IntraAlpha
Create free account Start free

Xenon Pharmaceuticals Inc. Common Shares XENE

i

Market datapartial · fetched 2026-10-23T16:41:22.433Z

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 · 2026-10-23T16:40:19.37721504Z

FundamentalsAlpha Vantage · unavailable

Share price$35.66
1D-0.8%
$35.38$35.53$35.69$35.85$36.005:30 AM6:30 AM9:00 AM1:00 PMXENE
Sold putSold call

Xenon Pharmaceuticals Inc. Common Shares options

Live interpolated XENE call and put midpoint premiums by absolute delta.Xenon Pharmaceuticals Inc. Common Shares$0.45$2.20$3.94$5.69$7.43$28.81$32.40$35.98$39.57$43.1620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive XENE spot · $35.66XENE PRICE$1.10$0.73$0.92$1.11$1.33$1.76$2.19$2.61$3.04$3.46$3.87$4.31$4.92$0.64$0.84$1.13$1.43$1.72$2.05$2.41$2.76$3.11$3.88$4.65$5.63$6.93
PutsFair1.02×
CallsExpensive1.11×
SkewBullish-6.53 pp
Implied moveBearish±$4.59
TiltBearish8.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ49.32114.9%41.4%31.7454.9%12.8%
25Δ39.9653.4%14.1%32.8251.3%10.3%
30Δ39.1052.3%12.2%33.4952.6%9.3%
35Δ38.2451.1%10.4%34.1553.9%8.2%
40Δ37.4150.7%8.6%34.8255.1%7.2%
45Δ36.7554.3%8.0%35.4955.0%6.2%
50Δ36.1058.0%7.4%36.1654.2%5.3%
55Δ35.4461.7%6.7%36.8453.5%4.4%
60Δ34.7463.8%6.0%37.5252.8%3.5%
65Δ33.9762.5%5.0%38.4854.9%3.0%
70Δ33.2061.3%4.0%39.4357.1%2.4%
75Δ32.4160.0%3.0%40.6059.6%1.9%
80Δ31.5658.1%2.3%42.0862.6%1.4%

20Δ

Calls
Pseudo strike
49.32
IV
114.9%
B/E move
41.4%
Puts
Pseudo strike
31.74
IV
54.9%
B/E move
12.8%

25Δ

Calls
Pseudo strike
39.96
IV
53.4%
B/E move
14.1%
Puts
Pseudo strike
32.82
IV
51.3%
B/E move
10.3%

30Δ

Calls
Pseudo strike
39.10
IV
52.3%
B/E move
12.2%
Puts
Pseudo strike
33.49
IV
52.6%
B/E move
9.3%

35Δ

Calls
Pseudo strike
38.24
IV
51.1%
B/E move
10.4%
Puts
Pseudo strike
34.15
IV
53.9%
B/E move
8.2%

40Δ

Calls
Pseudo strike
37.41
IV
50.7%
B/E move
8.6%
Puts
Pseudo strike
34.82
IV
55.1%
B/E move
7.2%

45Δ

Calls
Pseudo strike
36.75
IV
54.3%
B/E move
8.0%
Puts
Pseudo strike
35.49
IV
55.0%
B/E move
6.2%

50Δ

Calls
Pseudo strike
36.10
IV
58.0%
B/E move
7.4%
Puts
Pseudo strike
36.16
IV
54.2%
B/E move
5.3%

55Δ

Calls
Pseudo strike
35.44
IV
61.7%
B/E move
6.7%
Puts
Pseudo strike
36.84
IV
53.5%
B/E move
4.4%

60Δ

Calls
Pseudo strike
34.74
IV
63.8%
B/E move
6.0%
Puts
Pseudo strike
37.52
IV
52.8%
B/E move
3.5%

65Δ

Calls
Pseudo strike
33.97
IV
62.5%
B/E move
5.0%
Puts
Pseudo strike
38.48
IV
54.9%
B/E move
3.0%

70Δ

Calls
Pseudo strike
33.20
IV
61.3%
B/E move
4.0%
Puts
Pseudo strike
39.43
IV
57.1%
B/E move
2.4%

75Δ

Calls
Pseudo strike
32.41
IV
60.0%
B/E move
3.0%
Puts
Pseudo strike
40.60
IV
59.6%
B/E move
1.9%

80Δ

Calls
Pseudo strike
31.56
IV
58.1%
B/E move
2.3%
Puts
Pseudo strike
42.08
IV
62.6%
B/E move
1.4%

Options history

No recorded observations