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Sigma Lithium Corporation Common Shares SGML

BASIC MATERIALS · OTHER INDUSTRIAL METALS & MINING
i

Market dataready · fetched 2026-11-04T05:49:29.617Z

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 · 2026-11-03T23:47:26.509680846Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-04T05:49:28.872008+00:00

Share price$5.56
1D+7.1%
AH$5.09$5.26$5.43$5.59$5.765:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSGML
Sold putSold callAH

Sigma Lithium Corporation Common Shares options

Live interpolated SGML call and put midpoint premiums by absolute delta.Sigma Lithium Corporation Common Shares$0.09$0.47$0.85$1.23$1.61$2.76$4.41$6.05$7.69$9.3420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SGML spot · $5.55SGML PRICE$0.13$0.17$0.21$0.26$0.30$0.38$0.45$0.53$0.61$0.69$0.76$0.90$1.08$0.21$0.25$0.29$0.37$0.44$0.51$0.58$0.65$0.72$0.91$1.11$1.30$1.50
PutsCheap0.62×
CallsCheap0.85×
SkewBearish+7.62 pp
Implied moveBearish±$1.03
TiltBearish15.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ6.97111.3%27.8%4.21161.5%27.9%
25Δ6.73108.8%24.2%4.66135.1%20.4%
30Δ6.49106.3%20.7%5.04115.0%14.5%
35Δ6.25103.8%17.1%5.20112.3%13.0%
40Δ6.01101.3%13.5%5.36109.7%11.4%
45Δ5.85101.9%12.1%5.52107.1%9.8%
50Δ5.69102.6%10.7%5.68104.4%8.3%
55Δ5.54103.4%9.3%5.83101.8%6.7%
60Δ5.38104.1%7.9%5.9999.2%5.1%
65Δ5.23104.8%6.5%6.23101.3%4.3%
70Δ5.07105.5%5.1%6.46103.7%3.6%
75Δ4.88106.1%4.0%6.70106.0%2.8%
80Δ4.65106.6%3.1%6.94108.4%2.1%

20Δ

Calls
Pseudo strike
6.97
IV
111.3%
B/E move
27.8%
Puts
Pseudo strike
4.21
IV
161.5%
B/E move
27.9%

25Δ

Calls
Pseudo strike
6.73
IV
108.8%
B/E move
24.2%
Puts
Pseudo strike
4.66
IV
135.1%
B/E move
20.4%

30Δ

Calls
Pseudo strike
6.49
IV
106.3%
B/E move
20.7%
Puts
Pseudo strike
5.04
IV
115.0%
B/E move
14.5%

35Δ

Calls
Pseudo strike
6.25
IV
103.8%
B/E move
17.1%
Puts
Pseudo strike
5.20
IV
112.3%
B/E move
13.0%

40Δ

Calls
Pseudo strike
6.01
IV
101.3%
B/E move
13.5%
Puts
Pseudo strike
5.36
IV
109.7%
B/E move
11.4%

45Δ

Calls
Pseudo strike
5.85
IV
101.9%
B/E move
12.1%
Puts
Pseudo strike
5.52
IV
107.1%
B/E move
9.8%

50Δ

Calls
Pseudo strike
5.69
IV
102.6%
B/E move
10.7%
Puts
Pseudo strike
5.68
IV
104.4%
B/E move
8.3%

55Δ

Calls
Pseudo strike
5.54
IV
103.4%
B/E move
9.3%
Puts
Pseudo strike
5.83
IV
101.8%
B/E move
6.7%

60Δ

Calls
Pseudo strike
5.38
IV
104.1%
B/E move
7.9%
Puts
Pseudo strike
5.99
IV
99.2%
B/E move
5.1%

65Δ

Calls
Pseudo strike
5.23
IV
104.8%
B/E move
6.5%
Puts
Pseudo strike
6.23
IV
101.3%
B/E move
4.3%

70Δ

Calls
Pseudo strike
5.07
IV
105.5%
B/E move
5.1%
Puts
Pseudo strike
6.46
IV
103.7%
B/E move
3.6%

75Δ

Calls
Pseudo strike
4.88
IV
106.1%
B/E move
4.0%
Puts
Pseudo strike
6.70
IV
106.0%
B/E move
2.8%

80Δ

Calls
Pseudo strike
4.65
IV
106.6%
B/E move
3.1%
Puts
Pseudo strike
6.94
IV
108.4%
B/E move
2.1%

Options history

IV · four-Friday blend112.06%
Daily EOD
SGML77.4%96.0%114.6%2026-10-19: 80.37%2026-10-20: 79.95%2026-10-21: 80.14%2026-10-22: 82.43%2026-10-23: 84.28%2026-10-26: 84.14%2026-10-27: 83.61%2026-10-28: 83.59%2026-10-29: 84.32%2026-10-30: 112.06%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
80.37%
79.95%
80.14%
82.43%
84.28%
84.14%
83.61%
83.59%
84.32%
112.06%