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Orion S.A. OEC

i

Market dataready · fetched 2026-11-12T02:20:35.723Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2027-04-16

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 · 2026-11-12T00:00:00.00354665Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-12T02:20:34.200113+00:00

Share price$3.99
1D-4.7%
AH$3.96$4.03$4.10$4.17$4.245:30 AM6:30 AM9:00 AM1:00 PM2:00 PMOEC
Sold putSold callAH

Orion S.A. options

Live interpolated OEC call and put midpoint premiums by absolute delta.Orion S.A.$0.22$0.61$1.00$1.38$1.77$1.47$3.34$5.21$7.08$8.9420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive OEC spot · $3.99OEC PRICE$0.27$0.35$0.38$0.40$0.42$0.55$0.71$0.86$1.02$1.18$1.34$1.50$1.66$0.28$0.37$0.45$0.54$0.62$0.71$0.79$0.88$0.96$1.05
Puts——
CallsExpensive1.40×
Skew——
Implied moveBearish±$1.50
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ11.08121.8%184.5%2.8970.2%34.6%
25Δ10.24128.4%165.3%3.1067.9%31.4%
30Δ7.41104.8%95.1%3.3265.6%28.2%
35Δ6.3289.1%68.5%3.5363.3%25.0%
40Δ5.2473.5%41.9%3.7461.0%21.8%
45Δ4.7873.0%33.5%3.9558.7%18.6%
50Δ4.5076.9%30.4%4.1656.4%15.4%
55Δ4.2280.8%27.3%4.3854.1%12.3%
60Δ3.9384.7%24.2%4.5951.8%9.1%
65Δ3.6588.6%21.1%4.8049.5%5.9%
70Δ3.3792.5%18.0%
75Δ3.0996.4%14.9%
80Δ2.80100.3%11.7%

20Δ

Calls
Pseudo strike
11.08
IV
121.8%
B/E move
184.5%
Puts
Pseudo strike
2.89
IV
70.2%
B/E move
34.6%

25Δ

Calls
Pseudo strike
10.24
IV
128.4%
B/E move
165.3%
Puts
Pseudo strike
3.10
IV
67.9%
B/E move
31.4%

30Δ

Calls
Pseudo strike
7.41
IV
104.8%
B/E move
95.1%
Puts
Pseudo strike
3.32
IV
65.6%
B/E move
28.2%

35Δ

Calls
Pseudo strike
6.32
IV
89.1%
B/E move
68.5%
Puts
Pseudo strike
3.53
IV
63.3%
B/E move
25.0%

40Δ

Calls
Pseudo strike
5.24
IV
73.5%
B/E move
41.9%
Puts
Pseudo strike
3.74
IV
61.0%
B/E move
21.8%

45Δ

Calls
Pseudo strike
4.78
IV
73.0%
B/E move
33.5%
Puts
Pseudo strike
3.95
IV
58.7%
B/E move
18.6%

50Δ

Calls
Pseudo strike
4.50
IV
76.9%
B/E move
30.4%
Puts
Pseudo strike
4.16
IV
56.4%
B/E move
15.4%

55Δ

Calls
Pseudo strike
4.22
IV
80.8%
B/E move
27.3%
Puts
Pseudo strike
4.38
IV
54.1%
B/E move
12.3%

60Δ

Calls
Pseudo strike
3.93
IV
84.7%
B/E move
24.2%
Puts
Pseudo strike
4.59
IV
51.8%
B/E move
9.1%

65Δ

Calls
Pseudo strike
3.65
IV
88.6%
B/E move
21.1%
Puts
Pseudo strike
4.80
IV
49.5%
B/E move
5.9%

70Δ

Calls
Pseudo strike
3.37
IV
92.5%
B/E move
18.0%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
3.09
IV
96.4%
B/E move
14.9%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
2.80
IV
100.3%
B/E move
11.7%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend94.07%
Daily EOD
OEC87.6%91.1%94.5%2026-10-22: 88.08%2026-10-23: 94.07%Oct 22Oct 23
2 observations2026-10-22 — 2026-10-23
Table
DateIV (%)
88.08%
94.07%