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Zenas BioPharma, Inc. Common Stock ZBIO

HEALTHCARE · BIOTECHNOLOGY
i

Market dataready · fetched 2026-11-07T08:09:50.173Z

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

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-07T08:06:19.307467+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$0.79$2.87$4.96$7.05$9.14$17.72$21.84$25.96$30.08$34.2020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ 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$3.99$2.45$2.45$2.45$2.71$2.97$3.24$3.50$3.80$4.59$5.38$6.18$6.97$8.54
PutsExpensive2.11×
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
20Δ20.54299.5%36.0%
25Δ23.02237.6%27.2%
30Δ24.96192.0%20.3%
35Δ30.8787.0%12.8%26.00178.7%17.6%
40Δ29.8583.0%9.9%27.01166.1%14.9%
45Δ29.2383.8%8.9%28.03153.5%12.3%
50Δ28.6284.7%8.0%29.04140.9%9.6%
55Δ28.0085.5%7.0%30.06129.0%7.1%
60Δ27.3886.4%6.0%31.14128.4%6.1%
65Δ26.7787.2%5.0%32.21127.7%5.1%
70Δ26.1588.0%4.1%33.28127.1%4.1%
75Δ25.5388.9%3.1%34.35126.5%3.1%
80Δ24.8989.2%2.2%36.16130.4%2.3%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
20.54
IV
299.5%
B/E move
36.0%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
23.02
IV
237.6%
B/E move
27.2%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
24.96
IV
192.0%
B/E move
20.3%

35Δ

Calls
Pseudo strike
30.87
IV
87.0%
B/E move
12.8%
Puts
Pseudo strike
26.00
IV
178.7%
B/E move
17.6%

40Δ

Calls
Pseudo strike
29.85
IV
83.0%
B/E move
9.9%
Puts
Pseudo strike
27.01
IV
166.1%
B/E move
14.9%

45Δ

Calls
Pseudo strike
29.23
IV
83.8%
B/E move
8.9%
Puts
Pseudo strike
28.03
IV
153.5%
B/E move
12.3%

50Δ

Calls
Pseudo strike
28.62
IV
84.7%
B/E move
8.0%
Puts
Pseudo strike
29.04
IV
140.9%
B/E move
9.6%

55Δ

Calls
Pseudo strike
28.00
IV
85.5%
B/E move
7.0%
Puts
Pseudo strike
30.06
IV
129.0%
B/E move
7.1%

60Δ

Calls
Pseudo strike
27.38
IV
86.4%
B/E move
6.0%
Puts
Pseudo strike
31.14
IV
128.4%
B/E move
6.1%

65Δ

Calls
Pseudo strike
26.77
IV
87.2%
B/E move
5.0%
Puts
Pseudo strike
32.21
IV
127.7%
B/E move
5.1%

70Δ

Calls
Pseudo strike
26.15
IV
88.0%
B/E move
4.1%
Puts
Pseudo strike
33.28
IV
127.1%
B/E move
4.1%

75Δ

Calls
Pseudo strike
25.53
IV
88.9%
B/E move
3.1%
Puts
Pseudo strike
34.35
IV
126.5%
B/E move
3.1%

80Δ

Calls
Pseudo strike
24.89
IV
89.2%
B/E move
2.2%
Puts
Pseudo strike
36.16
IV
130.4%
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%