IntraAlpha
Create free account Start free

NRX Pharmaceuticals Inc NRXP

HEALTHCARE · BIOTECHNOLOGY
i

Market dataready · fetched 2026-10-22T18:28:46.740Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-12-18

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 · 2026-10-22T18:28:34.087420497Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-10-22T18:28:45.812866+00:00

Share price$2.44
1D-6.2%
$2.42$2.47$2.52$2.57$2.625:30 AM6:30 AM9:00 AM1:00 PMNRXP
Sold putSold call

NRX Pharmaceuticals Inc options

Live interpolated NRXP call and put midpoint premiums by absolute delta.NRX Pharmaceuticals Inc$0.08$1.04$1.99$2.94$3.90$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICENRXP PRICE$0.19$0.26$0.33$0.40$0.47$0.54$0.61$0.68$3.62
PutsExpensive1.71×
CallsExpensive1.89×
SkewBullish-7.62 pp
Implied move——
TiltBearish2.0% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ4.94172.8%110.4%
30Δ4.64176.8%100.7%
35Δ4.33180.7%91.0%
40Δ4.02184.7%81.3%
45Δ3.72188.6%71.6%
50Δ3.41192.6%61.9%
55Δ3.10196.5%52.3%
60Δ2.80200.5%42.6%
65Δ
70Δ
75Δ
80Δ5.96179.0%4.2%

20Δ

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

25Δ

Calls
Pseudo strike
4.94
IV
172.8%
B/E move
110.4%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
4.64
IV
176.8%
B/E move
100.7%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
4.33
IV
180.7%
B/E move
91.0%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
4.02
IV
184.7%
B/E move
81.3%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
3.72
IV
188.6%
B/E move
71.6%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
3.41
IV
192.6%
B/E move
61.9%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
3.10
IV
196.5%
B/E move
52.3%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
2.80
IV
200.5%
B/E move
42.6%
Puts
Pseudo strike
IV
B/E move

65Δ

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

70Δ

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

75Δ

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

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.96
IV
179.0%
B/E move
4.2%

Options history

No recorded observations