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Zura Bio Limited Class A Ordinary Shares ZURA

HEALTHCARE · BIOTECHNOLOGY
i

Market dataready · fetched 2026-11-12T02:43:59.689Z

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 · 2026-11-12T00:48:46.988437306Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T02:43:58.675117+00:00

Share price$1.40
1D+1.4%
AH$1.36$1.41$1.46$1.52$1.575:30 AM6:30 AM9:00 AM1:00 PM2:00 PMZURA
Sold putSold callAH

Zura Bio Limited Class A Ordinary Shares options

Live interpolated ZURA call and put midpoint premiums by absolute delta.Zura Bio Limited Class A Ordinary Shares$0.11$0.78$1.44$2.10$2.77$-2.00$0.29$2.59$4.88$7.1720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —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 ZURA spot · $1.40ZURA PRICE$0.19$0.24$0.29$0.35$0.40$0.45$0.47$0.48$0.49$2.46$2.47$2.49$2.51$2.52$2.54$2.56$2.58
Puts——
Calls——
Skew——
Implied moveBearish±$2.84
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ3.03505.2%58.9%
30Δ3.12477.4%54.0%
35Δ3.20449.5%49.1%
40Δ1.94142.5%51.9%3.29421.7%44.2%
45Δ1.85156.2%49.3%3.37393.9%39.3%
50Δ1.76169.9%46.8%3.46366.0%34.4%
55Δ1.67183.5%44.2%3.55338.2%29.5%
60Δ1.58197.2%41.6%3.63310.3%24.6%
65Δ1.49207.2%38.4%
70Δ1.34182.9%29.3%
75Δ1.20158.6%20.2%
80Δ1.06134.3%11.1%

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
3.03
IV
505.2%
B/E move
58.9%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.12
IV
477.4%
B/E move
54.0%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.20
IV
449.5%
B/E move
49.1%

40Δ

Calls
Pseudo strike
1.94
IV
142.5%
B/E move
51.9%
Puts
Pseudo strike
3.29
IV
421.7%
B/E move
44.2%

45Δ

Calls
Pseudo strike
1.85
IV
156.2%
B/E move
49.3%
Puts
Pseudo strike
3.37
IV
393.9%
B/E move
39.3%

50Δ

Calls
Pseudo strike
1.76
IV
169.9%
B/E move
46.8%
Puts
Pseudo strike
3.46
IV
366.0%
B/E move
34.4%

55Δ

Calls
Pseudo strike
1.67
IV
183.5%
B/E move
44.2%
Puts
Pseudo strike
3.55
IV
338.2%
B/E move
29.5%

60Δ

Calls
Pseudo strike
1.58
IV
197.2%
B/E move
41.6%
Puts
Pseudo strike
3.63
IV
310.3%
B/E move
24.6%

65Δ

Calls
Pseudo strike
1.49
IV
207.2%
B/E move
38.4%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
1.34
IV
182.9%
B/E move
29.3%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
1.20
IV
158.6%
B/E move
20.2%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
1.06
IV
134.3%
B/E move
11.1%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend257.90%
Daily EOD
ZURA234.4%247.0%259.6%2026-10-23: 236.13%2026-10-29: 257.90%Oct 23Oct 29
2 observations2026-10-23 — 2026-10-29
Table
DateIV (%)
236.13%
257.90%