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Neurogene Inc. Common Stock NGNE

HEALTHCARE · BIOTECHNOLOGY
i

Market dataready · fetched 2026-11-04T07:22:44.965Z

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 · 2026-11-03T21:00:01.943374378Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-04T07:22:44.265590+00:00

Share price$26.67
1D-1.6%
AH$26.33$26.92$27.51$28.10$28.695:30 AM6:30 AM9:00 AM1:00 PM2:00 PMNGNE
Sold putSold callAH

Neurogene Inc. Common Stock options

Live interpolated NGNE call and put midpoint premiums by absolute delta.Neurogene Inc. Common Stock$2.14$5.04$7.94$10.84$13.74$16.63$20.94$25.24$29.55$33.8620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —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 —OPTION PRICELive NGNE spot · $26.67NGNE PRICE$2.45$2.52$2.76$2.99$3.23$3.46$4.00$4.55$5.19$2.45$2.45$2.45$2.45$2.69$2.96$3.24$3.51$3.78$4.05$5.33$9.11$12.90
PutsExpensive1.66×
Calls——
Skew——
Implied moveBearish±$5.99
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ19.18286.8%37.3%
25Δ21.63225.3%28.1%
30Δ23.37185.0%21.6%
35Δ24.82152.2%16.1%
40Δ32.50190.3%31.1%25.67141.2%13.8%
45Δ29.66158.7%20.7%26.42133.1%12.0%
50Δ28.51148.5%17.2%27.18125.0%10.2%
55Δ27.36138.4%13.8%27.94116.9%8.4%
60Δ26.21128.2%10.4%28.70108.8%6.6%
65Δ25.06118.1%7.0%29.46100.7%4.8%
70Δ24.17117.1%5.6%31.1299.2%3.3%
75Δ23.30116.7%4.4%35.07114.0%2.7%
80Δ22.35118.0%3.3%39.01128.8%2.1%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
19.18
IV
286.8%
B/E move
37.3%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
21.63
IV
225.3%
B/E move
28.1%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
23.37
IV
185.0%
B/E move
21.6%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
24.82
IV
152.2%
B/E move
16.1%

40Δ

Calls
Pseudo strike
32.50
IV
190.3%
B/E move
31.1%
Puts
Pseudo strike
25.67
IV
141.2%
B/E move
13.8%

45Δ

Calls
Pseudo strike
29.66
IV
158.7%
B/E move
20.7%
Puts
Pseudo strike
26.42
IV
133.1%
B/E move
12.0%

50Δ

Calls
Pseudo strike
28.51
IV
148.5%
B/E move
17.2%
Puts
Pseudo strike
27.18
IV
125.0%
B/E move
10.2%

55Δ

Calls
Pseudo strike
27.36
IV
138.4%
B/E move
13.8%
Puts
Pseudo strike
27.94
IV
116.9%
B/E move
8.4%

60Δ

Calls
Pseudo strike
26.21
IV
128.2%
B/E move
10.4%
Puts
Pseudo strike
28.70
IV
108.8%
B/E move
6.6%

65Δ

Calls
Pseudo strike
25.06
IV
118.1%
B/E move
7.0%
Puts
Pseudo strike
29.46
IV
100.7%
B/E move
4.8%

70Δ

Calls
Pseudo strike
24.17
IV
117.1%
B/E move
5.6%
Puts
Pseudo strike
31.12
IV
99.2%
B/E move
3.3%

75Δ

Calls
Pseudo strike
23.30
IV
116.7%
B/E move
4.4%
Puts
Pseudo strike
35.07
IV
114.0%
B/E move
2.7%

80Δ

Calls
Pseudo strike
22.35
IV
118.0%
B/E move
3.3%
Puts
Pseudo strike
39.01
IV
128.8%
B/E move
2.1%

Options history

IV · four-Friday blend95.95%
Daily EOD
NGNE89.1%94.7%100.4%2026-10-19: 91.31%2026-10-20: 97.01%2026-10-21: 94.24%2026-10-22: 93.31%2026-10-23: 96.91%2026-10-26: 97.01%2026-10-27: 99.59%2026-10-28: 89.90%2026-10-29: 94.00%2026-10-30: 95.95%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
91.31%
97.01%
94.24%
93.31%
96.91%
97.01%
99.59%
89.90%
94.00%
95.95%