IntraAlpha
Create free account Start free

Aurora Innovation, Inc. Class A Common Stock AUR

i

Market dataready · fetched 2026-11-04T00:56:21.290Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-06

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 · 2026-11-04T00:53:35.629657128Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-04T00:56:20.704388+00:00

Share price$4.25
1D-0.5%
AH$4.17$4.24$4.31$4.38$4.455:30 AM6:30 AM9:00 AM1:00 PM2:00 PMAUR
Sold putSold callAH

Aurora Innovation, Inc. Class A Common Stock options

Live interpolated AUR call and put midpoint premiums by absolute delta.Aurora Innovation, Inc. Class A Common Stock$0.03$0.20$0.36$0.53$0.69$3.83$4.03$4.24$4.44$4.6420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive AUR spot · $4.25AUR PRICE$0.05$0.10$0.16$0.21$0.26$0.32$0.37$0.43$0.48$0.54$0.59$0.64$0.06$0.09$0.11$0.13$0.16$0.18$0.21$0.23$0.25$0.28$0.34
Puts——
Calls——
Skew——
Implied moveBullish±$0.50
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ4.5192.6%7.3%4.0297.3%6.8%
30Δ4.4396.7%6.6%4.0796.6%6.2%
35Δ4.36102.2%6.1%4.1295.9%5.7%
40Δ4.28107.8%5.6%4.1795.2%5.1%
45Δ4.21113.3%5.2%4.2294.4%4.5%
50Δ4.13118.9%4.7%4.2693.7%3.9%
55Δ4.06124.4%4.2%4.3193.0%3.4%
60Δ3.98129.9%3.7%4.3692.3%2.8%
65Δ3.91135.5%3.2%4.4191.5%2.2%
70Δ3.83141.0%2.7%4.4690.8%1.7%
75Δ3.76146.6%2.2%4.5494.2%1.2%
80Δ3.68152.1%1.8%

20Δ

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

25Δ

Calls
Pseudo strike
4.51
IV
92.6%
B/E move
7.3%
Puts
Pseudo strike
4.02
IV
97.3%
B/E move
6.8%

30Δ

Calls
Pseudo strike
4.43
IV
96.7%
B/E move
6.6%
Puts
Pseudo strike
4.07
IV
96.6%
B/E move
6.2%

35Δ

Calls
Pseudo strike
4.36
IV
102.2%
B/E move
6.1%
Puts
Pseudo strike
4.12
IV
95.9%
B/E move
5.7%

40Δ

Calls
Pseudo strike
4.28
IV
107.8%
B/E move
5.6%
Puts
Pseudo strike
4.17
IV
95.2%
B/E move
5.1%

45Δ

Calls
Pseudo strike
4.21
IV
113.3%
B/E move
5.2%
Puts
Pseudo strike
4.22
IV
94.4%
B/E move
4.5%

50Δ

Calls
Pseudo strike
4.13
IV
118.9%
B/E move
4.7%
Puts
Pseudo strike
4.26
IV
93.7%
B/E move
3.9%

55Δ

Calls
Pseudo strike
4.06
IV
124.4%
B/E move
4.2%
Puts
Pseudo strike
4.31
IV
93.0%
B/E move
3.4%

60Δ

Calls
Pseudo strike
3.98
IV
129.9%
B/E move
3.7%
Puts
Pseudo strike
4.36
IV
92.3%
B/E move
2.8%

65Δ

Calls
Pseudo strike
3.91
IV
135.5%
B/E move
3.2%
Puts
Pseudo strike
4.41
IV
91.5%
B/E move
2.2%

70Δ

Calls
Pseudo strike
3.83
IV
141.0%
B/E move
2.7%
Puts
Pseudo strike
4.46
IV
90.8%
B/E move
1.7%

75Δ

Calls
Pseudo strike
3.76
IV
146.6%
B/E move
2.2%
Puts
Pseudo strike
4.54
IV
94.2%
B/E move
1.2%

80Δ

Calls
Pseudo strike
3.68
IV
152.1%
B/E move
1.8%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend77.79%
Daily close
AUR45.3%168.9%292.4%2026-08-05: 156.93%2026-08-07: 120.31%2026-08-10: 86.66%2026-08-11: 69.24%2026-08-12: 139.72%2026-08-13: 116.00%2026-08-14: 99.60%2026-08-17: 73.58%2026-08-18: 127.30%2026-08-21: 89.34%2026-08-24: 139.44%2026-08-25: 97.42%2026-08-26: 195.15%2026-08-28: 142.74%2026-09-01: 102.24%2026-09-02: 246.66%2026-09-03: 183.87%2026-09-04: 95.85%2026-09-08: 107.02%2026-09-09: 81.29%2026-09-10: 235.48%2026-09-11: 62.37%2026-09-14: 76.24%2026-09-17: 83.97%2026-09-18: 171.19%2026-09-21: 82.75%2026-09-22: 79.88%2026-09-23: 106.70%2026-09-24: 159.38%2026-09-25: 134.56%2026-09-28: 104.12%2026-09-29: 229.45%2026-09-30: 226.88%2026-10-01: 118.14%2026-10-02: 143.71%2026-10-05: 191.84%2026-10-06: 150.54%2026-10-07: 221.50%2026-10-09: 93.14%2026-10-12: 123.46%2026-10-13: 123.06%2026-10-14: 150.73%2026-10-16: 159.34%2026-10-19: 101.39%2026-10-20: 187.37%2026-10-21: 193.78%2026-10-23: 92.48%2026-10-26: 171.71%2026-10-27: 202.65%2026-10-28: 275.33%2026-10-30: 77.79%Aug 5Sep 21Oct 30
51 observations2026-08-05 — 2026-10-30
Table
DateIV (%)
156.93%
120.31%
86.66%
69.24%
139.72%
116.00%
99.60%
73.58%
127.30%
89.34%
139.44%
97.42%
195.15%
142.74%
102.24%
246.66%
183.87%
95.85%
107.02%
81.29%
235.48%
62.37%
76.24%
83.97%
171.19%
82.75%
79.88%
106.70%
159.38%
134.56%
104.12%
229.45%
226.88%
118.14%
143.71%
191.84%
150.54%
221.50%
93.14%
123.46%
123.06%
150.73%
159.34%
101.39%
187.37%
193.78%
92.48%
171.71%
202.65%
275.33%
77.79%