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Valens Semiconductor Ltd. VLN

TECHNOLOGY · SEMICONDUCTORS
i

Market dataready · fetched 2026-11-03T23:51:00.258Z

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 · 2026-11-03T23:30:00.003165017Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-03T23:50:59.699054+00:00

Share price$1.48
1D+0.0%
AH$1.46$1.47$1.48$1.49$1.515:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVLN
Sold putSold callAH

Valens Semiconductor Ltd. options

Live interpolated VLN call and put midpoint premiums by absolute delta.Valens Semiconductor Ltd.$0.03$0.22$0.41$0.60$0.78$1.05$1.24$1.43$1.63$1.8220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ55Δ C unavailable: no unambiguous, price-consistent delta bracketC —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive VLN spot · $1.48VLN PRICE$0.05$0.07$0.08$0.10$0.11$0.12$0.14$0.06$0.07$0.07$0.08$0.09$0.09$0.10$0.21$0.31$0.42$0.52$0.63$0.73
PutsExpensive1.37×
Calls——
Skew——
Implied moveBullish±$0.24
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ2.29161.7%58.1%1.10175.0%30.0%
25Δ2.17156.1%51.1%1.16157.7%25.8%
30Δ2.05150.5%44.2%1.23140.4%21.7%
35Δ1.94144.9%37.3%1.30123.1%17.6%
40Δ1.82139.3%30.3%1.37105.7%13.5%
45Δ1.70133.7%23.4%1.4388.4%9.4%
50Δ1.58128.1%16.5%1.5071.8%5.4%
55Δ1.6279.7%4.8%
60Δ1.7387.6%4.2%
65Δ1.8495.5%3.7%
70Δ1.96103.4%3.1%
75Δ2.07111.3%2.5%
80Δ2.18119.2%2.0%

20Δ

Calls
Pseudo strike
2.29
IV
161.7%
B/E move
58.1%
Puts
Pseudo strike
1.10
IV
175.0%
B/E move
30.0%

25Δ

Calls
Pseudo strike
2.17
IV
156.1%
B/E move
51.1%
Puts
Pseudo strike
1.16
IV
157.7%
B/E move
25.8%

30Δ

Calls
Pseudo strike
2.05
IV
150.5%
B/E move
44.2%
Puts
Pseudo strike
1.23
IV
140.4%
B/E move
21.7%

35Δ

Calls
Pseudo strike
1.94
IV
144.9%
B/E move
37.3%
Puts
Pseudo strike
1.30
IV
123.1%
B/E move
17.6%

40Δ

Calls
Pseudo strike
1.82
IV
139.3%
B/E move
30.3%
Puts
Pseudo strike
1.37
IV
105.7%
B/E move
13.5%

45Δ

Calls
Pseudo strike
1.70
IV
133.7%
B/E move
23.4%
Puts
Pseudo strike
1.43
IV
88.4%
B/E move
9.4%

50Δ

Calls
Pseudo strike
1.58
IV
128.1%
B/E move
16.5%
Puts
Pseudo strike
1.50
IV
71.8%
B/E move
5.4%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.62
IV
79.7%
B/E move
4.8%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.73
IV
87.6%
B/E move
4.2%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.84
IV
95.5%
B/E move
3.7%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.96
IV
103.4%
B/E move
3.1%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
2.07
IV
111.3%
B/E move
2.5%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
2.18
IV
119.2%
B/E move
2.0%

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations