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Lyell Immunopharma, Inc. Common Stock LYEL

HEALTHCARE · BIOTECHNOLOGY
i

Market dataready · fetched 2026-11-07T07:55:41.854Z

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 · 2026-11-07T00:21:49.602456584Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-07T07:55:41.567831+00:00

Share price$14.86
1D-3.1%
AH$14.69$14.97$15.26$15.54$15.835:30 AM6:30 AM9:00 AM1:00 PM2:00 PMLYEL
Sold putSold callAH

Lyell Immunopharma, Inc. Common Stock options

Live interpolated LYEL call and put midpoint premiums by absolute delta.Lyell Immunopharma, Inc. Common Stock$2.43$2.62$2.81$2.99$3.18$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ 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 —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELYEL PRICE$2.45$2.45$2.45$2.45$2.45$2.46$2.48$2.51$3.13$2.45$2.45$2.45$2.45$2.45$2.45$2.45$2.45
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
25Δ11.86377.2%36.7%
30Δ13.01313.6%28.9%
35Δ13.92266.0%22.8%
40Δ27.80463.3%103.6%
45Δ21.16366.7%58.9%
50Δ17.51294.7%34.3%
55Δ15.70243.6%22.1%16.06151.7%8.4%
60Δ14.62204.6%14.8%16.29136.3%6.9%
65Δ13.88173.6%10.0%16.52121.0%5.3%
70Δ13.44151.8%7.1%16.75105.7%3.8%
75Δ12.99130.4%4.3%16.9790.4%2.3%
80Δ12.26143.8%3.6%

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
11.86
IV
377.2%
B/E move
36.7%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
13.01
IV
313.6%
B/E move
28.9%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
13.92
IV
266.0%
B/E move
22.8%

40Δ

Calls
Pseudo strike
27.80
IV
463.3%
B/E move
103.6%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
21.16
IV
366.7%
B/E move
58.9%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
17.51
IV
294.7%
B/E move
34.3%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
15.70
IV
243.6%
B/E move
22.1%
Puts
Pseudo strike
16.06
IV
151.7%
B/E move
8.4%

60Δ

Calls
Pseudo strike
14.62
IV
204.6%
B/E move
14.8%
Puts
Pseudo strike
16.29
IV
136.3%
B/E move
6.9%

65Δ

Calls
Pseudo strike
13.88
IV
173.6%
B/E move
10.0%
Puts
Pseudo strike
16.52
IV
121.0%
B/E move
5.3%

70Δ

Calls
Pseudo strike
13.44
IV
151.8%
B/E move
7.1%
Puts
Pseudo strike
16.75
IV
105.7%
B/E move
3.8%

75Δ

Calls
Pseudo strike
12.99
IV
130.4%
B/E move
4.3%
Puts
Pseudo strike
16.97
IV
90.4%
B/E move
2.3%

80Δ

Calls
Pseudo strike
12.26
IV
143.8%
B/E move
3.6%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend176.75%
Daily close
LYEL96.0%203.4%310.7%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 10Sep 4Oct 30
37 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
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%