IntraAlpha
Create free account Start free

Septerna, Inc. Common Stock SEPN

HEALTHCARE · BIOTECHNOLOGY
i

Market dataready · fetched 2026-11-13T02:10:09.964Z

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 · 2026-11-12T22:04:44.615545206Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-13T02:10:09.009373+00:00

Share price$41.10
1D-14.3%
AH$41$43$45$47$495:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSEPN
Sold putSold callAH

Septerna, Inc. Common Stock options

Live interpolated SEPN call and put midpoint premiums by absolute delta.Septerna, Inc. Common Stock$1.52$3.42$5.32$7.22$9.11$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICESEPN PRICE$2.45$2.49$2.69$2.99$2.99$3.53$3.98$5.38$6.26$8.57$2.45$2.45$2.45$2.45$2.45$1.73$2.09
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ31.37295.0%29.6%
25Δ34.66230.2%21.6%
30Δ37.03184.7%15.9%
35Δ48.15202.1%23.1%38.68152.8%11.8%
40Δ45.05163.9%15.7%39.92128.2%8.8%
45Δ43.32147.6%11.9%
50Δ42.02139.6%9.5%
55Δ40.86117.6%6.7%
60Δ39.95121.1%5.8%42.0450.7%1.9%
65Δ39.04118.9%4.7%42.5252.2%1.6%
70Δ37.62143.9%4.6%
75Δ36.37146.9%3.7%
80Δ33.98182.7%3.5%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
31.37
IV
295.0%
B/E move
29.6%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
34.66
IV
230.2%
B/E move
21.6%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
37.03
IV
184.7%
B/E move
15.9%

35Δ

Calls
Pseudo strike
48.15
IV
202.1%
B/E move
23.1%
Puts
Pseudo strike
38.68
IV
152.8%
B/E move
11.8%

40Δ

Calls
Pseudo strike
45.05
IV
163.9%
B/E move
15.7%
Puts
Pseudo strike
39.92
IV
128.2%
B/E move
8.8%

45Δ

Calls
Pseudo strike
43.32
IV
147.6%
B/E move
11.9%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
42.02
IV
139.6%
B/E move
9.5%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
40.86
IV
117.6%
B/E move
6.7%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
39.95
IV
121.1%
B/E move
5.8%
Puts
Pseudo strike
42.04
IV
50.7%
B/E move
1.9%

65Δ

Calls
Pseudo strike
39.04
IV
118.9%
B/E move
4.7%
Puts
Pseudo strike
42.52
IV
52.2%
B/E move
1.6%

70Δ

Calls
Pseudo strike
37.62
IV
143.9%
B/E move
4.6%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
36.37
IV
146.9%
B/E move
3.7%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
33.98
IV
182.7%
B/E move
3.5%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend86.62%
Daily EOD
SEPN82.7%85.3%87.9%2026-10-19: 83.53%2026-10-20: 83.85%2026-10-21: 84.98%2026-10-22: 83.07%2026-10-23: 83.90%2026-10-26: 85.41%2026-10-27: 87.58%2026-10-28: 85.50%2026-10-29: 85.09%2026-10-30: 86.62%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
83.53%
83.85%
84.98%
83.07%
83.90%
85.41%
87.58%
85.50%
85.09%
86.62%