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Immunocore Holdings plc American Depositary Shares IMCR

i

Market dataready · fetched 2026-11-04T06:49:54.312Z

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 · 2026-11-03T21:00:02.306097364Z

FundamentalsSEC EDGAR · ready · as of 2026-06-30 · fetched 2026-11-04T06:49:53.322874+00:00

Share price$30.03
1D+0.7%
AH$29.79$29.95$30.10$30.26$30.425:30 AM6:30 AM9:00 AM1:00 PM2:00 PMIMCR
Sold putSold callAH

Immunocore Holdings plc American Depositary Shares options

Live interpolated IMCR call and put midpoint premiums by absolute delta.Immunocore Holdings plc American Depositary Shares$1.16$2.27$3.39$4.50$5.62$26.06$28.11$30.15$32.20$34.2420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive IMCR spot · $30.03IMCR PRICE$1.28$1.53$1.78$2.04$2.34$2.93$3.52$4.11$4.70$5.30$1.83$2.37$2.11$2.60$3.09$3.58$4.06$4.55$5.04
Puts——
Calls——
Skew——
Implied moveBalanced±$4.15
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ22.92203.7%29.8%
25Δ24.74197.3%25.5%
30Δ
35Δ33.1387.4%14.6%
40Δ32.3287.7%12.7%
45Δ31.5087.9%10.8%
50Δ30.6988.1%9.0%30.5171.5%5.4%
55Δ29.8788.7%7.3%31.2071.5%4.8%
60Δ29.0291.1%6.4%31.8871.4%4.1%
65Δ28.1693.5%5.5%32.5771.4%3.4%
70Δ27.3095.9%4.6%33.2671.3%2.8%
75Δ26.4498.3%3.7%33.9571.3%2.1%
80Δ25.58100.7%2.8%34.6371.2%1.5%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
22.92
IV
203.7%
B/E move
29.8%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
24.74
IV
197.3%
B/E move
25.5%

30Δ

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

35Δ

Calls
Pseudo strike
33.13
IV
87.4%
B/E move
14.6%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
32.32
IV
87.7%
B/E move
12.7%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
31.50
IV
87.9%
B/E move
10.8%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
30.69
IV
88.1%
B/E move
9.0%
Puts
Pseudo strike
30.51
IV
71.5%
B/E move
5.4%

55Δ

Calls
Pseudo strike
29.87
IV
88.7%
B/E move
7.3%
Puts
Pseudo strike
31.20
IV
71.5%
B/E move
4.8%

60Δ

Calls
Pseudo strike
29.02
IV
91.1%
B/E move
6.4%
Puts
Pseudo strike
31.88
IV
71.4%
B/E move
4.1%

65Δ

Calls
Pseudo strike
28.16
IV
93.5%
B/E move
5.5%
Puts
Pseudo strike
32.57
IV
71.4%
B/E move
3.4%

70Δ

Calls
Pseudo strike
27.30
IV
95.9%
B/E move
4.6%
Puts
Pseudo strike
33.26
IV
71.3%
B/E move
2.8%

75Δ

Calls
Pseudo strike
26.44
IV
98.3%
B/E move
3.7%
Puts
Pseudo strike
33.95
IV
71.3%
B/E move
2.1%

80Δ

Calls
Pseudo strike
25.58
IV
100.7%
B/E move
2.8%
Puts
Pseudo strike
34.63
IV
71.2%
B/E move
1.5%

Options history

IV · four-Friday blend71.21%
Daily close
IMCR58.7%71.2%83.6%2026-08-10: 69.35%2026-08-11: 73.47%2026-08-13: 71.90%2026-08-17: 69.95%2026-08-21: 64.87%2026-08-24: 64.33%2026-08-25: 60.45%2026-08-26: 62.68%2026-08-27: 65.13%2026-08-31: 68.96%2026-09-01: 76.66%2026-09-02: 67.23%2026-09-09: 71.79%2026-09-10: 76.95%2026-09-22: 70.83%2026-09-28: 64.83%2026-09-29: 66.91%2026-10-01: 81.90%2026-10-02: 80.96%2026-10-05: 70.07%2026-10-06: 72.93%2026-10-16: 71.67%2026-10-19: 66.84%2026-10-20: 64.65%2026-10-21: 65.12%2026-10-22: 66.09%2026-10-23: 67.59%2026-10-26: 68.15%2026-10-27: 62.53%2026-10-28: 64.76%2026-10-29: 70.87%2026-10-30: 71.21%Aug 10Sep 28Oct 30
32 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
69.35%
73.47%
71.90%
69.95%
64.87%
64.33%
60.45%
62.68%
65.13%
68.96%
76.66%
67.23%
71.79%
76.95%
70.83%
64.83%
66.91%
81.90%
80.96%
70.07%
72.93%
71.67%
66.84%
64.65%
65.12%
66.09%
67.59%
68.15%
62.53%
64.76%
70.87%
71.21%