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Zenas BioPharma, Inc. Common Stock ZBIO

i

Market dataready · fetched 2026-11-07T02:25:26.183Z

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 · 2026-11-06T21:00:05.763782258Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-07T02:25:25.611413+00:00

Share price$28.26
1D+6.4%
AH$25.74$26.47$27.19$27.92$28.645:30 AM6:30 AM9:00 AM1:00 PM2:00 PMZBIO
Sold putSold callAH

Zenas BioPharma, Inc. Common Stock options

Live interpolated ZBIO call and put midpoint premiums by absolute delta.Zenas BioPharma, Inc. Common Stock$0.78$2.88$4.98$7.07$9.17$17.85$21.93$26.02$30.10$34.1920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ 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 —OPTION PRICELive ZBIO spot · $28.26ZBIO PRICE$1.01$1.21$1.55$1.89$2.23$2.58$2.92$3.26$3.60$3.98$2.45$2.45$2.45$2.71$2.97$3.24$3.50$3.80$4.60$5.39$6.18$6.98$8.57
PutsExpensive2.08×
Calls——
Skew——
Implied moveBearish±$5.39
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ20.54296.9%36.0%
25Δ23.02235.5%27.2%
30Δ24.96190.3%20.3%
35Δ30.8785.7%12.8%26.00176.5%17.6%
40Δ29.8582.2%9.9%27.02163.2%14.9%
45Δ29.2482.7%8.9%28.03150.0%12.3%
50Δ28.6283.2%8.0%29.05136.8%9.6%
55Δ28.0083.7%7.0%30.07124.4%7.0%
60Δ27.3984.2%6.0%31.14123.8%6.1%
65Δ26.7784.7%5.1%32.22123.2%5.1%
70Δ26.1585.3%4.1%33.29122.7%4.1%
75Δ25.5485.8%3.1%34.36122.1%3.1%
80Δ24.8985.8%2.2%36.19126.9%2.3%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
20.54
IV
296.9%
B/E move
36.0%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
23.02
IV
235.5%
B/E move
27.2%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
24.96
IV
190.3%
B/E move
20.3%

35Δ

Calls
Pseudo strike
30.87
IV
85.7%
B/E move
12.8%
Puts
Pseudo strike
26.00
IV
176.5%
B/E move
17.6%

40Δ

Calls
Pseudo strike
29.85
IV
82.2%
B/E move
9.9%
Puts
Pseudo strike
27.02
IV
163.2%
B/E move
14.9%

45Δ

Calls
Pseudo strike
29.24
IV
82.7%
B/E move
8.9%
Puts
Pseudo strike
28.03
IV
150.0%
B/E move
12.3%

50Δ

Calls
Pseudo strike
28.62
IV
83.2%
B/E move
8.0%
Puts
Pseudo strike
29.05
IV
136.8%
B/E move
9.6%

55Δ

Calls
Pseudo strike
28.00
IV
83.7%
B/E move
7.0%
Puts
Pseudo strike
30.07
IV
124.4%
B/E move
7.0%

60Δ

Calls
Pseudo strike
27.39
IV
84.2%
B/E move
6.0%
Puts
Pseudo strike
31.14
IV
123.8%
B/E move
6.1%

65Δ

Calls
Pseudo strike
26.77
IV
84.7%
B/E move
5.1%
Puts
Pseudo strike
32.22
IV
123.2%
B/E move
5.1%

70Δ

Calls
Pseudo strike
26.15
IV
85.3%
B/E move
4.1%
Puts
Pseudo strike
33.29
IV
122.7%
B/E move
4.1%

75Δ

Calls
Pseudo strike
25.54
IV
85.8%
B/E move
3.1%
Puts
Pseudo strike
34.36
IV
122.1%
B/E move
3.1%

80Δ

Calls
Pseudo strike
24.89
IV
85.8%
B/E move
2.2%
Puts
Pseudo strike
36.19
IV
126.9%
B/E move
2.3%

Options history

IV · four-Friday blend92.11%
Daily EOD
ZBIO83.6%88.4%93.1%2026-10-19: 88.30%2026-10-20: 84.29%2026-10-21: 86.62%2026-10-22: 84.32%2026-10-23: 87.68%2026-10-26: 91.03%2026-10-27: 92.49%2026-10-28: 87.67%2026-10-29: 90.97%2026-10-30: 92.11%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
88.30%
84.29%
86.62%
84.32%
87.68%
91.03%
92.49%
87.67%
90.97%
92.11%