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Lyell Immunopharma, Inc. Common Stock LYEL

i

Market datapartial · fetched 2026-11-03T16:07:56.488Z

Delta surfaceAlpaca · derived absolute-delta buckets ·

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 · 2026-11-03T15:44:53.207412784Z

FundamentalsAlpha Vantage · unavailable

Share price$11.27
1D+3.2%
$10.87$11.05$11.23$11.41$11.605:30 AM6:30 AM9:00 AM1:00 PMLYEL
Sold putSold call

Lyell Immunopharma, Inc. Common Stock options

Live interpolated LYEL call and put midpoint premiums by absolute delta.Lyell Immunopharma, Inc. Common Stock$0.00$0.27$0.54$0.81$1.08$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —35Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —40Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —45Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —50Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —55Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —60Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —65Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —70Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —75Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICELYEL PRICE
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ
40Δ
45Δ
50Δ
55Δ
60Δ
65Δ
70Δ
75Δ
80Δ

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
IV
B/E move

30Δ

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

35Δ

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

40Δ

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

45Δ

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

50Δ

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

55Δ

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

60Δ

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

65Δ

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

70Δ

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

75Δ

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

80Δ

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

Options history

IV · four-Friday blend176.75%
Daily close
LYEL96.0%203.4%310.7%2026-08-05: 154.87%2026-08-06: 151.33%2026-08-07: 148.58%2026-08-10: 158.43%2026-08-11: 154.26%2026-08-12: 167.77%2026-08-13: 177.51%2026-08-14: 183.33%2026-08-17: 222.19%2026-08-18: 211.85%2026-08-19: 229.13%2026-08-21: 110.84%2026-08-24: 115.80%2026-08-25: 116.21%2026-08-26: 113.81%2026-08-27: 112.81%2026-08-28: 126.31%2026-08-31: 131.25%2026-09-01: 131.85%2026-09-02: 130.42%2026-09-03: 137.62%2026-09-04: 139.30%2026-09-08: 162.01%2026-09-09: 160.79%2026-09-10: 175.88%2026-09-11: 205.89%2026-09-14: 255.06%2026-09-18: 153.99%2026-09-21: 157.95%2026-09-22: 157.61%2026-09-23: 176.65%2026-09-24: 183.85%2026-09-25: 191.93%2026-09-28: 204.72%2026-09-29: 211.84%2026-09-30: 210.50%2026-10-01: 227.78%2026-10-07: 295.88%2026-10-12: 289.51%2026-10-30: 176.75%Aug 5Sep 2Oct 30
40 observations2026-08-05 — 2026-10-30
Table
DateIV (%)
154.87%
151.33%
148.58%
158.43%
154.26%
167.77%
177.51%
183.33%
222.19%
211.85%
229.13%
110.84%
115.80%
116.21%
113.81%
112.81%
126.31%
131.25%
131.85%
130.42%
137.62%
139.30%
162.01%
160.79%
175.88%
205.89%
255.06%
153.99%
157.95%
157.61%
176.65%
183.85%
191.93%
204.72%
211.84%
210.50%
227.78%
295.88%
289.51%
176.75%