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PolyPid Ltd. Ordinary Shares PYPD

HEALTHCARE · BIOTECHNOLOGY
i

Market dataready · fetched 2026-11-11T15:53:01.003Z

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 · 2026-11-11T15:51:52.527919009Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-11T15:53:00.600202+00:00

Share price$6.63
1D+5.2%
$6.12$6.34$6.56$6.79$7.015:30 AM6:30 AM9:00 AM1:00 PMPYPD
Sold putSold call

PolyPid Ltd. Ordinary Shares options

Live interpolated PYPD call and put midpoint premiums by absolute delta.PolyPid Ltd. Ordinary Shares$0.20$0.48$0.77$1.05$1.34$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ35Δ 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 —60Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —65Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —70Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —75Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICEPYPD PRICE$0.23$0.24$0.25$0.34$0.47$0.60$0.73$0.86$1.00$1.13$1.26
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ9.80232.8%51.4%5.20223.3%26.7%
25Δ8.78187.8%36.2%5.49220.1%24.3%
30Δ7.77142.7%21.0%5.78217.0%21.8%
35Δ6.07213.9%19.4%
40Δ6.36210.7%17.0%
45Δ6.66207.6%14.6%
50Δ6.95204.5%12.1%
55Δ7.24201.3%9.7%
60Δ
65Δ
70Δ
75Δ
80Δ

20Δ

Calls
Pseudo strike
9.80
IV
232.8%
B/E move
51.4%
Puts
Pseudo strike
5.20
IV
223.3%
B/E move
26.7%

25Δ

Calls
Pseudo strike
8.78
IV
187.8%
B/E move
36.2%
Puts
Pseudo strike
5.49
IV
220.1%
B/E move
24.3%

30Δ

Calls
Pseudo strike
7.77
IV
142.7%
B/E move
21.0%
Puts
Pseudo strike
5.78
IV
217.0%
B/E move
21.8%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.07
IV
213.9%
B/E move
19.4%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.36
IV
210.7%
B/E move
17.0%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.66
IV
207.6%
B/E move
14.6%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.95
IV
204.5%
B/E move
12.1%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
7.24
IV
201.3%
B/E move
9.7%

60Δ

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

Options history

IV · four-Friday blend162.04%
Daily EOD
PYPD126.5%153.5%180.5%2026-10-20: 133.88%2026-10-21: 130.24%2026-10-22: 145.64%2026-10-26: 176.79%2026-10-27: 162.76%2026-10-28: 160.87%2026-10-30: 162.04%Oct 20Oct 26Oct 30
7 observations2026-10-20 — 2026-10-30
Table
DateIV (%)
133.88%
130.24%
145.64%
176.79%
162.76%
160.87%
162.04%