IntraAlpha
Create free account Start free

Neurogene Inc. Common Stock NGNE

i

Market datapartial · fetched 2026-11-12T02:40:55.369Z

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 · 2026-11-11T21:00:00.338428624Z

FundamentalsAlpha Vantage · unavailable

Share price$25.10
1D-4.3%
AH$24.72$25.12$25.53$25.93$26.345:30 AM6:30 AM9:00 AM1:00 PM2:00 PMNGNE
Sold putSold callAH

Neurogene Inc. Common Stock options

Live interpolated NGNE call and put midpoint premiums by absolute delta.Neurogene Inc. Common Stock$1.94$2.57$3.21$3.84$4.47$20.39$22.76$25.12$27.48$29.8520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive NGNE spot · $25.10NGNE PRICE$2.45$2.09$2.20$2.32$2.44$2.62$2.82$3.02$3.22$3.98$2.45$2.45$2.45$2.01$2.33$2.66$2.99$3.31$3.64$3.97$4.29
Puts——
Calls——
Skew——
Implied moveBalanced±$4.65
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ17.99406.5%38.1%
25Δ20.28322.9%29.0%
30Δ47.24460.5%98.0%21.97265.4%22.2%
35Δ
40Δ29.53230.6%26.0%
45Δ28.08206.2%20.7%25.01133.4%8.4%
50Δ26.63181.8%15.3%25.55127.7%7.5%
55Δ25.18157.5%10.0%26.10122.0%6.6%
60Δ24.47145.3%8.0%26.64116.3%5.7%
65Δ23.88134.7%6.4%27.19110.5%4.9%
70Δ23.28124.2%4.8%27.73104.8%4.0%
75Δ22.68113.6%3.2%28.2899.1%3.1%
80Δ21.71120.4%2.3%28.8293.4%2.3%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
17.99
IV
406.5%
B/E move
38.1%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
20.28
IV
322.9%
B/E move
29.0%

30Δ

Calls
Pseudo strike
47.24
IV
460.5%
B/E move
98.0%
Puts
Pseudo strike
21.97
IV
265.4%
B/E move
22.2%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
29.53
IV
230.6%
B/E move
26.0%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
28.08
IV
206.2%
B/E move
20.7%
Puts
Pseudo strike
25.01
IV
133.4%
B/E move
8.4%

50Δ

Calls
Pseudo strike
26.63
IV
181.8%
B/E move
15.3%
Puts
Pseudo strike
25.55
IV
127.7%
B/E move
7.5%

55Δ

Calls
Pseudo strike
25.18
IV
157.5%
B/E move
10.0%
Puts
Pseudo strike
26.10
IV
122.0%
B/E move
6.6%

60Δ

Calls
Pseudo strike
24.47
IV
145.3%
B/E move
8.0%
Puts
Pseudo strike
26.64
IV
116.3%
B/E move
5.7%

65Δ

Calls
Pseudo strike
23.88
IV
134.7%
B/E move
6.4%
Puts
Pseudo strike
27.19
IV
110.5%
B/E move
4.9%

70Δ

Calls
Pseudo strike
23.28
IV
124.2%
B/E move
4.8%
Puts
Pseudo strike
27.73
IV
104.8%
B/E move
4.0%

75Δ

Calls
Pseudo strike
22.68
IV
113.6%
B/E move
3.2%
Puts
Pseudo strike
28.28
IV
99.1%
B/E move
3.1%

80Δ

Calls
Pseudo strike
21.71
IV
120.4%
B/E move
2.3%
Puts
Pseudo strike
28.82
IV
93.4%
B/E move
2.3%

Options history

IV · four-Friday blend95.95%
Daily EOD
NGNE89.1%94.7%100.4%2026-10-19: 91.31%2026-10-20: 97.01%2026-10-21: 94.24%2026-10-22: 93.31%2026-10-23: 96.91%2026-10-26: 97.01%2026-10-27: 99.59%2026-10-28: 89.90%2026-10-29: 94.00%2026-10-30: 95.95%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
91.31%
97.01%
94.24%
93.31%
96.91%
97.01%
99.59%
89.90%
94.00%
95.95%