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Novavax, Inc. Common Stock NVAX

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Market dataready · fetched 2026-11-10T22:27:41.250Z

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 · 2026-11-10T21:51:53.643471626Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-10T22:27:40.782229+00:00

Share price$10.13
1D-5.4%
AH$10.02$10.23$10.43$10.63$10.835:30 AM6:30 AM9:00 AM1:00 PM2:00 PMNVAX
Sold putSold callAH

Novavax, Inc. Common Stock options

Live interpolated NVAX call and put midpoint premiums by absolute delta.Novavax, Inc. Common Stock$0.07$0.57$1.07$1.56$2.06$9.12$9.68$10.24$10.81$11.3720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive NVAX spot · $10.13NVAX PRICE$0.26$0.32$0.37$0.42$0.50$0.60$0.70$1.72$1.92$0.13$0.15$0.17$0.19$0.21$0.24$0.27$0.30$0.32$0.35
Puts——
Calls——
Skew——
Implied moveBullish±$0.61
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ9.5989.6%6.5%
30Δ9.7282.8%5.4%
35Δ9.8676.1%4.3%
40Δ10.42103.8%5.5%9.9969.4%3.2%
45Δ10.30103.7%4.8%10.0565.9%2.8%
50Δ10.18103.6%4.2%10.1262.8%2.5%
55Δ10.06103.5%3.5%10.1859.7%2.1%
60Δ9.92105.3%2.9%10.2456.7%1.8%
65Δ9.78108.9%2.5%10.3053.6%1.5%
70Δ9.64112.4%2.1%10.3650.5%1.1%
75Δ8.84276.0%4.3%
80Δ8.52267.7%3.1%

20Δ

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

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
9.59
IV
89.6%
B/E move
6.5%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
9.72
IV
82.8%
B/E move
5.4%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
9.86
IV
76.1%
B/E move
4.3%

40Δ

Calls
Pseudo strike
10.42
IV
103.8%
B/E move
5.5%
Puts
Pseudo strike
9.99
IV
69.4%
B/E move
3.2%

45Δ

Calls
Pseudo strike
10.30
IV
103.7%
B/E move
4.8%
Puts
Pseudo strike
10.05
IV
65.9%
B/E move
2.8%

50Δ

Calls
Pseudo strike
10.18
IV
103.6%
B/E move
4.2%
Puts
Pseudo strike
10.12
IV
62.8%
B/E move
2.5%

55Δ

Calls
Pseudo strike
10.06
IV
103.5%
B/E move
3.5%
Puts
Pseudo strike
10.18
IV
59.7%
B/E move
2.1%

60Δ

Calls
Pseudo strike
9.92
IV
105.3%
B/E move
2.9%
Puts
Pseudo strike
10.24
IV
56.7%
B/E move
1.8%

65Δ

Calls
Pseudo strike
9.78
IV
108.9%
B/E move
2.5%
Puts
Pseudo strike
10.30
IV
53.6%
B/E move
1.5%

70Δ

Calls
Pseudo strike
9.64
IV
112.4%
B/E move
2.1%
Puts
Pseudo strike
10.36
IV
50.5%
B/E move
1.1%

75Δ

Calls
Pseudo strike
8.84
IV
276.0%
B/E move
4.3%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
8.52
IV
267.7%
B/E move
3.1%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend107.76%
Daily close
NVAX48.5%97.2%145.8%2026-08-12: 87.31%2026-08-14: 100.18%2026-08-17: 74.65%2026-08-18: 55.19%2026-08-19: 93.00%2026-08-20: 84.23%2026-08-21: 71.37%2026-08-24: 85.23%2026-08-25: 84.26%2026-08-26: 78.05%2026-08-27: 108.40%2026-08-28: 70.90%2026-08-31: 74.76%2026-09-01: 101.37%2026-09-02: 97.14%2026-09-03: 84.82%2026-09-04: 72.93%2026-09-08: 88.05%2026-09-09: 81.94%2026-09-10: 77.13%2026-09-11: 74.84%2026-09-14: 96.13%2026-09-15: 81.57%2026-09-16: 70.57%2026-09-17: 80.56%2026-09-18: 109.66%2026-09-21: 89.30%2026-09-22: 102.52%2026-09-23: 91.79%2026-09-24: 123.91%2026-09-25: 68.01%2026-09-28: 76.89%2026-09-29: 76.12%2026-09-30: 90.83%2026-10-01: 139.12%2026-10-02: 63.93%2026-10-05: 131.14%2026-10-06: 98.10%2026-10-07: 86.37%2026-10-08: 82.11%2026-10-09: 102.04%2026-10-12: 97.49%2026-10-13: 95.71%2026-10-14: 99.73%2026-10-15: 90.60%2026-10-16: 86.37%2026-10-19: 85.14%2026-10-20: 101.24%2026-10-21: 101.42%2026-10-22: 105.88%2026-10-23: 102.77%2026-10-26: 110.63%2026-10-27: 111.98%2026-10-28: 105.87%2026-10-29: 103.64%2026-10-30: 107.76%Aug 12Sep 22Oct 30
56 observations2026-08-12 — 2026-10-30
Table
DateIV (%)
87.31%
100.18%
74.65%
55.19%
93.00%
84.23%
71.37%
85.23%
84.26%
78.05%
108.40%
70.90%
74.76%
101.37%
97.14%
84.82%
72.93%
88.05%
81.94%
77.13%
74.84%
96.13%
81.57%
70.57%
80.56%
109.66%
89.30%
102.52%
91.79%
123.91%
68.01%
76.89%
76.12%
90.83%
139.12%
63.93%
131.14%
98.10%
86.37%
82.11%
102.04%
97.49%
95.71%
99.73%
90.60%
86.37%
85.14%
101.24%
101.42%
105.88%
102.77%
110.63%
111.98%
105.87%
103.64%
107.76%