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Sanofi ADS SNY

HEALTHCARE · DRUG MANUFACTURERS - GENERAL
i

Market dataready · fetched 2026-11-13T02:49:18.723Z

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 · 2026-11-12T22:07:15.313187464Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-13T02:42:15.386653+00:00

Share price$48.20
1D-0.5%
AH$48.36$48.50$48.64$48.79$48.935:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSNY
Sold putSold callAH

Sanofi ADS options

Live interpolated SNY call and put midpoint premiums by absolute delta.Sanofi ADS$0.16$1.02$1.87$2.73$3.59$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —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 —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ 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 PRICESNY PRICE$0.30$0.36$0.51$0.67$0.82$0.98$1.13$1.29$1.44$1.83$2.33$2.83$3.34$0.26$0.32$0.39
Puts——
CallsCheap0.94×
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ51.0741.8%6.6%46.1231.8%4.9%
25Δ49.9333.2%4.3%46.6030.1%4.0%
30Δ49.6033.9%4.0%47.0928.4%3.1%
35Δ49.2734.7%3.6%
40Δ48.9435.4%3.2%
45Δ48.6136.1%2.9%
50Δ48.2836.9%2.5%
55Δ47.9537.6%2.2%
60Δ47.6238.3%1.8%
65Δ47.1140.7%1.5%
70Δ46.5144.0%1.3%
75Δ45.9147.3%1.1%
80Δ45.3150.5%0.9%

20Δ

Calls
Pseudo strike
51.07
IV
41.8%
B/E move
6.6%
Puts
Pseudo strike
46.12
IV
31.8%
B/E move
4.9%

25Δ

Calls
Pseudo strike
49.93
IV
33.2%
B/E move
4.3%
Puts
Pseudo strike
46.60
IV
30.1%
B/E move
4.0%

30Δ

Calls
Pseudo strike
49.60
IV
33.9%
B/E move
4.0%
Puts
Pseudo strike
47.09
IV
28.4%
B/E move
3.1%

35Δ

Calls
Pseudo strike
49.27
IV
34.7%
B/E move
3.6%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
48.94
IV
35.4%
B/E move
3.2%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
48.61
IV
36.1%
B/E move
2.9%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
48.28
IV
36.9%
B/E move
2.5%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
47.95
IV
37.6%
B/E move
2.2%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
47.62
IV
38.3%
B/E move
1.8%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
47.11
IV
40.7%
B/E move
1.5%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
46.51
IV
44.0%
B/E move
1.3%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
45.91
IV
47.3%
B/E move
1.1%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
45.31
IV
50.5%
B/E move
0.9%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend26.29%
Daily EOD
SNY26.1%27.7%29.2%2026-10-19: 26.61%2026-10-20: 27.73%2026-10-21: 27.43%2026-10-22: 27.96%2026-10-23: 27.88%2026-10-26: 28.31%2026-10-27: 28.29%2026-10-28: 28.27%2026-10-29: 29.03%2026-10-30: 26.29%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
26.61%
27.73%
27.43%
27.96%
27.88%
28.31%
28.29%
28.27%
29.03%
26.29%