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Valens Semiconductor Ltd. VLN

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Market datapartial · fetched 2026-10-22T21:55:48.325Z

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 · 2026-10-22T21:29:59.0487305Z

FundamentalsAlpha Vantage · unavailable

Share price$1.46
1D-4.9%
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$0.24$0.42$0.61$0.79$0.81$1.25$1.69$2.12$2.5620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VLN spot · $1.46VLN PRICE$0.11$0.13$0.13$0.14$0.14$0.14$0.15$0.19$0.28$0.36$0.44$0.52$0.60$0.07$0.09$0.11$0.13$0.15$0.16$0.20$0.28$0.36$0.44$0.52$0.60$0.74
PutsExpensive1.21×
CallsExpensive2.39×
SkewBullish-110.11 pp
Implied moveBearish±$0.35
TiltBearish7.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ6.57366.7%357.5%1.10139.2%30.0%
25Δ6.68370.9%366.2%1.17131.3%26.3%
30Δ5.73321.5%301.6%1.24123.4%22.6%
35Δ4.78272.1%236.9%1.31115.5%19.0%
40Δ3.84222.7%172.3%1.38107.6%15.3%
45Δ2.89173.2%107.6%1.4599.7%11.6%
50Δ1.94123.8%43.0%1.5396.8%8.9%
55Δ1.45115.5%12.9%1.63103.1%8.0%
60Δ1.37142.6%12.6%1.72109.5%7.0%
65Δ1.28169.8%12.3%1.81115.8%6.0%
70Δ1.19197.0%12.0%1.90122.1%5.1%
75Δ1.11224.2%11.7%2.00128.5%4.1%
80Δ1.02251.4%11.4%2.15127.6%3.1%

20Δ

Calls
Pseudo strike
6.57
IV
366.7%
B/E move
357.5%
Puts
Pseudo strike
1.10
IV
139.2%
B/E move
30.0%

25Δ

Calls
Pseudo strike
6.68
IV
370.9%
B/E move
366.2%
Puts
Pseudo strike
1.17
IV
131.3%
B/E move
26.3%

30Δ

Calls
Pseudo strike
5.73
IV
321.5%
B/E move
301.6%
Puts
Pseudo strike
1.24
IV
123.4%
B/E move
22.6%

35Δ

Calls
Pseudo strike
4.78
IV
272.1%
B/E move
236.9%
Puts
Pseudo strike
1.31
IV
115.5%
B/E move
19.0%

40Δ

Calls
Pseudo strike
3.84
IV
222.7%
B/E move
172.3%
Puts
Pseudo strike
1.38
IV
107.6%
B/E move
15.3%

45Δ

Calls
Pseudo strike
2.89
IV
173.2%
B/E move
107.6%
Puts
Pseudo strike
1.45
IV
99.7%
B/E move
11.6%

50Δ

Calls
Pseudo strike
1.94
IV
123.8%
B/E move
43.0%
Puts
Pseudo strike
1.53
IV
96.8%
B/E move
8.9%

55Δ

Calls
Pseudo strike
1.45
IV
115.5%
B/E move
12.9%
Puts
Pseudo strike
1.63
IV
103.1%
B/E move
8.0%

60Δ

Calls
Pseudo strike
1.37
IV
142.6%
B/E move
12.6%
Puts
Pseudo strike
1.72
IV
109.5%
B/E move
7.0%

65Δ

Calls
Pseudo strike
1.28
IV
169.8%
B/E move
12.3%
Puts
Pseudo strike
1.81
IV
115.8%
B/E move
6.0%

70Δ

Calls
Pseudo strike
1.19
IV
197.0%
B/E move
12.0%
Puts
Pseudo strike
1.90
IV
122.1%
B/E move
5.1%

75Δ

Calls
Pseudo strike
1.11
IV
224.2%
B/E move
11.7%
Puts
Pseudo strike
2.00
IV
128.5%
B/E move
4.1%

80Δ

Calls
Pseudo strike
1.02
IV
251.4%
B/E move
11.4%
Puts
Pseudo strike
2.15
IV
127.6%
B/E move
3.1%

Options history

No recorded observations