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Stepan Co. SCL

BASIC MATERIALS · SPECIALTY CHEMICALS
i

Market dataready · fetched 2026-11-12T01:59:56.096Z

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 · 2026-11-12T00:00:00.002002769Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T01:59:55.677775+00:00

Share price$65.94
1D-1.6%
AH$64.61$65.26$65.91$66.56$67.205:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSCL
Sold putSold callAH

Stepan Co. options

Live interpolated SCL call and put midpoint premiums by absolute delta.Stepan Co.$2.38$2.85$3.32$3.79$4.25$55.90$60.07$64.24$68.41$72.5820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive SCL spot · $65.94SCL PRICE$2.45$2.43$2.50$2.57$2.64$2.45$2.45$2.45$2.45$2.45$2.57$2.79$3.01$3.23$3.45$3.68$3.90$4.12
PutsExpensive1.60×
Calls——
Skew——
Implied moveBearish±$5.36
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ53.83187.5%22.1%
25Δ83.54184.5%30.4%57.93146.2%15.9%
30Δ60.75117.5%11.6%
35Δ62.4799.1%9.0%
40Δ69.4692.5%9.0%64.2080.8%6.4%
45Δ68.2882.0%7.4%65.3270.0%4.8%
50Δ67.1171.5%5.7%65.9265.7%4.3%
55Δ65.9361.0%4.0%66.5261.4%3.7%
60Δ67.1257.1%3.1%
65Δ67.7252.8%2.5%
70Δ68.3148.6%2.0%
75Δ68.9144.3%1.4%
80Δ69.5140.0%0.8%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
53.83
IV
187.5%
B/E move
22.1%

25Δ

Calls
Pseudo strike
83.54
IV
184.5%
B/E move
30.4%
Puts
Pseudo strike
57.93
IV
146.2%
B/E move
15.9%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
60.75
IV
117.5%
B/E move
11.6%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
62.47
IV
99.1%
B/E move
9.0%

40Δ

Calls
Pseudo strike
69.46
IV
92.5%
B/E move
9.0%
Puts
Pseudo strike
64.20
IV
80.8%
B/E move
6.4%

45Δ

Calls
Pseudo strike
68.28
IV
82.0%
B/E move
7.4%
Puts
Pseudo strike
65.32
IV
70.0%
B/E move
4.8%

50Δ

Calls
Pseudo strike
67.11
IV
71.5%
B/E move
5.7%
Puts
Pseudo strike
65.92
IV
65.7%
B/E move
4.3%

55Δ

Calls
Pseudo strike
65.93
IV
61.0%
B/E move
4.0%
Puts
Pseudo strike
66.52
IV
61.4%
B/E move
3.7%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
67.12
IV
57.1%
B/E move
3.1%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
67.72
IV
52.8%
B/E move
2.5%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
68.31
IV
48.6%
B/E move
2.0%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
68.91
IV
44.3%
B/E move
1.4%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
69.51
IV
40.0%
B/E move
0.8%

Options history

IV · four-Friday blend29.91%
Daily EOD
SCL29.4%32.8%36.1%2026-10-19: 35.68%2026-10-20: 35.29%2026-10-21: 33.58%2026-10-22: 33.35%2026-10-23: 34.14%2026-10-26: 35.09%2026-10-27: 33.41%2026-10-29: 31.22%2026-10-30: 29.91%Oct 19Oct 23Oct 30
9 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
35.68%
35.29%
33.58%
33.35%
34.14%
35.09%
33.41%
31.22%
29.91%