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Sionna Therapeutics, Inc. Common Stock SION

i

Market datapartial · fetched 2026-11-13T00:47:42.382Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2027-01-15

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 · 2026-11-12T21:26:17.702923016Z

FundamentalsAlpha Vantage · unavailable

Share price$3.43
1D-4.4%
AH$3.38$3.44$3.49$3.55$3.605:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSION
Sold putSold callAH

Sionna Therapeutics, Inc. Common Stock options

Live interpolated SION call and put midpoint premiums by absolute delta.Sionna Therapeutics, Inc. Common Stock$0.57$1.51$2.45$3.38$4.32$-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 —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —55Δ 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/P unavailable: no unambiguous, price-consistent delta bracketC/P —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICESION PRICE$1.95$0.68$1.05$1.43$1.81$2.18$2.55$2.85$3.15$3.45$3.75$4.05
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ3.12117.5%28.8%
25Δ3.51143.6%28.4%
30Δ3.90169.6%28.1%
35Δ4.29195.6%27.7%
40Δ4.67221.6%27.4%
45Δ5.07241.7%26.6%
50Δ5.49231.2%23.2%
55Δ5.90220.7%19.8%
60Δ6.32210.2%16.3%
65Δ6.74199.7%12.9%
70Δ7.15189.2%9.5%
75Δ
80Δ2.79331.7%38.0%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.12
IV
117.5%
B/E move
28.8%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.51
IV
143.6%
B/E move
28.4%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.90
IV
169.6%
B/E move
28.1%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.29
IV
195.6%
B/E move
27.7%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.67
IV
221.6%
B/E move
27.4%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.07
IV
241.7%
B/E move
26.6%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.49
IV
231.2%
B/E move
23.2%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.90
IV
220.7%
B/E move
19.8%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.32
IV
210.2%
B/E move
16.3%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.74
IV
199.7%
B/E move
12.9%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
7.15
IV
189.2%
B/E move
9.5%

75Δ

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

80Δ

Calls
Pseudo strike
2.79
IV
331.7%
B/E move
38.0%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend270.03%
Daily EOD
SION269.8%270.0%270.3%2026-10-27: 270.03%Oct 27
1 observations2026-10-27 — 2026-10-27
Table
DateIV (%)
270.03%