IntraAlpha
Create free account Start free

Mercury Systems Inc MRCY

INDUSTRIALS · AEROSPACE & DEFENSE
i

Market dataready · fetched 2026-10-23T03:01:53.972Z

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 · 2026-10-22T20:00:01.891620336Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-10-23T03:01:51.025133+00:00

Share price$75.56
1D+1.7%
AH$73.53$74.25$74.98$75.70$76.435:30 AM6:30 AM9:00 AM1:00 PM2:00 PMMRCY
Sold putSold callAH

Mercury Systems Inc options

Live interpolated MRCY call and put midpoint premiums by absolute delta.Mercury Systems Inc$0.98$6.66$12.34$18.02$23.70$54.01$64.71$75.41$86.11$96.8120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive MRCY spot · $75.56MRCY PRICE$1.60$2.22$2.77$3.51$4.43$5.40$6.42$7.30$8.24$8.96$10.02$12.29$13.65$2.17$2.93$3.76$4.66$5.74$7.09$8.60$10.10$11.48$12.25$14.36$16.02$22.06
PutsExpensive1.45×
CallsExpensive1.60×
SkewBearish+1.44 pp
Implied moveBearish±$15.02
TiltBearish16.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ92.1773.4%24.1%64.1581.2%18.0%
25Δ90.0177.7%22.1%66.6481.4%15.7%
30Δ86.7976.0%18.5%68.9881.5%13.7%
35Δ84.5278.2%16.5%71.2381.3%11.9%
40Δ82.6482.9%15.2%73.4481.9%10.4%
45Δ80.4485.7%13.6%75.6984.2%9.2%
50Δ78.1387.4%11.9%78.0786.1%8.1%
55Δ75.7385.6%9.9%80.4986.1%6.8%
60Δ73.4383.7%8.1%82.7984.3%5.6%
65Δ71.3879.0%6.3%84.5578.4%4.3%
70Δ69.2376.6%4.9%87.3379.0%3.4%
75Δ66.4883.3%4.2%89.6776.2%2.5%
80Δ64.3180.5%3.2%96.0787.1%2.1%

20Δ

Calls
Pseudo strike
92.17
IV
73.4%
B/E move
24.1%
Puts
Pseudo strike
64.15
IV
81.2%
B/E move
18.0%

25Δ

Calls
Pseudo strike
90.01
IV
77.7%
B/E move
22.1%
Puts
Pseudo strike
66.64
IV
81.4%
B/E move
15.7%

30Δ

Calls
Pseudo strike
86.79
IV
76.0%
B/E move
18.5%
Puts
Pseudo strike
68.98
IV
81.5%
B/E move
13.7%

35Δ

Calls
Pseudo strike
84.52
IV
78.2%
B/E move
16.5%
Puts
Pseudo strike
71.23
IV
81.3%
B/E move
11.9%

40Δ

Calls
Pseudo strike
82.64
IV
82.9%
B/E move
15.2%
Puts
Pseudo strike
73.44
IV
81.9%
B/E move
10.4%

45Δ

Calls
Pseudo strike
80.44
IV
85.7%
B/E move
13.6%
Puts
Pseudo strike
75.69
IV
84.2%
B/E move
9.2%

50Δ

Calls
Pseudo strike
78.13
IV
87.4%
B/E move
11.9%
Puts
Pseudo strike
78.07
IV
86.1%
B/E move
8.1%

55Δ

Calls
Pseudo strike
75.73
IV
85.6%
B/E move
9.9%
Puts
Pseudo strike
80.49
IV
86.1%
B/E move
6.8%

60Δ

Calls
Pseudo strike
73.43
IV
83.7%
B/E move
8.1%
Puts
Pseudo strike
82.79
IV
84.3%
B/E move
5.6%

65Δ

Calls
Pseudo strike
71.38
IV
79.0%
B/E move
6.3%
Puts
Pseudo strike
84.55
IV
78.4%
B/E move
4.3%

70Δ

Calls
Pseudo strike
69.23
IV
76.6%
B/E move
4.9%
Puts
Pseudo strike
87.33
IV
79.0%
B/E move
3.4%

75Δ

Calls
Pseudo strike
66.48
IV
83.3%
B/E move
4.2%
Puts
Pseudo strike
89.67
IV
76.2%
B/E move
2.5%

80Δ

Calls
Pseudo strike
64.31
IV
80.5%
B/E move
3.2%
Puts
Pseudo strike
96.07
IV
87.1%
B/E move
2.1%

Options history

No recorded observations