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Mercury Systems Inc Common Stock MRCY

INDUSTRIALS · AEROSPACE & DEFENSE
i

Market dataready · fetched 2026-11-12T17:15:33.184Z

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 · 2026-11-12T17:14:53.753628174Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T17:15:32.606787+00:00

Share price$86.40
1D-3.0%
$85$86$87$88$895:30 AM6:30 AM9:00 AM1:00 PMMRCY
Sold putSold call

Mercury Systems Inc Common Stock options

Live interpolated MRCY call and put midpoint premiums by absolute delta.Mercury Systems Inc Common Stock$0.72$2.91$5.10$7.29$9.48$60.94$71.37$81.80$92.22$102.6520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive MRCY spot · $86.39MRCY PRICE$0.96$1.30$1.61$1.87$2.13$2.39$2.81$3.27$3.76$4.60$5.43$6.36$7.30$1.30$1.61$1.91$2.23$2.55$2.99$3.45$3.94$4.49$5.03$5.83$6.69$8.85
PutsCheap0.76×
CallsCheap0.67×
SkewBearish+3.68 pp
Implied moveBearish±$6.26
TiltBearish7.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ94.9570.6%11.0%78.2586.1%10.9%
25Δ93.4171.2%9.6%80.3779.8%8.8%
30Δ91.8369.7%8.2%82.1074.0%7.2%
35Δ90.2065.4%6.6%83.4769.8%6.0%
40Δ88.9661.7%5.4%84.7366.2%4.9%
45Δ87.7758.0%4.4%85.8164.5%4.1%
50Δ86.7857.3%3.7%86.8363.3%3.5%
55Δ85.8657.4%3.2%87.8462.1%2.9%
60Δ84.9257.7%2.6%88.8260.7%2.4%
65Δ83.7960.6%2.3%89.7959.3%1.9%
70Δ82.6663.4%2.0%90.9258.9%1.5%
75Δ81.4064.2%1.6%92.0858.8%1.2%
80Δ80.1364.6%1.2%94.4366.3%0.9%

20Δ

Calls
Pseudo strike
94.95
IV
70.6%
B/E move
11.0%
Puts
Pseudo strike
78.25
IV
86.1%
B/E move
10.9%

25Δ

Calls
Pseudo strike
93.41
IV
71.2%
B/E move
9.6%
Puts
Pseudo strike
80.37
IV
79.8%
B/E move
8.8%

30Δ

Calls
Pseudo strike
91.83
IV
69.7%
B/E move
8.2%
Puts
Pseudo strike
82.10
IV
74.0%
B/E move
7.2%

35Δ

Calls
Pseudo strike
90.20
IV
65.4%
B/E move
6.6%
Puts
Pseudo strike
83.47
IV
69.8%
B/E move
6.0%

40Δ

Calls
Pseudo strike
88.96
IV
61.7%
B/E move
5.4%
Puts
Pseudo strike
84.73
IV
66.2%
B/E move
4.9%

45Δ

Calls
Pseudo strike
87.77
IV
58.0%
B/E move
4.4%
Puts
Pseudo strike
85.81
IV
64.5%
B/E move
4.1%

50Δ

Calls
Pseudo strike
86.78
IV
57.3%
B/E move
3.7%
Puts
Pseudo strike
86.83
IV
63.3%
B/E move
3.5%

55Δ

Calls
Pseudo strike
85.86
IV
57.4%
B/E move
3.2%
Puts
Pseudo strike
87.84
IV
62.1%
B/E move
2.9%

60Δ

Calls
Pseudo strike
84.92
IV
57.7%
B/E move
2.6%
Puts
Pseudo strike
88.82
IV
60.7%
B/E move
2.4%

65Δ

Calls
Pseudo strike
83.79
IV
60.6%
B/E move
2.3%
Puts
Pseudo strike
89.79
IV
59.3%
B/E move
1.9%

70Δ

Calls
Pseudo strike
82.66
IV
63.4%
B/E move
2.0%
Puts
Pseudo strike
90.92
IV
58.9%
B/E move
1.5%

75Δ

Calls
Pseudo strike
81.40
IV
64.2%
B/E move
1.6%
Puts
Pseudo strike
92.08
IV
58.8%
B/E move
1.2%

80Δ

Calls
Pseudo strike
80.13
IV
64.6%
B/E move
1.2%
Puts
Pseudo strike
94.43
IV
66.3%
B/E move
0.9%

Options history

IV · four-Friday blend69.61%
Daily EOD
MRCY61.2%65.7%70.2%2026-10-19: 61.79%2026-10-20: 62.99%2026-10-21: 64.36%2026-10-22: 66.50%2026-10-23: 65.81%2026-10-26: 67.02%2026-10-27: 68.94%2026-10-28: 68.60%2026-10-29: 65.85%2026-10-30: 69.61%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
61.79%
62.99%
64.36%
66.50%
65.81%
67.02%
68.94%
68.60%
65.85%
69.61%