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Surrozen, Inc. Common Stock SRZN

HEALTHCARE · BIOTECHNOLOGY
i

Market dataready · fetched 2026-11-14T01:13:21.673Z

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 · 2026-11-13T21:00:00.562036752Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-14T01:13:20.882566+00:00

Share price$31.61
1D-0.8%
AH$30.28$30.71$31.14$31.57$32.005:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSRZN
Sold putSold callAH

Surrozen, Inc. Common Stock options

Live interpolated SRZN call and put midpoint premiums by absolute delta.Surrozen, Inc. Common Stock$1.10$1.86$2.63$3.39$4.16$26.82$29.22$31.62$34.02$36.4220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ 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/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICELive SRZN spot · $31.61SRZN PRICE$2.21$1.18$1.42$1.65$1.89$2.13$2.37$2.60$1.98$2.33$2.38$2.43$2.57$2.77$2.96$3.16$3.35$3.55$3.74$3.94
Puts——
Calls——
Skew——
Implied moveBearish±$4.85
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ24.61300.0%28.4%
25Δ25.85300.0%25.6%
30Δ44.71334.8%48.4%27.59253.4%20.2%
35Δ34.41121.4%12.6%29.33206.8%14.9%
40Δ33.72118.7%11.2%30.40181.4%12.0%
45Δ33.03115.9%9.7%31.05169.5%10.5%
50Δ32.34113.2%8.3%31.70157.5%9.1%
55Δ31.65110.4%6.9%32.36145.6%7.6%
60Δ30.97107.7%5.5%33.01133.7%6.2%
65Δ30.28105.0%4.0%33.66121.8%4.7%
70Δ34.31109.9%3.3%
75Δ34.9697.9%1.9%
80Δ

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
24.61
IV
300.0%
B/E move
28.4%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
25.85
IV
300.0%
B/E move
25.6%

30Δ

Calls
Pseudo strike
44.71
IV
334.8%
B/E move
48.4%
Puts
Pseudo strike
27.59
IV
253.4%
B/E move
20.2%

35Δ

Calls
Pseudo strike
34.41
IV
121.4%
B/E move
12.6%
Puts
Pseudo strike
29.33
IV
206.8%
B/E move
14.9%

40Δ

Calls
Pseudo strike
33.72
IV
118.7%
B/E move
11.2%
Puts
Pseudo strike
30.40
IV
181.4%
B/E move
12.0%

45Δ

Calls
Pseudo strike
33.03
IV
115.9%
B/E move
9.7%
Puts
Pseudo strike
31.05
IV
169.5%
B/E move
10.5%

50Δ

Calls
Pseudo strike
32.34
IV
113.2%
B/E move
8.3%
Puts
Pseudo strike
31.70
IV
157.5%
B/E move
9.1%

55Δ

Calls
Pseudo strike
31.65
IV
110.4%
B/E move
6.9%
Puts
Pseudo strike
32.36
IV
145.6%
B/E move
7.6%

60Δ

Calls
Pseudo strike
30.97
IV
107.7%
B/E move
5.5%
Puts
Pseudo strike
33.01
IV
133.7%
B/E move
6.2%

65Δ

Calls
Pseudo strike
30.28
IV
105.0%
B/E move
4.0%
Puts
Pseudo strike
33.66
IV
121.8%
B/E move
4.7%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
34.31
IV
109.9%
B/E move
3.3%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
34.96
IV
97.9%
B/E move
1.9%

80Δ

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

Options history

IV · four-Friday blend87.72%
Daily EOD
SRZN85.5%95.6%105.7%2026-10-19: 89.57%2026-10-20: 88.07%2026-10-21: 87.51%2026-10-22: 86.93%2026-10-23: 88.27%2026-10-26: 104.36%2026-10-27: 87.49%2026-10-28: 87.33%2026-10-29: 88.76%2026-10-30: 87.72%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
89.57%
88.07%
87.51%
86.93%
88.27%
104.36%
87.49%
87.33%
88.76%
87.72%