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Immunocore Holdings plc American Depositary Shares IMCR

i

Market dataready · fetched 2026-11-12T03:19:13.532Z

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 · 2026-11-11T21:00:01.554630788Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-12T03:14:02.890860+00:00

Share price$31.65
1D-2.5%
AH$31.20$31.53$31.87$32.21$32.545:30 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$1.09$2.00$2.91$3.82$4.73$21.91$26.79$31.67$36.55$41.4320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive IMCR spot · $31.65IMCR PRICE$1.19$1.61$2.02$2.44$2.45$2.48$2.53$2.58$2.62$2.67$3.04$3.75$4.47$2.45$2.45$2.45$2.45$2.51$2.61$2.71$2.80$2.90$2.99$3.09$3.19$3.28
PutsExpensive2.13×
CallsExpensive1.80×
SkewBullish-0.91 pp
Implied moveBearish±$5.23
TiltBearish2.9% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ42.92199.2%39.4%23.30342.4%34.1%
25Δ41.96218.9%37.7%25.80276.2%26.2%
30Δ40.99238.7%35.9%27.59230.9%20.6%
35Δ40.03258.4%34.2%29.38185.6%14.9%
40Δ36.64212.5%23.5%30.32162.4%12.2%
45Δ34.48179.4%16.8%30.80151.0%10.9%
50Δ33.49159.6%13.8%31.28139.5%9.7%
55Δ32.50139.8%10.8%31.76128.0%8.5%
60Δ31.51120.0%7.8%32.24116.6%7.3%
65Δ30.52100.2%4.9%32.72105.1%6.1%
70Δ29.5889.8%3.1%33.2093.6%4.9%
75Δ28.7089.8%2.5%33.6882.2%3.6%
80Δ27.8289.8%2.0%34.1670.7%2.4%

20Δ

Calls
Pseudo strike
42.92
IV
199.2%
B/E move
39.4%
Puts
Pseudo strike
23.30
IV
342.4%
B/E move
34.1%

25Δ

Calls
Pseudo strike
41.96
IV
218.9%
B/E move
37.7%
Puts
Pseudo strike
25.80
IV
276.2%
B/E move
26.2%

30Δ

Calls
Pseudo strike
40.99
IV
238.7%
B/E move
35.9%
Puts
Pseudo strike
27.59
IV
230.9%
B/E move
20.6%

35Δ

Calls
Pseudo strike
40.03
IV
258.4%
B/E move
34.2%
Puts
Pseudo strike
29.38
IV
185.6%
B/E move
14.9%

40Δ

Calls
Pseudo strike
36.64
IV
212.5%
B/E move
23.5%
Puts
Pseudo strike
30.32
IV
162.4%
B/E move
12.2%

45Δ

Calls
Pseudo strike
34.48
IV
179.4%
B/E move
16.8%
Puts
Pseudo strike
30.80
IV
151.0%
B/E move
10.9%

50Δ

Calls
Pseudo strike
33.49
IV
159.6%
B/E move
13.8%
Puts
Pseudo strike
31.28
IV
139.5%
B/E move
9.7%

55Δ

Calls
Pseudo strike
32.50
IV
139.8%
B/E move
10.8%
Puts
Pseudo strike
31.76
IV
128.0%
B/E move
8.5%

60Δ

Calls
Pseudo strike
31.51
IV
120.0%
B/E move
7.8%
Puts
Pseudo strike
32.24
IV
116.6%
B/E move
7.3%

65Δ

Calls
Pseudo strike
30.52
IV
100.2%
B/E move
4.9%
Puts
Pseudo strike
32.72
IV
105.1%
B/E move
6.1%

70Δ

Calls
Pseudo strike
29.58
IV
89.8%
B/E move
3.1%
Puts
Pseudo strike
33.20
IV
93.6%
B/E move
4.9%

75Δ

Calls
Pseudo strike
28.70
IV
89.8%
B/E move
2.5%
Puts
Pseudo strike
33.68
IV
82.2%
B/E move
3.6%

80Δ

Calls
Pseudo strike
27.82
IV
89.8%
B/E move
2.0%
Puts
Pseudo strike
34.16
IV
70.7%
B/E move
2.4%

Options history

IV · four-Friday blend71.21%
Daily close
IMCR58.7%71.2%83.6%2026-08-13: 71.90%2026-08-17: 69.95%2026-08-21: 64.87%2026-08-24: 64.33%2026-08-25: 60.45%2026-08-26: 62.68%2026-08-27: 65.13%2026-08-31: 68.96%2026-09-01: 76.66%2026-09-02: 67.23%2026-09-09: 71.79%2026-09-10: 76.95%2026-09-22: 70.83%2026-09-28: 64.83%2026-09-29: 66.91%2026-10-01: 81.90%2026-10-02: 80.96%2026-10-05: 70.07%2026-10-06: 72.93%2026-10-16: 71.67%2026-10-19: 66.84%2026-10-20: 64.65%2026-10-21: 65.12%2026-10-22: 66.09%2026-10-23: 67.59%2026-10-26: 68.15%2026-10-27: 62.53%2026-10-28: 64.76%2026-10-29: 70.87%2026-10-30: 71.21%Aug 13Sep 29Oct 30
30 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
71.90%
69.95%
64.87%
64.33%
60.45%
62.68%
65.13%
68.96%
76.66%
67.23%
71.79%
76.95%
70.83%
64.83%
66.91%
81.90%
80.96%
70.07%
72.93%
71.67%
66.84%
64.65%
65.12%
66.09%
67.59%
68.15%
62.53%
64.76%
70.87%
71.21%