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Orchestra BioMed Holdings, Inc. Ordinary Shares OBIO

i

Market dataready · fetched 2026-11-12T04:07:35.632Z

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 · 2026-11-11T21:00:00.856503195Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-12T04:07:35.268983+00:00

Share price$6.01
1D+3.6%
AH$5.68$5.85$6.02$6.18$6.355:30 AM6:30 AM9:00 AM1:00 PM2:00 PMOBIO
Sold putSold callAH

Orchestra BioMed Holdings, Inc. Ordinary Shares options

Live interpolated OBIO call and put midpoint premiums by absolute delta.Orchestra BioMed Holdings, Inc. Ordinary Shares$0.64$1.48$2.32$3.17$4.01$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —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 —40Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —55Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICEOBIO PRICE$0.73$0.80$0.87$0.94$1.01$0.95$1.19$1.44$1.69$1.93$2.18$2.43$2.65$2.88$3.10$3.32$3.54$3.77
PutsExpensive2.68×
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ3.84582.1%51.8%
25Δ4.42554.2%46.2%
30Δ5.00526.3%40.7%
35Δ5.58498.3%35.1%
40Δ6.16470.4%29.6%
45Δ6.74442.4%24.0%
50Δ7.32414.5%18.5%
55Δ7.74390.5%15.4%
60Δ5.91119.6%10.4%8.09368.2%13.3%
65Δ5.73119.3%8.7%8.44345.8%11.2%
70Δ5.56119.1%7.0%8.78323.5%9.1%
75Δ5.39118.8%5.3%9.13301.2%7.0%
80Δ5.21118.6%3.6%9.48278.9%5.0%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.84
IV
582.1%
B/E move
51.8%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.42
IV
554.2%
B/E move
46.2%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.00
IV
526.3%
B/E move
40.7%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.58
IV
498.3%
B/E move
35.1%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.16
IV
470.4%
B/E move
29.6%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.74
IV
442.4%
B/E move
24.0%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
7.32
IV
414.5%
B/E move
18.5%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
7.74
IV
390.5%
B/E move
15.4%

60Δ

Calls
Pseudo strike
5.91
IV
119.6%
B/E move
10.4%
Puts
Pseudo strike
8.09
IV
368.2%
B/E move
13.3%

65Δ

Calls
Pseudo strike
5.73
IV
119.3%
B/E move
8.7%
Puts
Pseudo strike
8.44
IV
345.8%
B/E move
11.2%

70Δ

Calls
Pseudo strike
5.56
IV
119.1%
B/E move
7.0%
Puts
Pseudo strike
8.78
IV
323.5%
B/E move
9.1%

75Δ

Calls
Pseudo strike
5.39
IV
118.8%
B/E move
5.3%
Puts
Pseudo strike
9.13
IV
301.2%
B/E move
7.0%

80Δ

Calls
Pseudo strike
5.21
IV
118.6%
B/E move
3.6%
Puts
Pseudo strike
9.48
IV
278.9%
B/E move
5.0%

Options history

IV · four-Friday blend125.35%
Daily EOD
OBIO125.2%125.3%125.5%2026-10-22: 125.35%Oct 22
1 observations2026-10-22 — 2026-10-22
Table
DateIV (%)
125.35%