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Valens Semiconductor Ltd. VLN

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Market datapartial · fetched 2026-11-12T01:51:36.687Z

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 · 2026-11-12T00:57:30.712288733Z

FundamentalsAlpha Vantage · unavailable

Share price$1.46
1D-14.4%
AH$1.39$1.47$1.55$1.63$1.715:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVLN
Sold putSold callAH

Valens Semiconductor Ltd. options

Live interpolated VLN call and put midpoint premiums by absolute delta.Valens Semiconductor Ltd.$0.04$0.18$0.33$0.48$0.62$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ P unavailable: no unambiguous, price-consistent delta bracketP —30Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ 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 C/P unavailable: no unambiguous, price-consistent delta bracketC/P —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 unavailable: no unambiguous, price-consistent delta bracketC —80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICEVLN PRICE$0.05$0.06$0.07$0.08$0.09$0.18$0.28$0.38$0.48$0.58
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ2.13200.5%49.4%
30Δ2.00185.3%41.0%
35Δ1.86170.0%32.7%
40Δ1.73154.8%24.3%
45Δ1.60139.5%16.0%
50Δ
55Δ1.56126.1%5.6%
60Δ1.66150.5%5.3%
65Δ1.77175.0%4.9%
70Δ1.87199.4%4.5%
75Δ1.98223.8%4.2%
80Δ

20Δ

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

25Δ

Calls
Pseudo strike
2.13
IV
200.5%
B/E move
49.4%
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
2.00
IV
185.3%
B/E move
41.0%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
1.86
IV
170.0%
B/E move
32.7%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
1.73
IV
154.8%
B/E move
24.3%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
1.60
IV
139.5%
B/E move
16.0%
Puts
Pseudo strike
IV
B/E move

50Δ

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

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.56
IV
126.1%
B/E move
5.6%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.66
IV
150.5%
B/E move
5.3%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.77
IV
175.0%
B/E move
4.9%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.87
IV
199.4%
B/E move
4.5%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.98
IV
223.8%
B/E move
4.2%

80Δ

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

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations