IntraAlpha
Create free account Start free

AMERISAFE, Inc. Common Stock AMSF

i

Market dataready · fetched 2026-11-11T13:52:47.020Z

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 · 2026-11-11T13:48:29.076696323Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-11T13:52:46.589989+00:00

Share price$19.83
1D+0.0%
$19.82$19.83$19.83$19.83$19.845:30 AM6:30 AM9:00 AM1:00 PMAMSF
Sold putSold call

AMERISAFE, Inc. Common Stock options

Live interpolated AMSF call and put midpoint premiums by absolute delta.AMERISAFE, Inc. Common Stock$0.75$1.29$1.84$2.38$2.92$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ P unavailable: no unambiguous, price-consistent delta bracketP —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 —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICEAMSF PRICE$0.81$0.97$1.14$1.30$1.46$1.65$1.87$2.09$2.31$2.53$2.77$1.28$1.29$1.31$1.36$1.40$1.45
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ15.01285.2%30.7%
25Δ16.45232.3%23.6%
30Δ23.53145.7%22.7%17.67187.8%17.5%
35Δ22.75141.8%19.6%18.31166.5%14.5%
40Δ21.97138.0%16.5%18.95145.3%11.5%
45Δ21.19134.1%13.4%19.60124.0%8.5%
50Δ20.41130.3%10.3%
55Δ19.78126.4%8.1%
60Δ19.33122.3%6.9%
65Δ18.87118.3%5.7%
70Δ18.41114.3%4.5%
75Δ17.95110.2%3.3%
80Δ17.48106.4%2.1%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
15.01
IV
285.2%
B/E move
30.7%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
16.45
IV
232.3%
B/E move
23.6%

30Δ

Calls
Pseudo strike
23.53
IV
145.7%
B/E move
22.7%
Puts
Pseudo strike
17.67
IV
187.8%
B/E move
17.5%

35Δ

Calls
Pseudo strike
22.75
IV
141.8%
B/E move
19.6%
Puts
Pseudo strike
18.31
IV
166.5%
B/E move
14.5%

40Δ

Calls
Pseudo strike
21.97
IV
138.0%
B/E move
16.5%
Puts
Pseudo strike
18.95
IV
145.3%
B/E move
11.5%

45Δ

Calls
Pseudo strike
21.19
IV
134.1%
B/E move
13.4%
Puts
Pseudo strike
19.60
IV
124.0%
B/E move
8.5%

50Δ

Calls
Pseudo strike
20.41
IV
130.3%
B/E move
10.3%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
19.78
IV
126.4%
B/E move
8.1%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
19.33
IV
122.3%
B/E move
6.9%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
18.87
IV
118.3%
B/E move
5.7%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
18.41
IV
114.3%
B/E move
4.5%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
17.95
IV
110.2%
B/E move
3.3%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
17.48
IV
106.4%
B/E move
2.1%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend65.83%
Daily close
AMSF35.2%102.4%169.6%2026-08-21: 62.23%2026-08-24: 66.95%2026-08-25: 68.48%2026-08-26: 57.41%2026-08-27: 53.07%2026-08-28: 59.17%2026-08-31: 57.39%2026-09-01: 61.40%2026-09-02: 52.13%2026-09-03: 59.22%2026-09-04: 60.56%2026-09-08: 44.46%2026-09-09: 67.26%2026-09-10: 83.99%2026-09-11: 69.25%2026-09-15: 88.26%2026-09-16: 106.93%2026-09-17: 153.27%2026-09-18: 57.09%2026-09-21: 58.61%2026-09-22: 57.47%2026-09-23: 59.03%2026-09-24: 63.88%2026-09-25: 66.84%2026-09-28: 68.46%2026-09-29: 68.75%2026-09-30: 62.33%2026-10-01: 63.27%2026-10-02: 73.46%2026-10-05: 74.48%2026-10-06: 71.69%2026-10-07: 74.38%2026-10-08: 81.04%2026-10-09: 80.94%2026-10-12: 92.76%2026-10-13: 89.20%2026-10-14: 113.75%2026-10-15: 160.34%2026-10-16: 55.69%2026-10-19: 60.25%2026-10-20: 59.81%2026-10-21: 64.91%2026-10-22: 65.83%Aug 21Sep 23Oct 22
43 observations2026-08-21 — 2026-10-22
Table
DateIV (%)
62.23%
66.95%
68.48%
57.41%
53.07%
59.17%
57.39%
61.40%
52.13%
59.22%
60.56%
44.46%
67.26%
83.99%
69.25%
88.26%
106.93%
153.27%
57.09%
58.61%
57.47%
59.03%
63.88%
66.84%
68.46%
68.75%
62.33%
63.27%
73.46%
74.48%
71.69%
74.38%
81.04%
80.94%
92.76%
89.20%
113.75%
160.34%
55.69%
60.25%
59.81%
64.91%
65.83%