IntraAlpha
Create free account Start free

Zura Bio Limited Class A Ordinary Shares ZURA

i

Market datapartial · fetched 2026-11-06T22:46:39.465Z

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 · 2026-11-06T22:45:28.140647077Z

FundamentalsAlpha Vantage · unavailable

Share price$4.15
1D+12.2%
AH$3.66$3.81$3.97$4.13$4.285:30 AM6:30 AM9:00 AM1:00 PM2:00 PMZURA
Sold putSold callAH

Zura Bio Limited Class A Ordinary Shares options

Live interpolated ZURA call and put midpoint premiums by absolute delta.Zura Bio Limited Class A Ordinary Shares$0.22$1.47$2.73$3.99$5.24$2.65$3.41$4.16$4.92$5.6720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive ZURA spot · $4.15ZURA PRICE$0.35$0.46$0.57$0.69$0.81$0.92$0.97$1.05$1.12$1.28$1.44$1.60$0.62$0.87$1.11$1.44$1.85$2.30$2.76$3.09$3.42$3.75$4.88
Puts——
Calls——
Skew——
Implied moveBearish±$3.69
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ2.94406.4%44.2%
25Δ9.98415.2%149.0%3.37412.2%39.7%
30Δ9.36436.5%136.7%3.80418.0%35.2%
35Δ8.67452.8%122.7%4.29426.5%31.4%
40Δ7.88462.3%106.6%4.84437.3%28.1%
45Δ7.06463.0%89.5%5.42440.7%24.8%
50Δ6.20455.2%71.6%6.02440.4%21.6%
55Δ5.12398.4%46.9%6.48422.4%18.4%
60Δ4.53364.2%34.3%6.93404.3%15.3%
65Δ4.00334.5%23.5%7.39386.3%12.2%
70Δ3.67326.9%19.4%8.61403.1%10.1%
75Δ3.34319.3%15.3%
80Δ3.01311.7%11.2%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
2.94
IV
406.4%
B/E move
44.2%

25Δ

Calls
Pseudo strike
9.98
IV
415.2%
B/E move
149.0%
Puts
Pseudo strike
3.37
IV
412.2%
B/E move
39.7%

30Δ

Calls
Pseudo strike
9.36
IV
436.5%
B/E move
136.7%
Puts
Pseudo strike
3.80
IV
418.0%
B/E move
35.2%

35Δ

Calls
Pseudo strike
8.67
IV
452.8%
B/E move
122.7%
Puts
Pseudo strike
4.29
IV
426.5%
B/E move
31.4%

40Δ

Calls
Pseudo strike
7.88
IV
462.3%
B/E move
106.6%
Puts
Pseudo strike
4.84
IV
437.3%
B/E move
28.1%

45Δ

Calls
Pseudo strike
7.06
IV
463.0%
B/E move
89.5%
Puts
Pseudo strike
5.42
IV
440.7%
B/E move
24.8%

50Δ

Calls
Pseudo strike
6.20
IV
455.2%
B/E move
71.6%
Puts
Pseudo strike
6.02
IV
440.4%
B/E move
21.6%

55Δ

Calls
Pseudo strike
5.12
IV
398.4%
B/E move
46.9%
Puts
Pseudo strike
6.48
IV
422.4%
B/E move
18.4%

60Δ

Calls
Pseudo strike
4.53
IV
364.2%
B/E move
34.3%
Puts
Pseudo strike
6.93
IV
404.3%
B/E move
15.3%

65Δ

Calls
Pseudo strike
4.00
IV
334.5%
B/E move
23.5%
Puts
Pseudo strike
7.39
IV
386.3%
B/E move
12.2%

70Δ

Calls
Pseudo strike
3.67
IV
326.9%
B/E move
19.4%
Puts
Pseudo strike
8.61
IV
403.1%
B/E move
10.1%

75Δ

Calls
Pseudo strike
3.34
IV
319.3%
B/E move
15.3%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
3.01
IV
311.7%
B/E move
11.2%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend257.90%
Daily EOD
ZURA234.4%247.0%259.6%2026-10-23: 236.13%2026-10-29: 257.90%Oct 23Oct 29
2 observations2026-10-23 — 2026-10-29
Table
DateIV (%)
236.13%
257.90%