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OneSpan Inc. Common Stock OSPN

TECHNOLOGY · SOFTWARE - INFRASTRUCTURE
i

Market dataready · fetched 2026-11-14T02:11:24.228Z

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 · 2026-11-13T21:03:43.880173432Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-14T02:11:23.852979+00:00

Share price$22.32
1D-1.3%
AH$21.88$22.08$22.28$22.48$22.675:30 AM6:30 AM9:00 AM1:00 PM2:00 PMOSPN
Sold putSold callAH

OneSpan Inc. Common Stock options

Live interpolated OSPN call and put midpoint premiums by absolute delta.OneSpan Inc. Common Stock$0.21$0.98$1.75$2.51$3.28$19.60$21.06$22.51$23.97$25.4320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive OSPN spot · $22.32OSPN PRICE$0.29$0.39$0.49$0.59$0.69$0.79$0.91$1.24$1.56$1.88$2.20$2.53$3.06$0.38$0.45$0.52$0.59$0.66$0.73$0.80$0.96$1.19$1.41$1.63$1.85$2.07
PutsExpensive1.07×
CallsExpensive1.31×
SkewBullish-12.74 pp
Implied moveBullish±$1.71
TiltBullish11.3% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ24.3364.7%10.3%20.02104.0%12.0%
25Δ24.0166.8%9.3%20.4197.1%10.6%
30Δ23.7068.9%8.4%20.8090.2%9.2%
35Δ23.3971.0%7.5%21.1983.2%7.7%
40Δ23.0873.2%6.5%21.5876.3%6.3%
45Δ22.7775.3%5.6%21.9769.4%4.9%
50Δ22.4577.8%4.7%22.3662.4%3.4%
55Δ22.0383.4%4.2%22.6959.2%2.7%
60Δ21.6089.0%3.8%22.9858.1%2.3%
65Δ21.1894.6%3.3%23.2857.0%2.0%
70Δ20.75100.2%2.8%23.5756.0%1.7%
75Δ20.33105.8%2.4%23.8754.9%1.4%
80Δ19.70116.7%2.0%24.1653.8%1.0%

20Δ

Calls
Pseudo strike
24.33
IV
64.7%
B/E move
10.3%
Puts
Pseudo strike
20.02
IV
104.0%
B/E move
12.0%

25Δ

Calls
Pseudo strike
24.01
IV
66.8%
B/E move
9.3%
Puts
Pseudo strike
20.41
IV
97.1%
B/E move
10.6%

30Δ

Calls
Pseudo strike
23.70
IV
68.9%
B/E move
8.4%
Puts
Pseudo strike
20.80
IV
90.2%
B/E move
9.2%

35Δ

Calls
Pseudo strike
23.39
IV
71.0%
B/E move
7.5%
Puts
Pseudo strike
21.19
IV
83.2%
B/E move
7.7%

40Δ

Calls
Pseudo strike
23.08
IV
73.2%
B/E move
6.5%
Puts
Pseudo strike
21.58
IV
76.3%
B/E move
6.3%

45Δ

Calls
Pseudo strike
22.77
IV
75.3%
B/E move
5.6%
Puts
Pseudo strike
21.97
IV
69.4%
B/E move
4.9%

50Δ

Calls
Pseudo strike
22.45
IV
77.8%
B/E move
4.7%
Puts
Pseudo strike
22.36
IV
62.4%
B/E move
3.4%

55Δ

Calls
Pseudo strike
22.03
IV
83.4%
B/E move
4.2%
Puts
Pseudo strike
22.69
IV
59.2%
B/E move
2.7%

60Δ

Calls
Pseudo strike
21.60
IV
89.0%
B/E move
3.8%
Puts
Pseudo strike
22.98
IV
58.1%
B/E move
2.3%

65Δ

Calls
Pseudo strike
21.18
IV
94.6%
B/E move
3.3%
Puts
Pseudo strike
23.28
IV
57.0%
B/E move
2.0%

70Δ

Calls
Pseudo strike
20.75
IV
100.2%
B/E move
2.8%
Puts
Pseudo strike
23.57
IV
56.0%
B/E move
1.7%

75Δ

Calls
Pseudo strike
20.33
IV
105.8%
B/E move
2.4%
Puts
Pseudo strike
23.87
IV
54.9%
B/E move
1.4%

80Δ

Calls
Pseudo strike
19.70
IV
116.7%
B/E move
2.0%
Puts
Pseudo strike
24.16
IV
53.8%
B/E move
1.0%

Options history

IV · four-Friday blend56.12%
Daily EOD
OSPN51.2%58.1%65.0%2026-10-19: 52.52%2026-10-20: 52.79%2026-10-21: 53.08%2026-10-22: 52.10%2026-10-23: 59.56%2026-10-26: 61.09%2026-10-27: 61.22%2026-10-28: 62.46%2026-10-29: 64.01%2026-10-30: 56.12%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
52.52%
52.79%
53.08%
52.10%
59.56%
61.09%
61.22%
62.46%
64.01%
56.12%