4.23$4.91$5.58$6.60$7.85$9.10$10.89
PutsCheap0.88×
CallsCheap0.67×
SkewNeutral+0.02 pp
Implied moveBalanced±$8.29
TiltBearish3.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ195.5427.9%5.5%177.7930.9%5.3%
25Δ193.8828.1%4.8%179.9730.0%4.3%
30Δ192.4228.3%4.2%181.4429.5%3.8%
35Δ190.9728.6%3.7%182.9029.0%3.2%
40Δ189.5628.8%3.2%184.3628.6%2.7%
45Δ188.2728.9%2.8%185.7128.3%2.3%
50Δ186.9729.1%2.5%186.9728.3%2.0%
55Δ185.6729.3%2.1%188.2328.2%1.7%
60Δ184.3129.4%1.8%189.5028.1%1.3%
65Δ182.8729.6%1.5%190.9928.4%1.1%
70Δ181.4329.8%1.3%192.6329.0%0.9%
75Δ179.9830.0%1.0%194.2729.6%0.7%
80Δ178.0030.2%0.8%196.4330.3%0.5%

20Δ

Calls
Pseudo strike
195.54
IV
27.9%
B/E move
5.5%
Puts
Pseudo strike
177.79
IV
30.9%
B/E move
5.3%

25Δ

Calls
Pseudo strike
193.88
IV
28.1%
B/E move
4.8%
Puts
Pseudo strike
179.97
IV
30.0%
B/E move
4.3%

30Δ

Calls
Pseudo strike
192.42
IV
28.3%
B/E move
4.2%
Puts
Pseudo strike
181.44
IV
29.5%
B/E move
3.8%

35Δ

Calls
Pseudo strike
190.97
IV
28.6%
B/E move
3.7%
Puts
Pseudo strike
182.90
IV
29.0%
B/E move
3.2%

40Δ

Calls
Pseudo strike
189.56
IV
28.8%
B/E move
3.2%
Puts
Pseudo strike
184.36
IV
28.6%
B/E move
2.7%

45Δ

Calls
Pseudo strike
188.27
IV
28.9%
B/E move
2.8%
Puts
Pseudo strike
185.71
IV
28.3%
B/E move
2.3%

50Δ

Calls
Pseudo strike
186.97
IV
29.1%
B/E move
2.5%
Puts
Pseudo strike
186.97
IV
28.3%
B/E move
2.0%

55Δ

Calls
Pseudo strike
185.67
IV
29.3%
B/E move
2.1%
Puts
Pseudo strike
188.23
IV
28.2%
B/E move
1.7%

60Δ

Calls
Pseudo strike
184.31
IV
29.4%
B/E move
1.8%
Puts
Pseudo strike
189.50
IV
28.1%
B/E move
1.3%

65Δ

Calls
Pseudo strike
182.87
IV
29.6%
B/E move
1.5%
Puts
Pseudo strike
190.99
IV
28.4%
B/E move
1.1%

70Δ

Calls
Pseudo strike
181.43
IV
29.8%
B/E move
1.3%
Puts
Pseudo strike
192.63
IV
29.0%
B/E move
0.9%

75Δ

Calls
Pseudo strike
179.98
IV
30.0%
B/E move
1.0%
Puts
Pseudo strike
194.27
IV
29.6%
B/E move
0.7%

80Δ

Calls
Pseudo strike
178.00
IV
30.2%
B/E move
0.8%
Puts
Pseudo strike
196.43
IV
30.3%
B/E move
0.5%

Options history

IV · four-Friday blend27.64%
Daily close
AZN26.3%30.8%35.4%2026-08-10: 28.90%2026-08-11: 28.60%2026-08-12: 27.23%2026-08-13: 27.94%2026-08-14: 26.93%2026-08-17: 28.24%2026-08-18: 29.10%2026-08-20: 31.06%2026-08-21: 27.71%2026-08-24: 27.81%2026-08-25: 27.34%2026-08-26: 28.72%2026-08-27: 29.20%2026-08-28: 28.68%2026-08-31: 28.94%2026-09-01: 28.17%2026-09-02: 29.16%2026-09-03: 29.09%2026-09-04: 29.05%2026-09-08: 31.03%2026-09-09: 30.38%2026-09-10: 31.34%2026-09-11: 31.10%2026-09-14: 29.05%2026-09-15: 29.01%2026-09-16: 30.43%2026-09-18: 28.14%2026-09-21: 28.71%2026-09-22: 27.92%2026-09-23: 28.14%2026-09-24: 28.53%2026-09-25: 27.96%2026-09-28: 28.65%2026-09-29: 28.91%2026-09-30: 29.66%2026-10-01: 31.63%2026-10-02: 31.92%2026-10-05: 32.06%2026-10-06: 31.91%2026-10-07: 32.10%2026-10-08: 31.61%2026-10-09: 31.84%2026-10-12: 33.29%2026-10-13: 33.79%2026-10-14: 34.73%2026-10-16: 33.23%2026-10-19: 32.11%2026-10-20: 32.18%2026-10-21: 31.72%2026-10-22: 32.58%2026-10-23: 32.72%2026-10-26: 31.18%2026-10-27: 30.60%2026-10-28: 30.29%2026-10-29: 30.37%2026-10-30: 27.64%Aug 10Sep 21Oct 30
56 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
28.90%
28.60%
27.23%
27.94%
26.93%
28.24%
29.10%
31.06%
27.71%
27.81%
27.34%
28.72%
29.20%
28.68%
28.94%
28.17%
29.16%
29.09%
29.05%
31.03%
30.38%
31.34%
31.10%
29.05%
29.01%
30.43%
28.14%
28.71%
27.92%
28.14%
28.53%
27.96%
28.65%
28.91%
29.66%
31.63%
31.92%
32.06%
31.91%
32.10%
31.61%
31.84%
33.29%
33.79%
34.73%
33.23%
32.11%
32.18%
31.72%
32.58%
32.72%
31.18%
30.60%
30.29%
30.37%
27.64%