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Xenon Pharmaceuticals Inc. Common Shares XENE

i

Market datapartial · fetched 2026-11-14T02:11:17.053Z

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: 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 · 2026-11-13T23:32:55.580379805Z

FundamentalsAlpha Vantage · unavailable

Share price$40.39
1D-1.6%
AH$39.84$40.20$40.57$40.94$41.305:30 AM6:30 AM9:00 AM1:00 PM2:00 PMXENE
Sold putSold callAH

Xenon Pharmaceuticals Inc. Common Shares options

Live interpolated XENE call and put midpoint premiums by absolute delta.Xenon Pharmaceuticals Inc. Common Shares$0.36$1.59$2.81$4.04$5.27$36.01$38.49$40.96$43.43$45.9120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive XENE spot · $40.39XENE PRICE$0.50$0.65$0.80$0.96$1.13$1.29$1.46$1.63$2.23$3.00$3.76$4.38$4.91$1.09$0.71$0.95$1.19$1.43$1.66$1.85$2.03$2.22$2.41$2.60
Puts——
CallsFair1.04×
Skew——
Implied moveBearish±$3.31
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ44.8984.8%12.4%34.37161.4%17.6%
25Δ44.0382.2%10.6%37.7878.2%8.2%
30Δ43.1879.6%8.9%38.3679.3%7.4%
35Δ42.3877.0%7.3%38.9480.4%6.5%
40Δ41.8374.3%6.3%39.5281.5%5.7%
45Δ41.2771.7%5.4%40.0881.6%4.9%
50Δ40.7169.0%4.4%40.5477.5%4.2%
55Δ40.1566.3%3.4%41.0073.3%3.5%
60Δ39.4175.3%3.1%41.4669.2%2.9%
65Δ38.6188.8%3.0%41.9165.0%2.2%
70Δ37.80102.2%2.9%42.3760.9%1.5%
75Δ37.01104.7%2.5%
80Δ36.23100.6%1.9%

20Δ

Calls
Pseudo strike
44.89
IV
84.8%
B/E move
12.4%
Puts
Pseudo strike
34.37
IV
161.4%
B/E move
17.6%

25Δ

Calls
Pseudo strike
44.03
IV
82.2%
B/E move
10.6%
Puts
Pseudo strike
37.78
IV
78.2%
B/E move
8.2%

30Δ

Calls
Pseudo strike
43.18
IV
79.6%
B/E move
8.9%
Puts
Pseudo strike
38.36
IV
79.3%
B/E move
7.4%

35Δ

Calls
Pseudo strike
42.38
IV
77.0%
B/E move
7.3%
Puts
Pseudo strike
38.94
IV
80.4%
B/E move
6.5%

40Δ

Calls
Pseudo strike
41.83
IV
74.3%
B/E move
6.3%
Puts
Pseudo strike
39.52
IV
81.5%
B/E move
5.7%

45Δ

Calls
Pseudo strike
41.27
IV
71.7%
B/E move
5.4%
Puts
Pseudo strike
40.08
IV
81.6%
B/E move
4.9%

50Δ

Calls
Pseudo strike
40.71
IV
69.0%
B/E move
4.4%
Puts
Pseudo strike
40.54
IV
77.5%
B/E move
4.2%

55Δ

Calls
Pseudo strike
40.15
IV
66.3%
B/E move
3.4%
Puts
Pseudo strike
41.00
IV
73.3%
B/E move
3.5%

60Δ

Calls
Pseudo strike
39.41
IV
75.3%
B/E move
3.1%
Puts
Pseudo strike
41.46
IV
69.2%
B/E move
2.9%

65Δ

Calls
Pseudo strike
38.61
IV
88.8%
B/E move
3.0%
Puts
Pseudo strike
41.91
IV
65.0%
B/E move
2.2%

70Δ

Calls
Pseudo strike
37.80
IV
102.2%
B/E move
2.9%
Puts
Pseudo strike
42.37
IV
60.9%
B/E move
1.5%

75Δ

Calls
Pseudo strike
37.01
IV
104.7%
B/E move
2.5%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
36.23
IV
100.6%
B/E move
1.9%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend57.76%
Daily EOD
XENE48.0%53.3%58.5%2026-10-19: 50.76%2026-10-20: 50.40%2026-10-21: 50.51%2026-10-22: 51.84%2026-10-23: 54.31%2026-10-26: 55.67%2026-10-27: 56.92%2026-10-28: 53.43%2026-10-29: 48.74%2026-10-30: 57.76%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
50.76%
50.40%
50.51%
51.84%
54.31%
55.67%
56.92%
53.43%
48.74%
57.76%