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Arch Capital Group Ltd. Common Stock ACGL

FINANCIAL SERVICES · INSURANCE - DIVERSIFIED
i

Market dataready · fetched 2026-11-12T14:56:29.956Z

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 · 2026-11-12T14:55:38.31968818Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T14:56:29.460415+00:00

Share price$109.97
1D-0.7%
$109.82$110.05$110.29$110.52$110.755:30 AM6:30 AM9:00 AM1:00 PMACGL
Sold putSold call

Arch Capital Group Ltd. Common Stock options

Live interpolated ACGL call and put midpoint premiums by absolute delta.Arch Capital Group Ltd. Common Stock$0.42$1.77$3.11$4.46$5.80$99.43$104.15$108.86$113.58$118.2920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive ACGL spot · $109.97ACGL PRICE$0.57$0.79$1.01$1.23$1.45$1.67$1.89$2.39$2.99$3.60$4.20$4.81$5.42$0.81$0.95$1.06$1.17$1.28$1.39$1.59$2.03$2.47$2.90$3.34$3.78$4.21
PutsCheap0.53×
CallsCheap0.79×
SkewBullish-3.02 pp
Implied moveBullish±$3.48
TiltBullish8.5% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ114.5229.9%4.7%104.3542.7%5.9%
25Δ113.8029.9%4.2%105.6339.3%4.8%
30Δ113.0829.8%3.7%106.5535.9%4.1%
35Δ112.3629.7%3.3%107.4832.5%3.3%
40Δ111.6429.7%2.8%108.4029.1%2.6%
45Δ110.9229.6%2.4%109.3325.7%1.9%
50Δ110.2029.5%1.9%110.1723.2%1.3%
55Δ109.4130.3%1.7%110.7723.1%1.1%
60Δ108.5931.3%1.5%111.3723.1%1.0%
65Δ107.7732.4%1.3%111.9723.0%0.8%
70Δ106.9533.4%1.1%112.5722.9%0.7%
75Δ106.1334.5%0.9%113.1822.9%0.5%
80Δ105.3135.5%0.7%113.7822.8%0.4%

20Δ

Calls
Pseudo strike
114.52
IV
29.9%
B/E move
4.7%
Puts
Pseudo strike
104.35
IV
42.7%
B/E move
5.9%

25Δ

Calls
Pseudo strike
113.80
IV
29.9%
B/E move
4.2%
Puts
Pseudo strike
105.63
IV
39.3%
B/E move
4.8%

30Δ

Calls
Pseudo strike
113.08
IV
29.8%
B/E move
3.7%
Puts
Pseudo strike
106.55
IV
35.9%
B/E move
4.1%

35Δ

Calls
Pseudo strike
112.36
IV
29.7%
B/E move
3.3%
Puts
Pseudo strike
107.48
IV
32.5%
B/E move
3.3%

40Δ

Calls
Pseudo strike
111.64
IV
29.7%
B/E move
2.8%
Puts
Pseudo strike
108.40
IV
29.1%
B/E move
2.6%

45Δ

Calls
Pseudo strike
110.92
IV
29.6%
B/E move
2.4%
Puts
Pseudo strike
109.33
IV
25.7%
B/E move
1.9%

50Δ

Calls
Pseudo strike
110.20
IV
29.5%
B/E move
1.9%
Puts
Pseudo strike
110.17
IV
23.2%
B/E move
1.3%

55Δ

Calls
Pseudo strike
109.41
IV
30.3%
B/E move
1.7%
Puts
Pseudo strike
110.77
IV
23.1%
B/E move
1.1%

60Δ

Calls
Pseudo strike
108.59
IV
31.3%
B/E move
1.5%
Puts
Pseudo strike
111.37
IV
23.1%
B/E move
1.0%

65Δ

Calls
Pseudo strike
107.77
IV
32.4%
B/E move
1.3%
Puts
Pseudo strike
111.97
IV
23.0%
B/E move
0.8%

70Δ

Calls
Pseudo strike
106.95
IV
33.4%
B/E move
1.1%
Puts
Pseudo strike
112.57
IV
22.9%
B/E move
0.7%

75Δ

Calls
Pseudo strike
106.13
IV
34.5%
B/E move
0.9%
Puts
Pseudo strike
113.18
IV
22.9%
B/E move
0.5%

80Δ

Calls
Pseudo strike
105.31
IV
35.5%
B/E move
0.7%
Puts
Pseudo strike
113.78
IV
22.8%
B/E move
0.4%

Options history

IV · four-Friday blend23.15%
Daily close
ACGL19.9%23.3%26.7%2026-08-21: 20.33%2026-08-24: 20.70%2026-08-25: 21.10%2026-08-26: 20.75%2026-08-27: 21.19%2026-08-31: 22.29%2026-09-01: 21.68%2026-09-03: 21.78%2026-09-04: 22.58%2026-09-08: 23.35%2026-09-11: 23.72%2026-09-18: 23.24%2026-09-21: 22.13%2026-09-22: 21.44%2026-09-23: 23.45%2026-09-24: 22.35%2026-09-25: 22.98%2026-09-28: 22.88%2026-09-29: 21.24%2026-10-01: 22.57%2026-10-05: 23.85%2026-10-07: 23.25%2026-10-09: 26.24%2026-10-16: 22.65%2026-10-19: 22.74%2026-10-20: 24.48%2026-10-21: 24.18%2026-10-22: 24.80%2026-10-23: 24.53%2026-10-26: 24.75%2026-10-27: 25.93%2026-10-28: 23.91%2026-10-29: 22.26%2026-10-30: 23.15%Aug 21Sep 25Oct 30
34 observations2026-08-21 — 2026-10-30
Table
DateIV (%)
20.33%
20.70%
21.10%
20.75%
21.19%
22.29%
21.68%
21.78%
22.58%
23.35%
23.72%
23.24%
22.13%
21.44%
23.45%
22.35%
22.98%
22.88%
21.24%
22.57%
23.85%
23.25%
26.24%
22.65%
22.74%
24.48%
24.18%
24.80%
24.53%
24.75%
25.93%
23.91%
22.26%
23.15%