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Regeneron Pharmaceuticals, Inc. Common Stock REGN

i

Market datapartial · fetched 2026-11-05T22:17:23.819Z

Delta surfaceAlpaca · derived absolute-delta buckets ·

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 · 2026-11-05T21:46:12.431968705Z

FundamentalsAlpha Vantage · unavailable

Share price$899.99
1D-4.8%
AH$896$910$924$937$9515:30 AM6:30 AM9:00 AM1:00 PM2:00 PMREGN
Sold putSold callAH

Regeneron Pharmaceuticals, Inc. Common Stock options

Live interpolated REGN call and put midpoint premiums by absolute delta.Regeneron Pharmaceuticals, Inc. Common Stock$0.00$0.27$0.54$0.81$1.08$-0.90$-0.20$0.50$1.20$1.9020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —35Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —40Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —45Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —50Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —55Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —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 PRICEREGN PRICE
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ
40Δ
45Δ
50Δ
55Δ
60Δ
65Δ
70Δ
75Δ
80Δ

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
IV
B/E move

30Δ

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

35Δ

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

40Δ

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

45Δ

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

50Δ

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

55Δ

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

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 blend34.78%
Daily close
REGN21.4%42.0%62.6%2026-08-07: 28.33%2026-08-10: 28.93%2026-08-11: 28.13%2026-08-12: 26.55%2026-08-13: 27.95%2026-08-14: 25.90%2026-08-17: 26.49%2026-08-18: 26.77%2026-08-19: 30.20%2026-08-20: 29.93%2026-08-21: 26.82%2026-08-24: 27.53%2026-08-25: 26.33%2026-08-26: 27.68%2026-08-27: 28.36%2026-08-28: 24.20%2026-08-31: 25.75%2026-09-01: 25.54%2026-09-02: 27.19%2026-09-03: 27.82%2026-09-04: 26.62%2026-09-08: 30.00%2026-09-09: 29.81%2026-09-10: 29.72%2026-09-11: 27.80%2026-09-14: 29.73%2026-09-15: 30.77%2026-09-16: 29.99%2026-09-17: 29.25%2026-09-18: 26.83%2026-09-21: 28.63%2026-09-22: 27.98%2026-09-23: 29.12%2026-09-24: 30.84%2026-09-25: 27.89%2026-09-28: 30.22%2026-09-29: 29.56%2026-09-30: 30.33%2026-10-01: 32.31%2026-10-02: 29.06%2026-10-05: 30.83%2026-10-06: 30.63%2026-10-07: 32.53%2026-10-08: 33.65%2026-10-09: 31.37%2026-10-12: 34.12%2026-10-13: 35.02%2026-10-14: 36.73%2026-10-15: 37.58%2026-10-16: 38.23%2026-10-19: 38.82%2026-10-20: 38.26%2026-10-21: 39.71%2026-10-22: 43.52%2026-10-23: 43.02%2026-10-26: 46.80%2026-10-27: 48.60%2026-10-28: 52.35%2026-10-29: 59.73%2026-10-30: 34.78%Aug 7Sep 18Oct 30
60 observations2026-08-07 — 2026-10-30
Table
DateIV (%)
28.33%
28.93%
28.13%
26.55%
27.95%
25.90%
26.49%
26.77%
30.20%
29.93%
26.82%
27.53%
26.33%
27.68%
28.36%
24.20%
25.75%
25.54%
27.19%
27.82%
26.62%
30.00%
29.81%
29.72%
27.80%
29.73%
30.77%
29.99%
29.25%
26.83%
28.63%
27.98%
29.12%
30.84%
27.89%
30.22%
29.56%
30.33%
32.31%
29.06%
30.83%
30.63%
32.53%
33.65%
31.37%
34.12%
35.02%
36.73%
37.58%
38.23%
38.82%
38.26%
39.71%
43.52%
43.02%
46.80%
48.60%
52.35%
59.73%
34.78%