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Valens Semiconductor Ltd. VLN

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Market datapartial · fetched 2026-10-22T20:18:47.992Z

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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-22T20:13:06.528398094Z

FundamentalsAlpha Vantage · unavailable

Share price$1.47
1D-4.8%
AH$1.44$1.47$1.50$1.53$1.555:30 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.$0.05$0.26$0.46$0.66$0.87$0.80$1.24$1.68$2.12$2.5720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VLN spot · $1.47VLN PRICE$0.11$0.13$0.13$0.14$0.14$0.14$0.15$0.18$0.27$0.35$0.43$0.51$0.60$0.08$0.09$0.11$0.13$0.15$0.17$0.22$0.31$0.39$0.47$0.55$0.66$0.81
PutsExpensive1.24×
CallsExpensive2.36×
SkewBullish-102.67 pp
Implied moveBearish±$0.37
TiltBearish11.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ6.65368.6%359.9%1.10140.2%30.1%
25Δ6.68368.9%363.4%1.18132.3%26.4%
30Δ5.76320.5%300.7%1.25124.4%22.6%
35Δ4.83272.1%238.1%1.32116.5%18.9%
40Δ3.91223.7%175.4%1.40108.5%15.1%
45Δ2.98175.2%112.7%1.47100.6%11.4%
50Δ2.06126.8%50.0%1.56101.7%9.3%
55Δ1.47108.3%12.1%1.65108.7%8.3%
60Δ1.38135.0%11.8%1.75115.7%7.3%
65Δ1.29161.7%11.5%1.84122.8%6.3%
70Δ1.20188.4%11.2%1.94129.8%5.4%
75Δ1.12215.0%10.9%2.06134.5%4.3%
80Δ1.03241.7%10.6%2.23135.5%3.2%

20Δ

Calls
Pseudo strike
6.65
IV
368.6%
B/E move
359.9%
Puts
Pseudo strike
1.10
IV
140.2%
B/E move
30.1%

25Δ

Calls
Pseudo strike
6.68
IV
368.9%
B/E move
363.4%
Puts
Pseudo strike
1.18
IV
132.3%
B/E move
26.4%

30Δ

Calls
Pseudo strike
5.76
IV
320.5%
B/E move
300.7%
Puts
Pseudo strike
1.25
IV
124.4%
B/E move
22.6%

35Δ

Calls
Pseudo strike
4.83
IV
272.1%
B/E move
238.1%
Puts
Pseudo strike
1.32
IV
116.5%
B/E move
18.9%

40Δ

Calls
Pseudo strike
3.91
IV
223.7%
B/E move
175.4%
Puts
Pseudo strike
1.40
IV
108.5%
B/E move
15.1%

45Δ

Calls
Pseudo strike
2.98
IV
175.2%
B/E move
112.7%
Puts
Pseudo strike
1.47
IV
100.6%
B/E move
11.4%

50Δ

Calls
Pseudo strike
2.06
IV
126.8%
B/E move
50.0%
Puts
Pseudo strike
1.56
IV
101.7%
B/E move
9.3%

55Δ

Calls
Pseudo strike
1.47
IV
108.3%
B/E move
12.1%
Puts
Pseudo strike
1.65
IV
108.7%
B/E move
8.3%

60Δ

Calls
Pseudo strike
1.38
IV
135.0%
B/E move
11.8%
Puts
Pseudo strike
1.75
IV
115.7%
B/E move
7.3%

65Δ

Calls
Pseudo strike
1.29
IV
161.7%
B/E move
11.5%
Puts
Pseudo strike
1.84
IV
122.8%
B/E move
6.3%

70Δ

Calls
Pseudo strike
1.20
IV
188.4%
B/E move
11.2%
Puts
Pseudo strike
1.94
IV
129.8%
B/E move
5.4%

75Δ

Calls
Pseudo strike
1.12
IV
215.0%
B/E move
10.9%
Puts
Pseudo strike
2.06
IV
134.5%
B/E move
4.3%

80Δ

Calls
Pseudo strike
1.03
IV
241.7%
B/E move
10.6%
Puts
Pseudo strike
2.23
IV
135.5%
B/E move
3.2%

Options history

No recorded observations