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Regeneron Pharmaceuticals, Inc. Common Stock REGN

i

Market dataready · fetched 2026-11-07T20:39:00.680Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-06T22:52:44.688359346Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-07T20:38:59.938852+00:00

Share price$900.00
1D+1.8%
AH$883$890$898$905$9135:30 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$3.63$19.01$34.39$49.77$65.15$819.96$872.27$924.59$976.91$1029.2220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive REGN spot · $900.00REGN PRICE$5.35$7.12$9.05$11.42$13.74$17.07$20.52$24.44$28.68$33.80$40.39$48.97$60.71$5.29$6.77$8.47$10.33$12.23$14.31$16.47$18.77$21.38$23.62$26.44$28.81$31.29
PutsCheap0.66×
CallsCheap0.77×
SkewBullish-12.86 pp
Implied moveBullish±$36.99
TiltBullish17.8% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ944.3342.6%5.5%863.5640.1%4.6%
25Δ935.6642.5%4.8%872.2038.3%3.8%
30Δ927.9042.3%4.1%879.1137.6%3.3%
35Δ921.4643.3%3.7%885.2437.0%2.8%
40Δ914.6643.1%3.2%891.0036.2%2.4%
45Δ908.6445.1%2.9%896.3435.5%2.0%
50Δ902.1346.2%2.5%901.4434.8%1.7%
55Δ895.3747.4%2.2%906.3833.9%1.4%
60Δ888.2848.1%1.9%911.2033.4%1.1%
65Δ880.6549.3%1.6%915.6832.0%0.9%
70Δ871.8551.3%1.4%920.3231.1%0.7%
75Δ861.2754.4%1.1%924.4129.4%0.5%
80Δ847.6758.7%0.9%928.3427.6%0.3%

20Δ

Calls
Pseudo strike
944.33
IV
42.6%
B/E move
5.5%
Puts
Pseudo strike
863.56
IV
40.1%
B/E move
4.6%

25Δ

Calls
Pseudo strike
935.66
IV
42.5%
B/E move
4.8%
Puts
Pseudo strike
872.20
IV
38.3%
B/E move
3.8%

30Δ

Calls
Pseudo strike
927.90
IV
42.3%
B/E move
4.1%
Puts
Pseudo strike
879.11
IV
37.6%
B/E move
3.3%

35Δ

Calls
Pseudo strike
921.46
IV
43.3%
B/E move
3.7%
Puts
Pseudo strike
885.24
IV
37.0%
B/E move
2.8%

40Δ

Calls
Pseudo strike
914.66
IV
43.1%
B/E move
3.2%
Puts
Pseudo strike
891.00
IV
36.2%
B/E move
2.4%

45Δ

Calls
Pseudo strike
908.64
IV
45.1%
B/E move
2.9%
Puts
Pseudo strike
896.34
IV
35.5%
B/E move
2.0%

50Δ

Calls
Pseudo strike
902.13
IV
46.2%
B/E move
2.5%
Puts
Pseudo strike
901.44
IV
34.8%
B/E move
1.7%

55Δ

Calls
Pseudo strike
895.37
IV
47.4%
B/E move
2.2%
Puts
Pseudo strike
906.38
IV
33.9%
B/E move
1.4%

60Δ

Calls
Pseudo strike
888.28
IV
48.1%
B/E move
1.9%
Puts
Pseudo strike
911.20
IV
33.4%
B/E move
1.1%

65Δ

Calls
Pseudo strike
880.65
IV
49.3%
B/E move
1.6%
Puts
Pseudo strike
915.68
IV
32.0%
B/E move
0.9%

70Δ

Calls
Pseudo strike
871.85
IV
51.3%
B/E move
1.4%
Puts
Pseudo strike
920.32
IV
31.1%
B/E move
0.7%

75Δ

Calls
Pseudo strike
861.27
IV
54.4%
B/E move
1.1%
Puts
Pseudo strike
924.41
IV
29.4%
B/E move
0.5%

80Δ

Calls
Pseudo strike
847.67
IV
58.7%
B/E move
0.9%
Puts
Pseudo strike
928.34
IV
27.6%
B/E move
0.3%

Options history

IV · four-Friday blend34.78%
Daily close
REGN21.4%42.0%62.6%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 10Sep 21Oct 30
59 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
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%