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Denali Therapeutics Inc. Common Stock DNLI

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Market dataready · fetched 2026-11-11T14:21:42.865Z

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 · 2026-11-11T14:21:13.493274313Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-11T14:21:42.500964+00:00

Share price$20.00
1D+0.0%
$19.84$19.85$19.85$19.85$19.865:30 AM6:30 AM9:00 AM1:00 PMDNLI
Sold putSold call

Denali Therapeutics Inc. Common Stock options

Live interpolated DNLI call and put midpoint premiums by absolute delta.Denali Therapeutics Inc. Common Stock$0.88$1.43$1.98$2.53$3.08$-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 unavailable: no unambiguous, price-consistent delta bracketC —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICEDNLI PRICE$0.94$1.31$1.67$2.03$2.40$2.76$1.13$1.18$1.22$1.27$1.32$1.36$1.53$1.75$1.96$2.17$2.39$2.60$2.92
PutsExpensive1.62×
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ15.32261.7%29.1%
25Δ16.78213.0%22.0%
30Δ17.83178.1%16.9%
35Δ18.50156.9%13.9%
40Δ19.17135.8%10.8%
45Δ19.83114.6%7.7%
50Δ20.28106.4%6.2%
55Δ19.7762.4%3.6%20.67102.7%5.4%
60Δ19.3570.3%3.3%21.0599.0%4.6%
65Δ18.9278.3%2.9%21.4395.4%3.7%
70Δ18.4986.3%2.6%21.8191.7%2.9%
75Δ18.0694.3%2.3%22.1988.0%2.1%
80Δ17.64102.3%2.0%22.6685.2%1.3%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
15.32
IV
261.7%
B/E move
29.1%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
16.78
IV
213.0%
B/E move
22.0%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
17.83
IV
178.1%
B/E move
16.9%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
18.50
IV
156.9%
B/E move
13.9%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
19.17
IV
135.8%
B/E move
10.8%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
19.83
IV
114.6%
B/E move
7.7%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
20.28
IV
106.4%
B/E move
6.2%

55Δ

Calls
Pseudo strike
19.77
IV
62.4%
B/E move
3.6%
Puts
Pseudo strike
20.67
IV
102.7%
B/E move
5.4%

60Δ

Calls
Pseudo strike
19.35
IV
70.3%
B/E move
3.3%
Puts
Pseudo strike
21.05
IV
99.0%
B/E move
4.6%

65Δ

Calls
Pseudo strike
18.92
IV
78.3%
B/E move
2.9%
Puts
Pseudo strike
21.43
IV
95.4%
B/E move
3.7%

70Δ

Calls
Pseudo strike
18.49
IV
86.3%
B/E move
2.6%
Puts
Pseudo strike
21.81
IV
91.7%
B/E move
2.9%

75Δ

Calls
Pseudo strike
18.06
IV
94.3%
B/E move
2.3%
Puts
Pseudo strike
22.19
IV
88.0%
B/E move
2.1%

80Δ

Calls
Pseudo strike
17.64
IV
102.3%
B/E move
2.0%
Puts
Pseudo strike
22.66
IV
85.2%
B/E move
1.3%

Options history

IV · four-Friday blend80.24%
Daily EOD
DNLI73.8%79.6%85.4%2026-10-19: 76.00%2026-10-20: 74.62%2026-10-21: 75.08%2026-10-22: 75.23%2026-10-23: 78.53%2026-10-26: 84.63%2026-10-27: 80.00%2026-10-28: 77.65%2026-10-29: 84.18%2026-10-30: 80.24%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
76.00%
74.62%
75.08%
75.23%
78.53%
84.63%
80.00%
77.65%
84.18%
80.24%