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Moderna, Inc. Common Stock MRNA

HEALTHCARE · BIOTECHNOLOGY
i

Market dataready · fetched 2026-11-11T04:22:15.611Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-11T00:59:39.153430768Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-10T00:12:00.739328+00:00

Earnings observationsAlpha Vantage · collected 2026-11-10T00:11:48.761378+00:00

Share price$252.90
1D-4.9%
AH$249$254$259$264$2695:30 AM6:30 AM9:00 AM1:00 PM2:00 PMMRNA
Sold putSold callAH

Moderna, Inc. Common Stock options

Live interpolated MRNA call and put midpoint premiums by absolute delta.Moderna, Inc. Common Stock$1.67$10.56$19.45$28.35$37.24$219.65$236.38$253.12$269.85$286.5920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive MRNA spot · $252.90MRNA PRICE$2.63$3.40$4.41$5.34$6.38$7.57$8.94$10.23$11.82$13.84$15.16$17.75$19.15$3.24$4.19$5.53$6.95$8.56$10.17$11.91$13.96$16.71$18.69$21.24$27.42$34.68
PutsExpensive1.54×
CallsExpensive1.41×
SkewBearish+20.88 pp
Implied moveBearish±$20.84
TiltBearish18.3% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ275.93107.5%10.1%232.18120.2%9.5%
25Δ270.86104.2%8.4%236.93116.1%8.0%
30Δ267.33106.3%7.5%240.42119.5%7.1%
35Δ263.45103.6%6.3%243.96120.9%6.3%
40Δ260.17102.9%5.4%247.48122.7%5.5%
45Δ257.06102.7%4.6%251.02122.1%4.8%
50Δ254.11103.4%4.0%254.51121.2%4.1%
55Δ251.13101.7%3.3%258.07121.5%3.5%
60Δ248.19101.7%2.8%262.04124.9%3.0%
65Δ245.05103.9%2.4%265.50121.0%2.4%
70Δ242.3498.8%1.8%269.30119.2%1.9%
75Δ238.86100.8%1.5%276.16131.6%1.6%
80Δ236.3693.9%1.0%284.25141.8%1.3%

20Δ

Calls
Pseudo strike
275.93
IV
107.5%
B/E move
10.1%
Puts
Pseudo strike
232.18
IV
120.2%
B/E move
9.5%

25Δ

Calls
Pseudo strike
270.86
IV
104.2%
B/E move
8.4%
Puts
Pseudo strike
236.93
IV
116.1%
B/E move
8.0%

30Δ

Calls
Pseudo strike
267.33
IV
106.3%
B/E move
7.5%
Puts
Pseudo strike
240.42
IV
119.5%
B/E move
7.1%

35Δ

Calls
Pseudo strike
263.45
IV
103.6%
B/E move
6.3%
Puts
Pseudo strike
243.96
IV
120.9%
B/E move
6.3%

40Δ

Calls
Pseudo strike
260.17
IV
102.9%
B/E move
5.4%
Puts
Pseudo strike
247.48
IV
122.7%
B/E move
5.5%

45Δ

Calls
Pseudo strike
257.06
IV
102.7%
B/E move
4.6%
Puts
Pseudo strike
251.02
IV
122.1%
B/E move
4.8%

50Δ

Calls
Pseudo strike
254.11
IV
103.4%
B/E move
4.0%
Puts
Pseudo strike
254.51
IV
121.2%
B/E move
4.1%

55Δ

Calls
Pseudo strike
251.13
IV
101.7%
B/E move
3.3%
Puts
Pseudo strike
258.07
IV
121.5%
B/E move
3.5%

60Δ

Calls
Pseudo strike
248.19
IV
101.7%
B/E move
2.8%
Puts
Pseudo strike
262.04
IV
124.9%
B/E move
3.0%

65Δ

Calls
Pseudo strike
245.05
IV
103.9%
B/E move
2.4%
Puts
Pseudo strike
265.50
IV
121.0%
B/E move
2.4%

70Δ

Calls
Pseudo strike
242.34
IV
98.8%
B/E move
1.8%
Puts
Pseudo strike
269.30
IV
119.2%
B/E move
1.9%

75Δ

Calls
Pseudo strike
238.86
IV
100.8%
B/E move
1.5%
Puts
Pseudo strike
276.16
IV
131.6%
B/E move
1.6%

80Δ

Calls
Pseudo strike
236.36
IV
93.9%
B/E move
1.0%
Puts
Pseudo strike
284.25
IV
141.8%
B/E move
1.3%

Options history

IV · four-Friday blend99.10%
Daily close
MRNA52.7%128.6%204.5%2026-08-12: 68.76%2026-08-13: 67.51%2026-08-14: 65.08%2026-08-17: 68.47%2026-08-18: 68.44%2026-08-19: 194.02%2026-08-20: 146.95%2026-08-21: 110.44%2026-08-24: 105.46%2026-08-25: 109.65%2026-08-26: 89.52%2026-08-27: 81.09%2026-08-28: 72.50%2026-08-31: 81.80%2026-09-01: 87.44%2026-09-02: 80.67%2026-09-03: 78.62%2026-09-04: 70.14%2026-09-08: 74.38%2026-09-09: 70.99%2026-09-10: 67.38%2026-09-11: 69.55%2026-09-14: 77.79%2026-09-15: 75.80%2026-09-16: 76.58%2026-09-17: 78.97%2026-09-18: 63.20%2026-09-21: 80.49%2026-09-22: 78.30%2026-09-23: 78.47%2026-09-24: 84.51%2026-09-25: 79.24%2026-09-28: 81.66%2026-09-29: 83.98%2026-09-30: 82.80%2026-10-01: 81.07%2026-10-02: 82.51%2026-10-05: 89.94%2026-10-06: 90.43%2026-10-07: 88.61%2026-10-08: 93.59%2026-10-09: 102.12%2026-10-12: 100.13%2026-10-13: 103.19%2026-10-14: 108.57%2026-10-15: 112.31%2026-10-16: 117.62%2026-10-19: 131.66%2026-10-20: 131.22%2026-10-21: 133.89%2026-10-22: 116.16%2026-10-23: 102.15%2026-10-26: 93.13%2026-10-27: 99.72%2026-10-28: 96.03%2026-10-29: 93.31%2026-10-30: 92.17%2026-11-03: 102.26%2026-11-09: 99.10%Aug 12Sep 23Nov 9
59 observations2026-08-12 — 2026-11-09
Table
DateIV (%)
68.76%
67.51%
65.08%
68.47%
68.44%
194.02%
146.95%
110.44%
105.46%
109.65%
89.52%
81.09%
72.50%
81.80%
87.44%
80.67%
78.62%
70.14%
74.38%
70.99%
67.38%
69.55%
77.79%
75.80%
76.58%
78.97%
63.20%
80.49%
78.30%
78.47%
84.51%
79.24%
81.66%
83.98%
82.80%
81.07%
82.51%
89.94%
90.43%
88.61%
93.59%
102.12%
100.13%
103.19%
108.57%
112.31%
117.62%
131.66%
131.22%
133.89%
116.16%
102.15%
93.13%
99.72%
96.03%
93.31%
92.17%
102.26%
99.10%