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Vanda Pharmaceuticals Inc. Common Stock VNDA

i

Market dataready · fetched 2026-11-12T17:14:00.747Z

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 · 2026-11-12T17:12:47.058268461Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-12T17:14:00.233409+00:00

Share price$4.08
1D-2.0%
$4.05$4.08$4.11$4.14$4.175:30 AM6:30 AM9:00 AM1:00 PMVNDA
Sold putSold call

Vanda Pharmaceuticals Inc. Common Stock options

Live interpolated VNDA call and put midpoint premiums by absolute delta.Vanda Pharmaceuticals Inc. Common Stock$0.33$0.77$1.20$1.64$2.08$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —50Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —55Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICEVNDA PRICE$0.38$0.38$0.41$0.80$1.18$1.57$1.95$0.39$0.41$0.43$0.44
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
25Δ3.21349.9%30.8%
30Δ7.16439.8%85.0%3.45306.1%25.4%
35Δ5.92349.0%54.5%3.69262.2%19.9%
40Δ3.93218.3%14.5%
45Δ
50Δ
55Δ
60Δ3.86131.6%4.8%
65Δ3.46223.5%4.6%
70Δ3.07315.4%4.3%
75Δ2.67407.3%4.1%
80Δ2.28499.2%3.9%

20Δ

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

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.21
IV
349.9%
B/E move
30.8%

30Δ

Calls
Pseudo strike
7.16
IV
439.8%
B/E move
85.0%
Puts
Pseudo strike
3.45
IV
306.1%
B/E move
25.4%

35Δ

Calls
Pseudo strike
5.92
IV
349.0%
B/E move
54.5%
Puts
Pseudo strike
3.69
IV
262.2%
B/E move
19.9%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.93
IV
218.3%
B/E move
14.5%

45Δ

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

60Δ

Calls
Pseudo strike
3.86
IV
131.6%
B/E move
4.8%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
3.46
IV
223.5%
B/E move
4.6%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
3.07
IV
315.4%
B/E move
4.3%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
2.67
IV
407.3%
B/E move
4.1%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
2.28
IV
499.2%
B/E move
3.9%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend115.13%
Daily EOD
VNDA97.4%130.8%164.3%2026-10-19: 157.95%2026-10-20: 101.97%2026-10-21: 109.09%2026-10-23: 124.25%2026-10-26: 108.73%2026-10-27: 105.84%2026-10-28: 106.37%2026-10-29: 159.66%2026-10-30: 115.13%Oct 19Oct 26Oct 30
9 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
157.95%
101.97%
109.09%
124.25%
108.73%
105.84%
106.37%
159.66%
115.13%