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Vanda Pharmaceuticals Inc. Common Stock VNDA

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Market datapartial · fetched 2026-10-23T03:01:57.486Z

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 · 2026-10-22T21:15:46.392321347Z

FundamentalsAlpha Vantage · unavailable

Share price$3.99
1D+1.0%
AH$4.00$4.03$4.06$4.09$4.125:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVNDA
Sold putSold callAH

Vanda Pharmaceuticals Inc. Common Stock options

Live interpolated VNDA call and put midpoint premiums by absolute delta.Vanda Pharmaceuticals Inc. Common Stock$0.31$0.72$1.13$1.54$1.95$2.16$3.32$4.48$5.64$6.8020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VNDA spot · $3.99VNDA PRICE$0.37$0.36$0.37$0.40$0.43$0.47$0.61$0.77$0.94$1.11$1.28$0.38$0.38$0.38$0.38$0.38$0.38$0.58$0.79$1.00$1.21$1.42$1.63$1.84
PutsExpensive1.17×
CallsExpensive1.11×
SkewBullish-27.48 pp
Implied moveBearish±$1.01
TiltBearish20.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ2.86224.1%37.8%
25Δ3.15184.5%30.4%
30Δ7.92249.5%107.7%3.36159.6%25.1%
35Δ5.97182.9%58.6%3.57134.8%19.8%
40Δ4.87143.8%31.1%3.78110.0%14.5%
45Δ4.60132.1%25.2%4.0085.1%9.3%
50Δ4.33120.5%19.3%4.2488.5%8.2%
55Δ4.06108.8%13.4%4.4992.4%7.3%
60Δ3.84116.9%11.3%4.7396.4%6.4%
65Δ3.63130.3%10.3%4.98100.3%5.5%
70Δ3.42143.7%9.2%5.23104.3%4.5%
75Δ3.21157.2%8.2%5.47108.2%3.6%
80Δ3.00170.9%7.1%5.72112.1%2.7%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
2.86
IV
224.1%
B/E move
37.8%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.15
IV
184.5%
B/E move
30.4%

30Δ

Calls
Pseudo strike
7.92
IV
249.5%
B/E move
107.7%
Puts
Pseudo strike
3.36
IV
159.6%
B/E move
25.1%

35Δ

Calls
Pseudo strike
5.97
IV
182.9%
B/E move
58.6%
Puts
Pseudo strike
3.57
IV
134.8%
B/E move
19.8%

40Δ

Calls
Pseudo strike
4.87
IV
143.8%
B/E move
31.1%
Puts
Pseudo strike
3.78
IV
110.0%
B/E move
14.5%

45Δ

Calls
Pseudo strike
4.60
IV
132.1%
B/E move
25.2%
Puts
Pseudo strike
4.00
IV
85.1%
B/E move
9.3%

50Δ

Calls
Pseudo strike
4.33
IV
120.5%
B/E move
19.3%
Puts
Pseudo strike
4.24
IV
88.5%
B/E move
8.2%

55Δ

Calls
Pseudo strike
4.06
IV
108.8%
B/E move
13.4%
Puts
Pseudo strike
4.49
IV
92.4%
B/E move
7.3%

60Δ

Calls
Pseudo strike
3.84
IV
116.9%
B/E move
11.3%
Puts
Pseudo strike
4.73
IV
96.4%
B/E move
6.4%

65Δ

Calls
Pseudo strike
3.63
IV
130.3%
B/E move
10.3%
Puts
Pseudo strike
4.98
IV
100.3%
B/E move
5.5%

70Δ

Calls
Pseudo strike
3.42
IV
143.7%
B/E move
9.2%
Puts
Pseudo strike
5.23
IV
104.3%
B/E move
4.5%

75Δ

Calls
Pseudo strike
3.21
IV
157.2%
B/E move
8.2%
Puts
Pseudo strike
5.47
IV
108.2%
B/E move
3.6%

80Δ

Calls
Pseudo strike
3.00
IV
170.9%
B/E move
7.1%
Puts
Pseudo strike
5.72
IV
112.1%
B/E move
2.7%

Options history

No recorded observations