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Bausch Health Companies Inc BHC

HEALTHCARE · DRUG MANUFACTURERS - SPECIALTY & GENERIC
i

Market dataready · fetched 2026-11-10T22:19:33.981Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-10T21:10:00.00086395Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-10T22:19:33.642812+00:00

Share price$8.29
1D-1.1%
AH$8.16$8.22$8.28$8.34$8.405:30 AM6:30 AM9:00 AM1:00 PM2:00 PMBHC
Sold putSold callAH

Bausch Health Companies Inc options

Live interpolated BHC call and put midpoint premiums by absolute delta.Bausch Health Companies Inc$0.11$0.41$0.72$1.02$1.32$7.96$8.13$8.30$8.46$8.6320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive BHC spot · $8.29BHC PRICE$0.19$0.22$0.25$0.28$0.31$1.23$1.05$0.15$0.18$0.22$0.26$0.29$0.33$0.38
Puts——
Calls——
Skew——
Implied moveBearish±$0.45
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ5.86800.0%42.0%
25Δ
30Δ
35Δ8.1366.9%3.7%
40Δ8.1968.6%3.3%
45Δ8.2670.3%3.0%
50Δ8.3159.1%2.6%8.3372.1%2.6%
55Δ8.2558.4%2.3%8.4073.8%2.2%
60Δ8.2057.8%1.9%8.4675.5%1.9%
65Δ8.1457.2%1.6%8.5475.3%1.6%
70Δ8.0856.5%1.2%
75Δ
80Δ7.33204.8%3.3%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.86
IV
800.0%
B/E move
42.0%

25Δ

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

30Δ

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

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
8.13
IV
66.9%
B/E move
3.7%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
8.19
IV
68.6%
B/E move
3.3%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
8.26
IV
70.3%
B/E move
3.0%

50Δ

Calls
Pseudo strike
8.31
IV
59.1%
B/E move
2.6%
Puts
Pseudo strike
8.33
IV
72.1%
B/E move
2.6%

55Δ

Calls
Pseudo strike
8.25
IV
58.4%
B/E move
2.3%
Puts
Pseudo strike
8.40
IV
73.8%
B/E move
2.2%

60Δ

Calls
Pseudo strike
8.20
IV
57.8%
B/E move
1.9%
Puts
Pseudo strike
8.46
IV
75.5%
B/E move
1.9%

65Δ

Calls
Pseudo strike
8.14
IV
57.2%
B/E move
1.6%
Puts
Pseudo strike
8.54
IV
75.3%
B/E move
1.6%

70Δ

Calls
Pseudo strike
8.08
IV
56.5%
B/E move
1.2%
Puts
Pseudo strike
IV
B/E move

75Δ

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

80Δ

Calls
Pseudo strike
7.33
IV
204.8%
B/E move
3.3%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend139.25%
Daily close
BHC25.0%194.6%364.1%2026-08-14: 115.25%2026-08-17: 140.64%2026-08-25: 311.17%2026-08-28: 86.84%2026-09-01: 48.41%2026-09-08: 79.59%2026-09-11: 155.28%2026-09-14: 81.01%2026-09-15: 316.72%2026-09-16: 340.71%2026-09-17: 318.91%2026-09-18: 245.92%2026-09-21: 216.62%2026-09-23: 169.40%2026-09-29: 101.50%2026-10-02: 182.44%2026-10-05: 161.83%2026-10-06: 144.99%2026-10-07: 237.78%2026-10-08: 285.31%2026-10-09: 142.68%2026-10-12: 78.69%2026-10-13: 117.50%2026-10-14: 124.07%2026-10-15: 223.00%2026-10-16: 197.07%2026-10-20: 196.65%2026-10-21: 229.24%2026-10-22: 131.28%2026-10-23: 139.36%2026-10-27: 212.06%2026-10-28: 202.31%2026-10-29: 161.44%2026-10-30: 139.25%Aug 14Oct 5Oct 30
34 observations2026-08-14 — 2026-10-30
Table
DateIV (%)
115.25%
140.64%
311.17%
86.84%
48.41%
79.59%
155.28%
81.01%
316.72%
340.71%
318.91%
245.92%
216.62%
169.40%
101.50%
182.44%
161.83%
144.99%
237.78%
285.31%
142.68%
78.69%
117.50%
124.07%
223.00%
197.07%
196.65%
229.24%
131.28%
139.36%
212.06%
202.31%
161.44%
139.25%