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Neogen Corporation Common Stock NEOG

HEALTHCARE · MEDICAL DEVICES
i

Market dataready · fetched 2026-11-12T03:23:29.631Z

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 · 2026-11-11T21:00:01.561276077Z

FundamentalsAlpha Vantage · ready · quarter 2026-08-31 · fetched 2026-11-12T03:18:18.269124+00:00

Share price$11.60
1D-1.5%
AH$11.58$11.64$11.71$11.77$11.835:30 AM6:30 AM9:00 AM1:00 PM2:00 PMNEOG
Sold putSold callAH

Neogen Corporation Common Stock options

Live interpolated NEOG call and put midpoint premiums by absolute delta.Neogen Corporation Common Stock$0.18$0.55$0.92$1.29$1.65$9.37$10.45$11.53$12.61$13.6920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ25Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive NEOG spot · $11.60NEOG PRICE$0.38$0.26$0.39$0.52$0.65$0.78$0.90$1.03$1.16$1.29$1.42$1.55$0.22$0.28$0.34$0.41$0.47$0.53$0.59$0.65$0.71$0.77$0.83$0.89$0.95
PutsCheap0.76×
Calls——
Skew——
Implied moveBullish±$1.36
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ16.54221.2%45.9%10.15103.1%14.4%
25Δ10.3498.7%13.3%
30Δ12.4879.6%9.8%10.5394.4%12.2%
35Δ12.2680.6%9.1%10.7290.1%11.1%
40Δ12.0481.5%8.3%10.9185.8%10.0%
45Δ11.8382.5%7.5%11.1081.5%8.8%
50Δ11.6183.4%6.8%11.2977.2%7.7%
55Δ11.3984.4%6.0%11.4872.8%6.6%
60Δ11.1785.3%5.2%11.6768.5%5.5%
65Δ10.9686.3%4.5%11.8664.2%4.4%
70Δ10.7487.3%3.7%12.0559.9%3.3%
75Δ10.5288.2%2.9%12.2455.6%2.1%
80Δ10.3089.2%2.1%12.4351.3%1.0%

20Δ

Calls
Pseudo strike
16.54
IV
221.2%
B/E move
45.9%
Puts
Pseudo strike
10.15
IV
103.1%
B/E move
14.4%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
10.34
IV
98.7%
B/E move
13.3%

30Δ

Calls
Pseudo strike
12.48
IV
79.6%
B/E move
9.8%
Puts
Pseudo strike
10.53
IV
94.4%
B/E move
12.2%

35Δ

Calls
Pseudo strike
12.26
IV
80.6%
B/E move
9.1%
Puts
Pseudo strike
10.72
IV
90.1%
B/E move
11.1%

40Δ

Calls
Pseudo strike
12.04
IV
81.5%
B/E move
8.3%
Puts
Pseudo strike
10.91
IV
85.8%
B/E move
10.0%

45Δ

Calls
Pseudo strike
11.83
IV
82.5%
B/E move
7.5%
Puts
Pseudo strike
11.10
IV
81.5%
B/E move
8.8%

50Δ

Calls
Pseudo strike
11.61
IV
83.4%
B/E move
6.8%
Puts
Pseudo strike
11.29
IV
77.2%
B/E move
7.7%

55Δ

Calls
Pseudo strike
11.39
IV
84.4%
B/E move
6.0%
Puts
Pseudo strike
11.48
IV
72.8%
B/E move
6.6%

60Δ

Calls
Pseudo strike
11.17
IV
85.3%
B/E move
5.2%
Puts
Pseudo strike
11.67
IV
68.5%
B/E move
5.5%

65Δ

Calls
Pseudo strike
10.96
IV
86.3%
B/E move
4.5%
Puts
Pseudo strike
11.86
IV
64.2%
B/E move
4.4%

70Δ

Calls
Pseudo strike
10.74
IV
87.3%
B/E move
3.7%
Puts
Pseudo strike
12.05
IV
59.9%
B/E move
3.3%

75Δ

Calls
Pseudo strike
10.52
IV
88.2%
B/E move
2.9%
Puts
Pseudo strike
12.24
IV
55.6%
B/E move
2.1%

80Δ

Calls
Pseudo strike
10.30
IV
89.2%
B/E move
2.1%
Puts
Pseudo strike
12.43
IV
51.3%
B/E move
1.0%

Options history

IV · four-Friday blend48.88%
Daily EOD
NEOG47.6%49.2%50.8%2026-10-26: 47.78%2026-10-27: 49.07%2026-10-28: 50.61%2026-10-29: 48.88%Oct 26Oct 27Oct 29
4 observations2026-10-26 — 2026-10-29
Table
DateIV (%)
47.78%
49.07%
50.61%
48.88%