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Canadian National Railway CNI

i

Market datapartial · fetched 2026-11-11T14:56:42.018Z

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 · 2026-11-11T14:55:52.99115067Z

FundamentalsAlpha Vantage · unavailable

Share price$127.35
1D+0.8%
$126.26$126.56$126.85$127.14$127.435:30 AM6:30 AM9:00 AM1:00 PMCNI
Sold putSold call

Canadian National Railway options

Live interpolated CNI call and put midpoint premiums by absolute delta.Canadian National Railway$0.59$3.56$6.54$9.51$12.49$118.19$121.96$125.72$129.49$133.2520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive CNI spot · $127.35CNI PRICE$1.03$1.28$1.45$1.63$1.85$2.09$2.34$2.58$2.82$3.07$3.31$0.91$1.22$1.53$1.84$2.20$2.57$2.93$3.30$3.67$4.19$6.11$8.03$11.63
PutsExpensive1.41×
Calls——
Skew——
Implied moveBearish±$5.27
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ136.1946.7%7.8%121.3437.1%5.4%
25Δ134.2445.0%6.4%122.4937.3%4.8%
30Δ132.4640.6%5.2%123.6437.4%4.1%
35Δ130.6736.2%3.9%124.7937.6%3.5%
40Δ129.5433.5%3.2%125.7236.8%3.0%
45Δ128.8031.9%2.8%126.5935.7%2.6%
50Δ128.0730.3%2.4%127.4634.6%2.2%
55Δ127.3328.7%2.0%128.3433.6%1.8%
60Δ126.5927.1%1.6%129.2132.5%1.4%
65Δ125.8625.4%1.2%130.2032.2%1.1%
70Δ125.1223.8%0.8%132.2238.5%1.0%
75Δ134.2444.9%0.9%
80Δ137.9455.7%0.8%

20Δ

Calls
Pseudo strike
136.19
IV
46.7%
B/E move
7.8%
Puts
Pseudo strike
121.34
IV
37.1%
B/E move
5.4%

25Δ

Calls
Pseudo strike
134.24
IV
45.0%
B/E move
6.4%
Puts
Pseudo strike
122.49
IV
37.3%
B/E move
4.8%

30Δ

Calls
Pseudo strike
132.46
IV
40.6%
B/E move
5.2%
Puts
Pseudo strike
123.64
IV
37.4%
B/E move
4.1%

35Δ

Calls
Pseudo strike
130.67
IV
36.2%
B/E move
3.9%
Puts
Pseudo strike
124.79
IV
37.6%
B/E move
3.5%

40Δ

Calls
Pseudo strike
129.54
IV
33.5%
B/E move
3.2%
Puts
Pseudo strike
125.72
IV
36.8%
B/E move
3.0%

45Δ

Calls
Pseudo strike
128.80
IV
31.9%
B/E move
2.8%
Puts
Pseudo strike
126.59
IV
35.7%
B/E move
2.6%

50Δ

Calls
Pseudo strike
128.07
IV
30.3%
B/E move
2.4%
Puts
Pseudo strike
127.46
IV
34.6%
B/E move
2.2%

55Δ

Calls
Pseudo strike
127.33
IV
28.7%
B/E move
2.0%
Puts
Pseudo strike
128.34
IV
33.6%
B/E move
1.8%

60Δ

Calls
Pseudo strike
126.59
IV
27.1%
B/E move
1.6%
Puts
Pseudo strike
129.21
IV
32.5%
B/E move
1.4%

65Δ

Calls
Pseudo strike
125.86
IV
25.4%
B/E move
1.2%
Puts
Pseudo strike
130.20
IV
32.2%
B/E move
1.1%

70Δ

Calls
Pseudo strike
125.12
IV
23.8%
B/E move
0.8%
Puts
Pseudo strike
132.22
IV
38.5%
B/E move
1.0%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
134.24
IV
44.9%
B/E move
0.9%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
137.94
IV
55.7%
B/E move
0.8%

Options history

IV · four-Friday blend22.21%
Daily EOD
CNI21.3%22.5%23.7%2026-10-19: 22.37%2026-10-20: 22.69%2026-10-21: 21.50%2026-10-22: 22.62%2026-10-23: 22.86%2026-10-26: 23.58%2026-10-27: 22.44%2026-10-28: 21.76%2026-10-29: 23.34%2026-10-30: 22.21%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
22.37%
22.69%
21.50%
22.62%
22.86%
23.58%
22.44%
21.76%
23.34%
22.21%