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Lyell Immunopharma, Inc. Common Stock LYEL

i

Market dataready · fetched 2026-11-12T03:57:10.839Z

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 · 2026-11-11T21:00:02.073174235Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-12T03:57:10.440647+00:00

Share price$16.86
1D+0.2%
AH$16.60$16.85$17.10$17.35$17.605:30 AM6:30 AM9:00 AM1:00 PM2:00 PMLYEL
Sold putSold callAH

Lyell Immunopharma, Inc. Common Stock options

Live interpolated LYEL call and put midpoint premiums by absolute delta.Lyell Immunopharma, Inc. Common Stock$2.42$2.73$3.05$3.37$3.68$8.87$12.91$16.94$20.98$25.0220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive LYEL spot · $16.86LYEL PRICE$2.45$2.45$2.45$2.45$2.56$2.68$2.91$2.45$2.45$2.45$2.45$2.45$2.48$2.59$2.72$2.90$3.07$3.24$3.42$3.59
PutsExpensive1.62×
Calls——
Skew——
Implied moveBearish±$5.04
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ11.83533.0%44.4%
25Δ13.42432.2%34.9%
30Δ14.69358.3%27.4%
35Δ15.69302.6%21.4%
40Δ26.69476.8%72.8%16.47259.4%16.8%
45Δ21.59379.3%42.6%17.14224.4%13.0%
50Δ18.93309.4%26.8%17.69201.0%10.4%
55Δ17.42257.7%17.8%18.15182.1%8.5%
60Δ16.46226.5%12.8%18.50169.3%7.5%
65Δ18.84156.4%6.5%
70Δ19.19143.5%5.4%
75Δ14.86145.3%4.0%19.54130.7%4.4%
80Δ14.44135.6%2.9%19.88117.8%3.4%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
11.83
IV
533.0%
B/E move
44.4%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
13.42
IV
432.2%
B/E move
34.9%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
14.69
IV
358.3%
B/E move
27.4%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
15.69
IV
302.6%
B/E move
21.4%

40Δ

Calls
Pseudo strike
26.69
IV
476.8%
B/E move
72.8%
Puts
Pseudo strike
16.47
IV
259.4%
B/E move
16.8%

45Δ

Calls
Pseudo strike
21.59
IV
379.3%
B/E move
42.6%
Puts
Pseudo strike
17.14
IV
224.4%
B/E move
13.0%

50Δ

Calls
Pseudo strike
18.93
IV
309.4%
B/E move
26.8%
Puts
Pseudo strike
17.69
IV
201.0%
B/E move
10.4%

55Δ

Calls
Pseudo strike
17.42
IV
257.7%
B/E move
17.8%
Puts
Pseudo strike
18.15
IV
182.1%
B/E move
8.5%

60Δ

Calls
Pseudo strike
16.46
IV
226.5%
B/E move
12.8%
Puts
Pseudo strike
18.50
IV
169.3%
B/E move
7.5%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
18.84
IV
156.4%
B/E move
6.5%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
19.19
IV
143.5%
B/E move
5.4%

75Δ

Calls
Pseudo strike
14.86
IV
145.3%
B/E move
4.0%
Puts
Pseudo strike
19.54
IV
130.7%
B/E move
4.4%

80Δ

Calls
Pseudo strike
14.44
IV
135.6%
B/E move
2.9%
Puts
Pseudo strike
19.88
IV
117.8%
B/E move
3.4%

Options history

IV · four-Friday blend176.75%
Daily close
LYEL96.0%203.4%310.7%2026-08-13: 177.51%2026-08-14: 183.33%2026-08-17: 222.19%2026-08-18: 211.85%2026-08-19: 229.13%2026-08-21: 110.84%2026-08-24: 115.80%2026-08-25: 116.21%2026-08-26: 113.81%2026-08-27: 112.81%2026-08-28: 126.31%2026-08-31: 131.25%2026-09-01: 131.85%2026-09-02: 130.42%2026-09-03: 137.62%2026-09-04: 139.30%2026-09-08: 162.01%2026-09-09: 160.79%2026-09-10: 175.88%2026-09-11: 205.89%2026-09-14: 255.06%2026-09-18: 153.99%2026-09-21: 157.95%2026-09-22: 157.61%2026-09-23: 176.65%2026-09-24: 183.85%2026-09-25: 191.93%2026-09-28: 204.72%2026-09-29: 211.84%2026-09-30: 210.50%2026-10-01: 227.78%2026-10-07: 295.88%2026-10-12: 289.51%2026-10-30: 176.75%Aug 13Sep 8Oct 30
34 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
177.51%
183.33%
222.19%
211.85%
229.13%
110.84%
115.80%
116.21%
113.81%
112.81%
126.31%
131.25%
131.85%
130.42%
137.62%
139.30%
162.01%
160.79%
175.88%
205.89%
255.06%
153.99%
157.95%
157.61%
176.65%
183.85%
191.93%
204.72%
211.84%
210.50%
227.78%
295.88%
289.51%
176.75%