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Varonis Systems, Inc. Common Stock VRNS

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Market datapartial · fetched 2026-10-22T23:08:59.910Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-12-18

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 · 2026-10-22T20:19:55.10273794Z

FundamentalsAlpha Vantage · unavailable

Share price$48.89
1D+0.4%
AH$48.66$48.72$48.79$48.86$48.925:30 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$1.76$3.26$4.76$6.25$7.75$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICEVRNS PRICE$7.32$1.92$2.82$3.72$4.62$5.52
PutsCheap0.42×
CallsCheap0.60×
SkewBullish-20.84 pp
Implied move——
TiltBearish43.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ
40Δ
45Δ
50Δ
55Δ
60Δ50.3016.6%1.0%
65Δ51.2918.8%0.9%
70Δ52.2821.0%0.7%
75Δ53.2623.3%0.5%
80Δ42.6641.9%2.2%54.2525.5%0.3%

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

40Δ

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

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
IV
B/E move
Puts
Pseudo strike
50.30
IV
16.6%
B/E move
1.0%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
51.29
IV
18.8%
B/E move
0.9%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
52.28
IV
21.0%
B/E move
0.7%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
53.26
IV
23.3%
B/E move
0.5%

80Δ

Calls
Pseudo strike
42.66
IV
41.9%
B/E move
2.2%
Puts
Pseudo strike
54.25
IV
25.5%
B/E move
0.3%

Options history

No recorded observations