IntraAlpha
Create free account Start free

Lyell Immunopharma, Inc. Common Stock LYEL

i

Market datapartial · fetched 2026-10-23T02:43:17.475Z

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 · 2026-10-22T20:00:00.927613956Z

FundamentalsAlpha Vantage · unavailable

Share price$9.38
1D-0.1%
AH$9.24$9.35$9.46$9.57$9.685:30 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$1.87$2.22$2.57$2.92$3.27$2.59$6.11$9.62$13.14$16.6520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive LYEL spot · $9.38LYEL PRICE$1.90$2.45$2.45$2.45$2.45$2.47$2.50$2.45$2.45$2.45$2.45$2.45$2.45$2.45$2.45$2.49$2.65$2.80$2.96$3.17
PutsExpensive2.47×
CallsExpensive2.86×
SkewBullish-18.50 pp
Implied moveBearish±$4.35
TiltBearish33.8% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ6.54468.1%56.4%
25Δ7.74356.3%43.6%
30Δ8.54295.1%35.1%
35Δ9.17253.1%28.3%
40Δ9.68220.7%22.9%
45Δ10.12192.7%18.2%
50Δ12.72274.1%55.9%10.44171.8%14.8%
55Δ12.92331.4%63.9%10.76150.9%11.4%
60Δ10.36268.5%36.6%11.08133.1%8.4%
65Δ8.99220.8%21.9%11.39123.8%6.7%
70Δ8.27185.1%14.2%11.71114.6%5.1%
75Δ7.82158.0%9.7%12.02105.4%3.5%
80Δ7.53135.9%6.9%12.3196.8%2.5%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.54
IV
468.1%
B/E move
56.4%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
7.74
IV
356.3%
B/E move
43.6%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
8.54
IV
295.1%
B/E move
35.1%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
9.17
IV
253.1%
B/E move
28.3%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
9.68
IV
220.7%
B/E move
22.9%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
10.12
IV
192.7%
B/E move
18.2%

50Δ

Calls
Pseudo strike
12.72
IV
274.1%
B/E move
55.9%
Puts
Pseudo strike
10.44
IV
171.8%
B/E move
14.8%

55Δ

Calls
Pseudo strike
12.92
IV
331.4%
B/E move
63.9%
Puts
Pseudo strike
10.76
IV
150.9%
B/E move
11.4%

60Δ

Calls
Pseudo strike
10.36
IV
268.5%
B/E move
36.6%
Puts
Pseudo strike
11.08
IV
133.1%
B/E move
8.4%

65Δ

Calls
Pseudo strike
8.99
IV
220.8%
B/E move
21.9%
Puts
Pseudo strike
11.39
IV
123.8%
B/E move
6.7%

70Δ

Calls
Pseudo strike
8.27
IV
185.1%
B/E move
14.2%
Puts
Pseudo strike
11.71
IV
114.6%
B/E move
5.1%

75Δ

Calls
Pseudo strike
7.82
IV
158.0%
B/E move
9.7%
Puts
Pseudo strike
12.02
IV
105.4%
B/E move
3.5%

80Δ

Calls
Pseudo strike
7.53
IV
135.9%
B/E move
6.9%
Puts
Pseudo strike
12.31
IV
96.8%
B/E move
2.5%

Options history

No recorded observations