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Varex Imaging Corporation Common Stock VREX

HEALTHCARE · MEDICAL DEVICES
i

Market dataready · fetched 2026-11-12T03:20:14.831Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2027-02-19

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 · 2026-11-11T21:05:00.516506919Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-12T03:20:13.485327+00:00

Share price$18.41
1D-0.3%
AH$18.38$18.40$18.43$18.45$18.475:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVREX
Sold putSold callAH

Varex Imaging Corporation Common Stock options

Live interpolated VREX call and put midpoint premiums by absolute delta.Varex Imaging Corporation Common Stock$1.05$1.99$2.94$3.88$4.82$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —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 P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICEVREX PRICE$1.15$1.34$1.54$1.73$1.92$2.12$2.34$3.07$3.81$4.55$2.60$3.10$3.60$4.10
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
25Δ
30Δ
35Δ22.1959.4%26.8%
40Δ21.4057.1%23.6%
45Δ20.6154.7%20.3%
50Δ19.8352.4%17.1%
55Δ19.0450.1%13.9%
60Δ18.2547.7%10.6%20.2042.2%4.4%
65Δ17.4545.6%7.5%20.8742.2%3.5%
70Δ16.5348.6%6.5%21.5342.2%2.6%
75Δ15.6151.6%5.5%22.2042.2%1.7%
80Δ14.6954.6%4.5%

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
IV
B/E move

30Δ

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

35Δ

Calls
Pseudo strike
22.19
IV
59.4%
B/E move
26.8%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
21.40
IV
57.1%
B/E move
23.6%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
20.61
IV
54.7%
B/E move
20.3%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
19.83
IV
52.4%
B/E move
17.1%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
19.04
IV
50.1%
B/E move
13.9%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
18.25
IV
47.7%
B/E move
10.6%
Puts
Pseudo strike
20.20
IV
42.2%
B/E move
4.4%

65Δ

Calls
Pseudo strike
17.45
IV
45.6%
B/E move
7.5%
Puts
Pseudo strike
20.87
IV
42.2%
B/E move
3.5%

70Δ

Calls
Pseudo strike
16.53
IV
48.6%
B/E move
6.5%
Puts
Pseudo strike
21.53
IV
42.2%
B/E move
2.6%

75Δ

Calls
Pseudo strike
15.61
IV
51.6%
B/E move
5.5%
Puts
Pseudo strike
22.20
IV
42.2%
B/E move
1.7%

80Δ

Calls
Pseudo strike
14.69
IV
54.6%
B/E move
4.5%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations