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Immunocore Holdings plc American Depositary Shares IMCR

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Market datapartial · fetched 2026-10-22T23:58:51.586Z

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 · 2026-10-22T20:00:09.020887486Z

FundamentalsAlpha Vantage · unavailable

Share price$32.12
1D+0.1%
AH$31.39$31.76$32.13$32.49$32.865:30 AM6:30 AM9:00 AM1:00 PM2:00 PMIMCR
Sold putSold callAH

Immunocore Holdings plc American Depositary Shares options

Live interpolated IMCR call and put midpoint premiums by absolute delta.Immunocore Holdings plc American Depositary Shares$0.93$2.49$4.06$5.62$7.19$22.44$27.42$32.40$37.38$42.3620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive IMCR spot · $32.12IMCR PRICE$1.10$1.53$1.96$2.40$2.17$2.31$2.64$2.97$3.31$3.64$4.17$4.88$5.58$2.40$2.26$2.13$2.08$2.34$2.59$2.85$3.11$3.36$3.62$4.35$5.54$6.74
PutsExpensive2.09×
CallsExpensive2.08×
SkewBullish-6.27 pp
Implied moveBearish±$5.49
TiltBearish5.7% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ43.46107.5%38.7%23.82183.3%33.3%
25Δ42.35116.9%36.6%26.34143.2%25.0%
30Δ41.25126.2%34.5%28.40111.3%18.2%
35Δ40.14135.6%32.4%30.1685.3%12.6%
40Δ36.30100.1%19.8%30.9180.7%11.1%
45Δ34.3385.3%14.1%31.6576.1%9.5%
50Δ33.3682.6%12.1%32.3971.4%8.0%
55Δ32.3979.8%10.1%33.1466.8%6.5%
60Δ31.4377.1%8.1%33.8862.2%5.0%
65Δ30.4674.3%6.2%34.6357.5%3.5%
70Δ29.4872.3%4.8%35.6856.6%2.5%
75Δ28.5070.8%3.9%37.0359.4%1.9%
80Δ27.5269.3%3.1%38.3962.3%1.4%

20Δ

Calls
Pseudo strike
43.46
IV
107.5%
B/E move
38.7%
Puts
Pseudo strike
23.82
IV
183.3%
B/E move
33.3%

25Δ

Calls
Pseudo strike
42.35
IV
116.9%
B/E move
36.6%
Puts
Pseudo strike
26.34
IV
143.2%
B/E move
25.0%

30Δ

Calls
Pseudo strike
41.25
IV
126.2%
B/E move
34.5%
Puts
Pseudo strike
28.40
IV
111.3%
B/E move
18.2%

35Δ

Calls
Pseudo strike
40.14
IV
135.6%
B/E move
32.4%
Puts
Pseudo strike
30.16
IV
85.3%
B/E move
12.6%

40Δ

Calls
Pseudo strike
36.30
IV
100.1%
B/E move
19.8%
Puts
Pseudo strike
30.91
IV
80.7%
B/E move
11.1%

45Δ

Calls
Pseudo strike
34.33
IV
85.3%
B/E move
14.1%
Puts
Pseudo strike
31.65
IV
76.1%
B/E move
9.5%

50Δ

Calls
Pseudo strike
33.36
IV
82.6%
B/E move
12.1%
Puts
Pseudo strike
32.39
IV
71.4%
B/E move
8.0%

55Δ

Calls
Pseudo strike
32.39
IV
79.8%
B/E move
10.1%
Puts
Pseudo strike
33.14
IV
66.8%
B/E move
6.5%

60Δ

Calls
Pseudo strike
31.43
IV
77.1%
B/E move
8.1%
Puts
Pseudo strike
33.88
IV
62.2%
B/E move
5.0%

65Δ

Calls
Pseudo strike
30.46
IV
74.3%
B/E move
6.2%
Puts
Pseudo strike
34.63
IV
57.5%
B/E move
3.5%

70Δ

Calls
Pseudo strike
29.48
IV
72.3%
B/E move
4.8%
Puts
Pseudo strike
35.68
IV
56.6%
B/E move
2.5%

75Δ

Calls
Pseudo strike
28.50
IV
70.8%
B/E move
3.9%
Puts
Pseudo strike
37.03
IV
59.4%
B/E move
1.9%

80Δ

Calls
Pseudo strike
27.52
IV
69.3%
B/E move
3.1%
Puts
Pseudo strike
38.39
IV
62.3%
B/E move
1.4%

Options history

No recorded observations