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Vanda Pharmaceuticals Inc. Common Stock VNDA

HEALTHCARE · BIOTECHNOLOGY
i

Market dataready · fetched 2026-11-08T09:15:14.724Z

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 · 2026-11-06T23:54:46.992168405Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-08T09:15:14.340480+00:00

Share price$3.88
1D+3.5%
AH$3.60$3.66$3.73$3.80$3.875:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVNDA
Sold putSold callAH

Vanda Pharmaceuticals Inc. Common Stock options

Live interpolated VNDA call and put midpoint premiums by absolute delta.Vanda Pharmaceuticals Inc. Common Stock$0.00$1.24$2.48$3.72$4.96$2.87$3.42$3.98$4.53$5.0820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ 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 —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive VNDA spot · $3.88VNDA PRICE$0.16$0.17$0.18$0.30$0.42$0.53$0.65$0.77$0.89$1.01$0.07$0.09$0.11$0.13$0.15$0.17$0.19$3.84$4.60
Puts——
Calls——
Skew——
Implied moveBullish±$0.49
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ3.2590.7%18.2%
25Δ3.3486.4%16.3%
30Δ3.4482.0%14.3%
35Δ4.49121.2%20.0%3.5377.7%12.3%
40Δ4.24100.4%13.7%3.6373.3%10.3%
45Δ4.0080.4%7.6%3.7369.0%8.3%
50Δ3.8695.8%7.2%3.8264.6%6.4%
55Δ3.73111.2%6.7%
60Δ3.59126.5%6.3%
65Δ3.45141.9%5.8%
70Δ3.32157.3%5.4%
75Δ3.18172.6%5.0%7.45350.0%6.9%
80Δ3.05188.0%4.5%8.28348.8%5.3%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.25
IV
90.7%
B/E move
18.2%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.34
IV
86.4%
B/E move
16.3%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.44
IV
82.0%
B/E move
14.3%

35Δ

Calls
Pseudo strike
4.49
IV
121.2%
B/E move
20.0%
Puts
Pseudo strike
3.53
IV
77.7%
B/E move
12.3%

40Δ

Calls
Pseudo strike
4.24
IV
100.4%
B/E move
13.7%
Puts
Pseudo strike
3.63
IV
73.3%
B/E move
10.3%

45Δ

Calls
Pseudo strike
4.00
IV
80.4%
B/E move
7.6%
Puts
Pseudo strike
3.73
IV
69.0%
B/E move
8.3%

50Δ

Calls
Pseudo strike
3.86
IV
95.8%
B/E move
7.2%
Puts
Pseudo strike
3.82
IV
64.6%
B/E move
6.4%

55Δ

Calls
Pseudo strike
3.73
IV
111.2%
B/E move
6.7%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
3.59
IV
126.5%
B/E move
6.3%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
3.45
IV
141.9%
B/E move
5.8%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
3.32
IV
157.3%
B/E move
5.4%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
3.18
IV
172.6%
B/E move
5.0%
Puts
Pseudo strike
7.45
IV
350.0%
B/E move
6.9%

80Δ

Calls
Pseudo strike
3.05
IV
188.0%
B/E move
4.5%
Puts
Pseudo strike
8.28
IV
348.8%
B/E move
5.3%

Options history

IV · four-Friday blend115.13%
Daily EOD
VNDA97.4%130.8%164.3%2026-10-19: 157.95%2026-10-20: 101.97%2026-10-21: 109.09%2026-10-23: 124.25%2026-10-26: 108.73%2026-10-27: 105.84%2026-10-28: 106.37%2026-10-29: 159.66%2026-10-30: 115.13%Oct 19Oct 26Oct 30
9 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
157.95%
101.97%
109.09%
124.25%
108.73%
105.84%
106.37%
159.66%
115.13%