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Sigma Lithium Corporation Common Shares SGML

BASIC MATERIALS · OTHER INDUSTRIAL METALS & MINING
i

Market dataready · fetched 2026-11-13T01:30:02.332Z

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 · 2026-11-13T00:50:29.456377996Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-13T01:30:01.820483+00:00

Share price$5.09
1D-2.3%
AH$4.75$4.85$4.96$5.06$5.165:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSGML
Sold putSold callAH

Sigma Lithium Corporation Common Shares options

Live interpolated SGML call and put midpoint premiums by absolute delta.Sigma Lithium Corporation Common Shares$0.06$0.67$1.27$1.88$2.48$3.76$4.41$5.06$5.71$6.3620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ 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 SGML spot · $5.09SGML PRICE$0.13$0.17$0.21$0.24$0.28$0.32$0.35$0.13$0.17$0.21$0.24$0.28$0.38$0.51$0.65$0.79$0.93$1.07$1.58$2.31
PutsExpensive1.10×
Calls——
Skew——
Implied moveBearish±$0.83
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ4.32130.4%17.7%
25Δ5.89121.1%18.2%4.47127.2%15.4%
30Δ5.75119.3%16.3%4.62124.0%13.2%
35Δ5.62117.5%14.4%4.78120.7%10.9%
40Δ5.48115.8%12.5%4.93117.5%8.7%
45Δ5.35114.0%10.5%5.09120.4%7.3%
50Δ5.21112.2%8.6%5.27128.4%6.6%
55Δ5.08110.4%6.7%5.44136.4%5.9%
60Δ5.61144.4%5.3%
65Δ5.78152.4%4.6%
70Δ5.96160.4%3.9%
75Δ6.49192.6%3.5%
80Δ7.24234.0%3.1%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.32
IV
130.4%
B/E move
17.7%

25Δ

Calls
Pseudo strike
5.89
IV
121.1%
B/E move
18.2%
Puts
Pseudo strike
4.47
IV
127.2%
B/E move
15.4%

30Δ

Calls
Pseudo strike
5.75
IV
119.3%
B/E move
16.3%
Puts
Pseudo strike
4.62
IV
124.0%
B/E move
13.2%

35Δ

Calls
Pseudo strike
5.62
IV
117.5%
B/E move
14.4%
Puts
Pseudo strike
4.78
IV
120.7%
B/E move
10.9%

40Δ

Calls
Pseudo strike
5.48
IV
115.8%
B/E move
12.5%
Puts
Pseudo strike
4.93
IV
117.5%
B/E move
8.7%

45Δ

Calls
Pseudo strike
5.35
IV
114.0%
B/E move
10.5%
Puts
Pseudo strike
5.09
IV
120.4%
B/E move
7.3%

50Δ

Calls
Pseudo strike
5.21
IV
112.2%
B/E move
8.6%
Puts
Pseudo strike
5.27
IV
128.4%
B/E move
6.6%

55Δ

Calls
Pseudo strike
5.08
IV
110.4%
B/E move
6.7%
Puts
Pseudo strike
5.44
IV
136.4%
B/E move
5.9%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.61
IV
144.4%
B/E move
5.3%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.78
IV
152.4%
B/E move
4.6%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.96
IV
160.4%
B/E move
3.9%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.49
IV
192.6%
B/E move
3.5%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
7.24
IV
234.0%
B/E move
3.1%

Options history

IV · four-Friday blend112.06%
Daily EOD
SGML77.4%96.0%114.6%2026-10-19: 80.37%2026-10-20: 79.95%2026-10-21: 80.14%2026-10-22: 82.43%2026-10-23: 84.28%2026-10-26: 84.14%2026-10-27: 83.61%2026-10-28: 83.59%2026-10-29: 84.32%2026-10-30: 112.06%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
80.37%
79.95%
80.14%
82.43%
84.28%
84.14%
83.61%
83.59%
84.32%
112.06%