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CNB Financial Corporation Common Stock CCNE

FINANCIAL SERVICES · BANKS - REGIONAL
i

Market dataready · fetched 2026-11-12T02:25:11.309Z

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 · 2026-11-11T21:00:04.014493905Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T02:22:49.808611+00:00

Share price$35.85
1D-0.3%
AH$35.55$35.69$35.83$35.96$36.105:30 AM6:30 AM9:00 AM1:00 PM2:00 PMCCNE
Sold putSold callAH

CNB Financial Corporation Common Stock options

Live interpolated CCNE call and put midpoint premiums by absolute delta.CNB Financial Corporation Common Stock$2.11$2.91$3.71$4.50$5.30$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ P unavailable: no unambiguous, price-consistent delta bracketP —35Δ P unavailable: no unambiguous, price-consistent delta bracketP —40Δ P unavailable: no unambiguous, price-consistent delta bracketP —45Δ P unavailable: no unambiguous, price-consistent delta bracketP —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 PRICECCNE PRICE$2.20$2.20$2.22$2.29$2.36$2.43$2.53$3.17$3.80$4.43$5.07$2.20
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ26.99291.6%30.9%
25Δ
30Δ47.83253.3%39.5%
35Δ42.76200.4%25.4%
40Δ39.69163.0%16.9%
45Δ38.50145.1%13.8%
50Δ37.31127.3%10.7%
55Δ36.13109.5%7.6%
60Δ34.9592.6%4.6%
65Δ34.1093.8%3.9%
70Δ33.2495.1%3.3%
75Δ32.3996.3%2.7%
80Δ31.5397.5%2.1%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
26.99
IV
291.6%
B/E move
30.9%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

30Δ

Calls
Pseudo strike
47.83
IV
253.3%
B/E move
39.5%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
42.76
IV
200.4%
B/E move
25.4%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
39.69
IV
163.0%
B/E move
16.9%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
38.50
IV
145.1%
B/E move
13.8%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
37.31
IV
127.3%
B/E move
10.7%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
36.13
IV
109.5%
B/E move
7.6%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
34.95
IV
92.6%
B/E move
4.6%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
34.10
IV
93.8%
B/E move
3.9%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
33.24
IV
95.1%
B/E move
3.3%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
32.39
IV
96.3%
B/E move
2.7%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
31.53
IV
97.5%
B/E move
2.1%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend44.78%
Daily EOD
CCNE41.6%43.9%46.3%2026-10-19: 41.88%2026-10-20: 42.64%2026-10-21: 43.35%2026-10-22: 44.70%2026-10-26: 45.96%2026-10-27: 43.61%2026-10-29: 44.78%Oct 19Oct 22Oct 29
7 observations2026-10-19 — 2026-10-29
Table
DateIV (%)
41.88%
42.64%
43.35%
44.70%
45.96%
43.61%
44.78%