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LivaNova PLC Ordinary Shares LIVN

i

Market dataready · fetched 2026-11-04T02:51:21.009Z

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 · 2026-11-03T21:00:02.276605102Z

FundamentalsSEC EDGAR · ready · as of 2026-06-30 · fetched 2026-11-04T02:51:20.563957+00:00

Share price$79.90
1D-0.9%
AH$79.47$80.10$80.73$81.35$81.985:30 AM6:30 AM9:00 AM1:00 PM2:00 PMLIVN
Sold putSold callAH

LivaNova PLC Ordinary Shares options

Live interpolated LIVN call and put midpoint premiums by absolute delta.LivaNova PLC Ordinary Shares$0.96$3.45$5.94$8.43$10.93$67.52$73.99$80.46$86.92$93.3920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive LIVN spot · $79.90LIVN PRICE$1.23$1.48$1.84$2.24$2.68$3.22$3.91$4.75$5.81$6.68$7.49$8.75$10.21$1.48$1.83$2.23$2.79$3.30$3.74$4.27$4.87$5.47$6.05$6.68$7.58$8.50
PutsExpensive2.38×
CallsExpensive2.04×
SkewBullish-6.49 pp
Implied moveBearish±$8.18
TiltBalanced1.2% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ91.9769.4%16.6%71.0972.1%12.9%
25Δ88.3761.5%12.5%73.3966.5%10.4%
30Δ86.4059.6%10.4%75.2263.1%8.7%
35Δ84.7759.0%8.9%76.6463.2%7.6%
40Δ83.3358.2%7.6%78.0362.1%6.5%
45Δ81.9658.7%6.6%79.3759.2%5.3%
50Δ80.7161.0%5.9%80.6457.1%4.4%
55Δ79.3764.2%5.3%81.8555.9%3.7%
60Δ77.9168.6%4.8%83.0054.1%3.0%
65Δ76.4368.8%4.0%84.0851.9%2.3%
70Δ74.9467.5%3.2%85.1949.8%1.7%
75Δ73.2068.6%2.6%86.4348.5%1.3%
80Δ71.2769.7%2.0%87.6947.2%0.9%

20Δ

Calls
Pseudo strike
91.97
IV
69.4%
B/E move
16.6%
Puts
Pseudo strike
71.09
IV
72.1%
B/E move
12.9%

25Δ

Calls
Pseudo strike
88.37
IV
61.5%
B/E move
12.5%
Puts
Pseudo strike
73.39
IV
66.5%
B/E move
10.4%

30Δ

Calls
Pseudo strike
86.40
IV
59.6%
B/E move
10.4%
Puts
Pseudo strike
75.22
IV
63.1%
B/E move
8.7%

35Δ

Calls
Pseudo strike
84.77
IV
59.0%
B/E move
8.9%
Puts
Pseudo strike
76.64
IV
63.2%
B/E move
7.6%

40Δ

Calls
Pseudo strike
83.33
IV
58.2%
B/E move
7.6%
Puts
Pseudo strike
78.03
IV
62.1%
B/E move
6.5%

45Δ

Calls
Pseudo strike
81.96
IV
58.7%
B/E move
6.6%
Puts
Pseudo strike
79.37
IV
59.2%
B/E move
5.3%

50Δ

Calls
Pseudo strike
80.71
IV
61.0%
B/E move
5.9%
Puts
Pseudo strike
80.64
IV
57.1%
B/E move
4.4%

55Δ

Calls
Pseudo strike
79.37
IV
64.2%
B/E move
5.3%
Puts
Pseudo strike
81.85
IV
55.9%
B/E move
3.7%

60Δ

Calls
Pseudo strike
77.91
IV
68.6%
B/E move
4.8%
Puts
Pseudo strike
83.00
IV
54.1%
B/E move
3.0%

65Δ

Calls
Pseudo strike
76.43
IV
68.8%
B/E move
4.0%
Puts
Pseudo strike
84.08
IV
51.9%
B/E move
2.3%

70Δ

Calls
Pseudo strike
74.94
IV
67.5%
B/E move
3.2%
Puts
Pseudo strike
85.19
IV
49.8%
B/E move
1.7%

75Δ

Calls
Pseudo strike
73.20
IV
68.6%
B/E move
2.6%
Puts
Pseudo strike
86.43
IV
48.5%
B/E move
1.3%

80Δ

Calls
Pseudo strike
71.27
IV
69.7%
B/E move
2.0%
Puts
Pseudo strike
87.69
IV
47.2%
B/E move
0.9%

Options history

IV · four-Friday blend42.87%
Daily close
LIVN34.1%43.1%52.2%2026-08-05: 40.52%2026-08-06: 40.04%2026-08-07: 39.55%2026-08-10: 40.45%2026-08-11: 38.17%2026-08-12: 37.51%2026-08-13: 36.80%2026-08-14: 37.64%2026-08-17: 40.70%2026-08-18: 41.92%2026-08-19: 40.41%2026-08-21: 36.30%2026-08-24: 37.96%2026-08-25: 37.39%2026-08-26: 37.23%2026-08-27: 36.57%2026-08-28: 36.81%2026-08-31: 35.77%2026-09-01: 35.64%2026-09-02: 35.83%2026-09-03: 35.30%2026-09-04: 35.62%2026-09-08: 38.75%2026-09-09: 38.91%2026-09-10: 39.63%2026-09-11: 38.42%2026-09-14: 38.98%2026-09-15: 42.28%2026-09-16: 46.40%2026-09-18: 37.48%2026-09-21: 38.79%2026-09-22: 40.50%2026-09-23: 40.50%2026-09-24: 40.17%2026-09-25: 40.88%2026-09-28: 37.99%2026-09-29: 39.12%2026-09-30: 39.20%2026-10-01: 38.32%2026-10-02: 38.91%2026-10-05: 40.46%2026-10-06: 40.65%2026-10-07: 41.70%2026-10-08: 41.27%2026-10-09: 43.84%2026-10-12: 41.33%2026-10-13: 46.75%2026-10-14: 50.93%2026-10-15: 49.92%2026-10-16: 41.05%2026-10-19: 40.51%2026-10-20: 39.16%2026-10-21: 40.26%2026-10-22: 39.76%2026-10-23: 42.10%2026-10-26: 42.37%2026-10-27: 42.23%2026-10-28: 41.51%2026-10-29: 40.18%2026-10-30: 42.87%Aug 5Sep 18Oct 30
60 observations2026-08-05 — 2026-10-30
Table
DateIV (%)
40.52%
40.04%
39.55%
40.45%
38.17%
37.51%
36.80%
37.64%
40.70%
41.92%
40.41%
36.30%
37.96%
37.39%
37.23%
36.57%
36.81%
35.77%
35.64%
35.83%
35.30%
35.62%
38.75%
38.91%
39.63%
38.42%
38.98%
42.28%
46.40%
37.48%
38.79%
40.50%
40.50%
40.17%
40.88%
37.99%
39.12%
39.20%
38.32%
38.91%
40.46%
40.65%
41.70%
41.27%
43.84%
41.33%
46.75%
50.93%
49.92%
41.05%
40.51%
39.16%
40.26%
39.76%
42.10%
42.37%
42.23%
41.51%
40.18%
42.87%