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Immunocore Holdings plc American Depositary Shares IMCR

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Market datapartial · fetched 2026-10-23T04:29:04.127Z

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$4.05$5.61$7.17$22.36$27.38$32.40$37.43$42.4520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive IMCR spot · $32.12IMCR PRICE$1.10$1.53$1.96$2.40$2.17$2.31$2.64$2.98$3.31$3.64$4.18$4.88$5.59$2.40$2.26$2.13$2.08$2.34$2.59$2.85$3.11$3.36$3.62$4.33$5.52$6.72
PutsExpensive2.11×
CallsExpensive2.11×
SkewBullish-6.29 pp
Implied moveBearish±$5.49
TiltBearish5.6% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ43.46107.8%38.7%23.82183.9%33.3%
25Δ42.35117.2%36.6%26.34144.0%25.0%
30Δ41.25126.7%34.5%28.39112.5%18.2%
35Δ40.14136.1%32.4%30.1686.8%12.6%
40Δ36.30101.4%19.8%30.9082.1%11.1%
45Δ34.3386.9%14.1%31.6577.4%9.5%
50Δ33.3684.1%12.1%32.3972.7%8.0%
55Δ32.3981.3%10.1%33.1368.0%6.5%
60Δ31.4278.5%8.1%33.8863.2%5.0%
65Δ30.4575.7%6.2%34.6258.5%3.5%
70Δ29.4873.6%4.8%35.6657.5%2.5%
75Δ28.4972.1%3.9%37.0260.3%2.0%
80Δ27.5170.7%3.1%38.3763.2%1.4%

20Δ

Calls
Pseudo strike
43.46
IV
107.8%
B/E move
38.7%
Puts
Pseudo strike
23.82
IV
183.9%
B/E move
33.3%

25Δ

Calls
Pseudo strike
42.35
IV
117.2%
B/E move
36.6%
Puts
Pseudo strike
26.34
IV
144.0%
B/E move
25.0%

30Δ

Calls
Pseudo strike
41.25
IV
126.7%
B/E move
34.5%
Puts
Pseudo strike
28.39
IV
112.5%
B/E move
18.2%

35Δ

Calls
Pseudo strike
40.14
IV
136.1%
B/E move
32.4%
Puts
Pseudo strike
30.16
IV
86.8%
B/E move
12.6%

40Δ

Calls
Pseudo strike
36.30
IV
101.4%
B/E move
19.8%
Puts
Pseudo strike
30.90
IV
82.1%
B/E move
11.1%

45Δ

Calls
Pseudo strike
34.33
IV
86.9%
B/E move
14.1%
Puts
Pseudo strike
31.65
IV
77.4%
B/E move
9.5%

50Δ

Calls
Pseudo strike
33.36
IV
84.1%
B/E move
12.1%
Puts
Pseudo strike
32.39
IV
72.7%
B/E move
8.0%

55Δ

Calls
Pseudo strike
32.39
IV
81.3%
B/E move
10.1%
Puts
Pseudo strike
33.13
IV
68.0%
B/E move
6.5%

60Δ

Calls
Pseudo strike
31.42
IV
78.5%
B/E move
8.1%
Puts
Pseudo strike
33.88
IV
63.2%
B/E move
5.0%

65Δ

Calls
Pseudo strike
30.45
IV
75.7%
B/E move
6.2%
Puts
Pseudo strike
34.62
IV
58.5%
B/E move
3.5%

70Δ

Calls
Pseudo strike
29.48
IV
73.6%
B/E move
4.8%
Puts
Pseudo strike
35.66
IV
57.5%
B/E move
2.5%

75Δ

Calls
Pseudo strike
28.49
IV
72.1%
B/E move
3.9%
Puts
Pseudo strike
37.02
IV
60.3%
B/E move
2.0%

80Δ

Calls
Pseudo strike
27.51
IV
70.7%
B/E move
3.1%
Puts
Pseudo strike
38.37
IV
63.2%
B/E move
1.4%

Options history

No recorded observations