IntraAlpha
Create free account Start free

Sierra Bancorp Common Stock BSRR

i

Market dataready · fetched 2026-11-13T01:27:54.009Z

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 · 2026-11-12T21:00:00.46094182Z

FundamentalsSEC EDGAR · ready · as of 2026-06-30 · fetched 2026-11-13T01:27:53.521312+00:00

Share price$42.06
1D-1.6%
AH$41.52$41.85$42.18$42.51$42.845:30 AM6:30 AM9:00 AM1:00 PM2:00 PMBSRR
Sold putSold callAH

Sierra Bancorp Common Stock options

Live interpolated BSRR call and put midpoint premiums by absolute delta.Sierra Bancorp Common Stock$0.25$1.82$3.40$4.97$6.55$39.46$40.69$41.92$43.15$44.3720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive BSRR spot · $42.06BSRR PRICE$0.42$0.59$0.76$0.94$1.11$1.28$1.46$1.63$1.80$1.97$2.15$2.32$2.45$2.45$2.45$2.62$2.85$3.09$3.32$3.55$3.78$4.28$5.19$6.09
Puts——
Calls——
Skew——
Implied moveBearish±$4.54
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ44.3738.2%6.5%
25Δ44.0038.8%6.0%35.43227.4%21.6%
30Δ43.6239.5%5.5%37.45189.8%16.8%
35Δ43.2540.1%5.1%39.47152.1%12.0%
40Δ42.8840.8%4.6%40.58135.5%9.7%
45Δ42.5141.4%4.1%41.37126.4%8.4%
50Δ42.1442.1%3.6%42.16117.4%7.1%
55Δ41.7742.7%3.2%42.94108.3%5.8%
60Δ41.3943.4%2.7%43.7399.3%4.5%
65Δ41.0244.0%2.2%44.5290.2%3.1%
70Δ40.6544.7%1.8%45.4284.5%2.2%
75Δ40.2845.3%1.3%46.5184.1%1.7%
80Δ47.6083.7%1.3%

20Δ

Calls
Pseudo strike
44.37
IV
38.2%
B/E move
6.5%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
44.00
IV
38.8%
B/E move
6.0%
Puts
Pseudo strike
35.43
IV
227.4%
B/E move
21.6%

30Δ

Calls
Pseudo strike
43.62
IV
39.5%
B/E move
5.5%
Puts
Pseudo strike
37.45
IV
189.8%
B/E move
16.8%

35Δ

Calls
Pseudo strike
43.25
IV
40.1%
B/E move
5.1%
Puts
Pseudo strike
39.47
IV
152.1%
B/E move
12.0%

40Δ

Calls
Pseudo strike
42.88
IV
40.8%
B/E move
4.6%
Puts
Pseudo strike
40.58
IV
135.5%
B/E move
9.7%

45Δ

Calls
Pseudo strike
42.51
IV
41.4%
B/E move
4.1%
Puts
Pseudo strike
41.37
IV
126.4%
B/E move
8.4%

50Δ

Calls
Pseudo strike
42.14
IV
42.1%
B/E move
3.6%
Puts
Pseudo strike
42.16
IV
117.4%
B/E move
7.1%

55Δ

Calls
Pseudo strike
41.77
IV
42.7%
B/E move
3.2%
Puts
Pseudo strike
42.94
IV
108.3%
B/E move
5.8%

60Δ

Calls
Pseudo strike
41.39
IV
43.4%
B/E move
2.7%
Puts
Pseudo strike
43.73
IV
99.3%
B/E move
4.5%

65Δ

Calls
Pseudo strike
41.02
IV
44.0%
B/E move
2.2%
Puts
Pseudo strike
44.52
IV
90.2%
B/E move
3.1%

70Δ

Calls
Pseudo strike
40.65
IV
44.7%
B/E move
1.8%
Puts
Pseudo strike
45.42
IV
84.5%
B/E move
2.2%

75Δ

Calls
Pseudo strike
40.28
IV
45.3%
B/E move
1.3%
Puts
Pseudo strike
46.51
IV
84.1%
B/E move
1.7%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
47.60
IV
83.7%
B/E move
1.3%

Options history

IV · four-Friday blend54.66%
Daily close
BSRR34.0%77.4%120.8%2026-08-14: 61.02%2026-08-17: 70.66%2026-08-18: 79.28%2026-08-20: 107.77%2026-08-21: 44.63%2026-08-25: 46.86%2026-08-26: 47.32%2026-08-27: 47.49%2026-08-28: 47.98%2026-08-31: 49.68%2026-09-01: 51.23%2026-09-09: 58.28%2026-09-10: 63.75%2026-09-11: 66.09%2026-09-14: 77.83%2026-09-15: 81.72%2026-09-16: 91.25%2026-09-17: 114.79%2026-09-18: 44.98%2026-09-21: 45.58%2026-09-22: 45.49%2026-09-23: 44.95%2026-09-24: 49.39%2026-09-25: 47.05%2026-09-28: 47.60%2026-09-29: 46.74%2026-09-30: 51.70%2026-10-01: 50.70%2026-10-02: 51.49%2026-10-05: 51.59%2026-10-06: 55.04%2026-10-07: 57.43%2026-10-09: 62.44%2026-10-12: 68.22%2026-10-13: 76.57%2026-10-14: 94.64%2026-10-15: 113.32%2026-10-16: 40.02%2026-10-19: 41.11%2026-10-20: 45.08%2026-10-21: 40.07%2026-10-22: 46.61%2026-10-26: 51.32%2026-10-27: 49.92%2026-10-28: 50.89%2026-10-30: 54.66%Aug 14Sep 24Oct 30
46 observations2026-08-14 — 2026-10-30
Table
DateIV (%)
61.02%
70.66%
79.28%
107.77%
44.63%
46.86%
47.32%
47.49%
47.98%
49.68%
51.23%
58.28%
63.75%
66.09%
77.83%
81.72%
91.25%
114.79%
44.98%
45.58%
45.49%
44.95%
49.39%
47.05%
47.60%
46.74%
51.70%
50.70%
51.49%
51.59%
55.04%
57.43%
62.44%
68.22%
76.57%
94.64%
113.32%
40.02%
41.11%
45.08%
40.07%
46.61%
51.32%
49.92%
50.89%
54.66%