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Tower Semiconductor Ltd. Ordinary Shares TSEM

i

Market datapartial · fetched 2026-11-07T01:51:38.546Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-07T00:43:41.229922623Z

FundamentalsAlpha Vantage · unavailable

Share price$136.96
1D-2.1%
AH$132$135$138$141$1455:30 AM6:30 AM9:00 AM1:00 PM2:00 PMTSEM
Sold putSold callAH

Tower Semiconductor Ltd. Ordinary Shares options

Live interpolated TSEM call and put midpoint premiums by absolute delta.Tower Semiconductor Ltd. Ordinary Shares$1.48$7.13$12.78$18.43$24.07$-0.14$0.18$0.50$0.82$1.1420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —40Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —50Δ 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 —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICETSEM PRICE$2.09$2.68$3.67$5.56$8.74$14.37$16.35$3.58$4.44$7.36$8.95$9.96$12.90$13.49$14.66$16.74$22.45
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ156.58105.0%15.9%
25Δ152.00100.6%12.9%124.57116.2%11.7%
30Δ150.11109.5%12.3%127.82113.0%9.9%
35Δ
40Δ
45Δ140.4493.0%6.6%136.01104.6%6.1%
50Δ138.57107.5%5.4%
55Δ136.03109.1%5.7%140.95102.6%4.4%
60Δ144.35113.1%4.0%
65Δ146.28103.1%3.0%
70Δ127.40119.4%3.5%148.4597.3%2.3%
75Δ124.36118.6%2.7%151.2496.1%1.8%
80Δ157.37108.8%1.5%

20Δ

Calls
Pseudo strike
156.58
IV
105.0%
B/E move
15.9%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
152.00
IV
100.6%
B/E move
12.9%
Puts
Pseudo strike
124.57
IV
116.2%
B/E move
11.7%

30Δ

Calls
Pseudo strike
150.11
IV
109.5%
B/E move
12.3%
Puts
Pseudo strike
127.82
IV
113.0%
B/E move
9.9%

35Δ

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

40Δ

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

45Δ

Calls
Pseudo strike
140.44
IV
93.0%
B/E move
6.6%
Puts
Pseudo strike
136.01
IV
104.6%
B/E move
6.1%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
138.57
IV
107.5%
B/E move
5.4%

55Δ

Calls
Pseudo strike
136.03
IV
109.1%
B/E move
5.7%
Puts
Pseudo strike
140.95
IV
102.6%
B/E move
4.4%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
144.35
IV
113.1%
B/E move
4.0%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
146.28
IV
103.1%
B/E move
3.0%

70Δ

Calls
Pseudo strike
127.40
IV
119.4%
B/E move
3.5%
Puts
Pseudo strike
148.45
IV
97.3%
B/E move
2.3%

75Δ

Calls
Pseudo strike
124.36
IV
118.6%
B/E move
2.7%
Puts
Pseudo strike
151.24
IV
96.1%
B/E move
1.8%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
157.37
IV
108.8%
B/E move
1.5%

Options history

IV · four-Friday blend101.09%
Daily close
TSEM62.3%84.7%107.1%2026-08-10: 91.34%2026-08-11: 87.39%2026-08-12: 87.60%2026-08-13: 90.10%2026-08-14: 79.49%2026-08-17: 86.53%2026-08-18: 85.42%2026-08-19: 84.51%2026-08-20: 80.88%2026-08-21: 76.18%2026-08-24: 80.10%2026-08-25: 78.26%2026-08-26: 78.52%2026-08-27: 76.74%2026-08-28: 66.59%2026-08-31: 65.37%2026-09-01: 71.54%2026-09-02: 67.76%2026-09-03: 67.85%2026-09-04: 70.08%2026-09-08: 78.37%2026-09-09: 77.98%2026-09-10: 77.71%2026-09-11: 67.35%2026-09-14: 73.65%2026-09-15: 73.35%2026-09-16: 74.01%2026-09-17: 76.01%2026-09-18: 66.41%2026-09-21: 73.33%2026-09-22: 71.32%2026-09-23: 72.49%2026-09-24: 77.33%2026-09-25: 68.23%2026-09-28: 76.15%2026-09-29: 72.74%2026-09-30: 74.44%2026-10-01: 74.65%2026-10-02: 68.60%2026-10-05: 71.99%2026-10-06: 74.25%2026-10-07: 74.39%2026-10-08: 79.65%2026-10-09: 67.99%2026-10-12: 73.97%2026-10-13: 79.74%2026-10-14: 85.94%2026-10-15: 88.93%2026-10-16: 88.32%2026-10-19: 89.79%2026-10-20: 93.62%2026-10-21: 95.25%2026-10-22: 103.41%2026-10-23: 96.09%2026-10-26: 97.29%2026-10-27: 99.94%2026-10-28: 98.72%2026-10-29: 104.02%2026-10-30: 101.09%Aug 10Sep 21Oct 30
59 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
91.34%
87.39%
87.60%
90.10%
79.49%
86.53%
85.42%
84.51%
80.88%
76.18%
80.10%
78.26%
78.52%
76.74%
66.59%
65.37%
71.54%
67.76%
67.85%
70.08%
78.37%
77.98%
77.71%
67.35%
73.65%
73.35%
74.01%
76.01%
66.41%
73.33%
71.32%
72.49%
77.33%
68.23%
76.15%
72.74%
74.44%
74.65%
68.60%
71.99%
74.25%
74.39%
79.65%
67.99%
73.97%
79.74%
85.94%
88.93%
88.32%
89.79%
93.62%
95.25%
103.41%
96.09%
97.29%
99.94%
98.72%
104.02%
101.09%