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Varonis Systems, Inc. Common Stock VRNS

TECHNOLOGY · SOFTWARE - INFRASTRUCTURE
i

Market dataready · fetched 2026-11-12T02:10:38.559Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2027-01-15

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 · 2026-11-11T21:00:01.477615334Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T02:10:37.611176+00:00

Share price$49.03
1D-0.3%
AH$48.98$49.05$49.11$49.18$49.255:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVRNS
Sold putSold callAH

Varonis Systems, Inc. Common Stock options

Live interpolated VRNS call and put midpoint premiums by absolute delta.Varonis Systems, Inc. Common Stock$0.55$1.46$2.38$3.29$4.20$38.07$43.66$49.25$54.84$60.4320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ55Δ P unavailable: no unambiguous, price-consistent delta bracketP —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 PRICELive VRNS spot · $49.03VRNS PRICE$1.24$1.47$1.69$1.92$2.14$2.37$2.59$2.82$3.04$3.27$3.49$3.72$3.94$0.65$0.84$1.03$1.23$1.42$1.61$1.80
Puts——
CallsFair0.96×
Skew——
Implied moveBullish±$4.39
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ64.5762.3%34.2%46.5815.3%6.3%
25Δ63.1259.0%31.7%47.0816.0%5.7%
30Δ61.6755.8%29.2%47.5916.7%5.0%
35Δ60.2252.5%26.7%48.1017.4%4.4%
40Δ58.7749.3%24.2%48.6018.0%3.8%
45Δ57.3246.0%21.7%49.1118.7%3.1%
50Δ55.8742.7%19.2%49.6119.4%2.5%
55Δ54.4239.5%16.7%
60Δ52.9636.2%14.2%
65Δ51.5133.0%11.7%
70Δ50.0629.7%9.2%
75Δ48.6126.5%6.7%
80Δ47.1623.2%4.2%

20Δ

Calls
Pseudo strike
64.57
IV
62.3%
B/E move
34.2%
Puts
Pseudo strike
46.58
IV
15.3%
B/E move
6.3%

25Δ

Calls
Pseudo strike
63.12
IV
59.0%
B/E move
31.7%
Puts
Pseudo strike
47.08
IV
16.0%
B/E move
5.7%

30Δ

Calls
Pseudo strike
61.67
IV
55.8%
B/E move
29.2%
Puts
Pseudo strike
47.59
IV
16.7%
B/E move
5.0%

35Δ

Calls
Pseudo strike
60.22
IV
52.5%
B/E move
26.7%
Puts
Pseudo strike
48.10
IV
17.4%
B/E move
4.4%

40Δ

Calls
Pseudo strike
58.77
IV
49.3%
B/E move
24.2%
Puts
Pseudo strike
48.60
IV
18.0%
B/E move
3.8%

45Δ

Calls
Pseudo strike
57.32
IV
46.0%
B/E move
21.7%
Puts
Pseudo strike
49.11
IV
18.7%
B/E move
3.1%

50Δ

Calls
Pseudo strike
55.87
IV
42.7%
B/E move
19.2%
Puts
Pseudo strike
49.61
IV
19.4%
B/E move
2.5%

55Δ

Calls
Pseudo strike
54.42
IV
39.5%
B/E move
16.7%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
52.96
IV
36.2%
B/E move
14.2%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
51.51
IV
33.0%
B/E move
11.7%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
50.06
IV
29.7%
B/E move
9.2%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
48.61
IV
26.5%
B/E move
6.7%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
47.16
IV
23.2%
B/E move
4.2%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations