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Immersion Corporation Common Stock IMMR

i

Market dataready · fetched 2026-11-12T02:52:56.807Z

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 · 2026-11-11T21:00:00.256754603Z

FundamentalsSEC EDGAR · ready · as of 2026-07-31 · fetched 2026-11-12T02:47:10.911969+00:00

Share price$7.03
1D-1.1%
AH$7.00$7.04$7.07$7.11$7.155:30 AM6:30 AM9:00 AM1:00 PM2:00 PMIMMR
Sold putSold callAH

Immersion Corporation Common Stock options

Live interpolated IMMR call and put midpoint premiums by absolute delta.Immersion Corporation Common Stock$0.59$1.44$2.28$3.13$3.97$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —25Δ P unavailable: no unambiguous, price-consistent delta bracketP —30Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICEIMMR PRICE$0.68$0.93$1.19$1.44$1.70$1.95$2.21$2.46$2.71$2.97$3.22$3.48$3.73
Puts——
CallsExpensive2.87×
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ8.96185.6%37.1%
25Δ8.54201.3%34.8%
30Δ8.12216.9%32.5%
35Δ7.70232.6%30.1%
40Δ7.29248.3%27.8%
45Δ6.87263.9%25.4%
50Δ6.45279.6%23.1%
55Δ6.03295.3%20.7%
60Δ5.61310.9%18.4%
65Δ5.19326.6%16.0%
70Δ4.77342.3%13.7%
75Δ4.35358.0%11.4%
80Δ3.93373.6%9.0%

20Δ

Calls
Pseudo strike
8.96
IV
185.6%
B/E move
37.1%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
8.54
IV
201.3%
B/E move
34.8%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
8.12
IV
216.9%
B/E move
32.5%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
7.70
IV
232.6%
B/E move
30.1%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
7.29
IV
248.3%
B/E move
27.8%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
6.87
IV
263.9%
B/E move
25.4%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
6.45
IV
279.6%
B/E move
23.1%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
6.03
IV
295.3%
B/E move
20.7%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
5.61
IV
310.9%
B/E move
18.4%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
5.19
IV
326.6%
B/E move
16.0%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
4.77
IV
342.3%
B/E move
13.7%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
4.35
IV
358.0%
B/E move
11.4%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
3.93
IV
373.6%
B/E move
9.0%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend40.49%
Daily close
IMMR37.1%61.7%86.2%2026-08-13: 61.44%2026-08-14: 55.77%2026-08-17: 58.78%2026-08-18: 63.76%2026-08-21: 53.45%2026-08-24: 56.92%2026-08-25: 65.39%2026-08-26: 59.38%2026-08-31: 63.42%2026-09-01: 49.60%2026-09-02: 59.66%2026-09-03: 53.76%2026-09-04: 68.62%2026-09-17: 82.82%2026-09-22: 41.10%2026-09-23: 40.49%Aug 13Aug 26Sep 23
16 observations2026-08-13 — 2026-09-23
Table
DateIV (%)
61.44%
55.77%
58.78%
63.76%
53.45%
56.92%
65.39%
59.38%
63.42%
49.60%
59.66%
53.76%
68.62%
82.82%
41.10%
40.49%