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Lyell Immunopharma, Inc. Common Stock LYEL

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Market datapartial · fetched 2026-10-22T16:41:06.855Z

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 · 2026-10-22T16:41:03.319590107Z

FundamentalsAlpha Vantage · unavailable

Share price$9.51
1D+1.3%
$9.32$9.41$9.50$9.58$9.675:30 AM6:30 AM9:00 AM1:00 PMLYEL
Sold putSold call

Lyell Immunopharma, Inc. Common Stock options

Live interpolated LYEL call and put midpoint premiums by absolute delta.Lyell Immunopharma, Inc. Common Stock$2.43$2.62$2.82$3.02$3.21$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELYEL PRICE$2.45$2.45$2.47$2.49$2.60$2.83$2.47$2.50$2.53$2.57$2.60$2.64$2.67$2.70$2.74$3.15
PutsExpensive2.04×
CallsExpensive2.74×
SkewBullish-45.91 pp
Implied move——
TiltBearish27.0% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ9.17256.7%29.5%
40Δ9.51237.3%26.3%
45Δ9.85217.8%23.1%
50Δ10.18198.4%19.9%
55Δ12.91321.6%61.5%10.52179.0%16.7%
60Δ10.56262.4%36.8%10.86159.5%13.6%
65Δ9.35221.7%24.3%11.19140.1%10.4%
70Δ8.50186.8%15.5%11.53120.7%7.2%
75Δ7.82160.5%9.5%11.87101.2%4.0%
80Δ7.39146.2%7.5%12.4595.6%2.3%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
9.17
IV
256.7%
B/E move
29.5%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
9.51
IV
237.3%
B/E move
26.3%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
9.85
IV
217.8%
B/E move
23.1%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
10.18
IV
198.4%
B/E move
19.9%

55Δ

Calls
Pseudo strike
12.91
IV
321.6%
B/E move
61.5%
Puts
Pseudo strike
10.52
IV
179.0%
B/E move
16.7%

60Δ

Calls
Pseudo strike
10.56
IV
262.4%
B/E move
36.8%
Puts
Pseudo strike
10.86
IV
159.5%
B/E move
13.6%

65Δ

Calls
Pseudo strike
9.35
IV
221.7%
B/E move
24.3%
Puts
Pseudo strike
11.19
IV
140.1%
B/E move
10.4%

70Δ

Calls
Pseudo strike
8.50
IV
186.8%
B/E move
15.5%
Puts
Pseudo strike
11.53
IV
120.7%
B/E move
7.2%

75Δ

Calls
Pseudo strike
7.82
IV
160.5%
B/E move
9.5%
Puts
Pseudo strike
11.87
IV
101.2%
B/E move
4.0%

80Δ

Calls
Pseudo strike
7.39
IV
146.2%
B/E move
7.5%
Puts
Pseudo strike
12.45
IV
95.6%
B/E move
2.3%

Options history

No recorded observations