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Immuneering Corp IMRX

HEALTHCARE · BIOTECHNOLOGY
i

Market dataready · fetched 2026-10-23T00:00:47.332Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-12-18

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 · 2026-10-22T22:44:20.177032048Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-10-22T23:57:16.522920+00:00

Share price$3.78
1D+1.7%
AH$3.73$3.76$3.78$3.81$3.835:30 AM6:30 AM9:00 AM1:00 PM2:00 PMIMRX
Sold putSold callAH

Immuneering Corp options

Live interpolated IMRX call and put midpoint premiums by absolute delta.Immuneering Corp$0.27$1.21$2.14$3.07$4.01$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICEIMRX PRICE$0.38$0.38$0.46$0.58$0.70$0.82$0.94$1.06$1.18$1.30$1.42$1.64$2.34$3.04$3.74
PutsExpensive1.74×
CallsExpensive1.96×
SkewBullish-17.60 pp
Implied move——
TiltBearish92.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ2.63186.6%42.5%
25Δ2.90178.7%38.6%
30Δ7.38186.0%105.1%3.17170.8%34.7%
35Δ5.82145.2%63.9%3.44162.9%30.8%
40Δ3.71154.9%26.9%
45Δ3.97147.0%23.0%
50Δ4.24139.1%19.1%
55Δ4.51131.2%15.2%
60Δ4.78123.3%11.3%
65Δ5.12118.2%7.8%
70Δ5.88127.6%6.4%
75Δ6.63137.0%5.1%
80Δ7.38146.4%3.7%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
2.63
IV
186.6%
B/E move
42.5%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
2.90
IV
178.7%
B/E move
38.6%

30Δ

Calls
Pseudo strike
7.38
IV
186.0%
B/E move
105.1%
Puts
Pseudo strike
3.17
IV
170.8%
B/E move
34.7%

35Δ

Calls
Pseudo strike
5.82
IV
145.2%
B/E move
63.9%
Puts
Pseudo strike
3.44
IV
162.9%
B/E move
30.8%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.71
IV
154.9%
B/E move
26.9%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.97
IV
147.0%
B/E move
23.0%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.24
IV
139.1%
B/E move
19.1%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.51
IV
131.2%
B/E move
15.2%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.78
IV
123.3%
B/E move
11.3%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.12
IV
118.2%
B/E move
7.8%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.88
IV
127.6%
B/E move
6.4%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.63
IV
137.0%
B/E move
5.1%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
7.38
IV
146.4%
B/E move
3.7%

Options history

No recorded observations