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CNA Financial Corporation CNA

i

Market dataready · fetched 2026-11-12T02:59:43.895Z

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 · 2026-11-12T00:00:00.002850749Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-12T02:59:43.309343+00:00

Share price$48.25
1D+1.2%
AH$47.31$47.56$47.82$48.07$48.325:30 AM6:30 AM9:00 AM1:00 PM2:00 PMCNA
Sold putSold callAH

CNA Financial Corporation options

Live interpolated CNA call and put midpoint premiums by absolute delta.CNA Financial Corporation$0.37$2.66$4.94$7.23$9.52$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —55Δ C unavailable: no unambiguous, price-consistent delta bracketC —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICECNA PRICE$1.67$2.24$2.45$2.45$2.45$0.62$0.92$1.22$1.53$1.83$2.13$2.44$2.74$3.04$4.16$5.37$6.58$8.86
PutsExpensive2.54×
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ67.08211.1%42.5%45.6945.8%6.6%
25Δ65.56231.4%40.5%46.2248.7%6.1%
30Δ59.85201.9%29.1%46.7551.5%5.6%
35Δ56.55170.0%22.3%47.2954.4%5.2%
40Δ53.26138.1%15.5%47.8257.2%4.7%
45Δ48.3560.0%4.2%
50Δ48.8862.9%3.7%
55Δ49.4165.7%3.3%
60Δ49.9568.6%2.8%
65Δ51.2375.2%2.5%
70Δ52.5982.2%2.1%
75Δ53.9689.3%1.8%
80Δ56.36104.3%1.6%

20Δ

Calls
Pseudo strike
67.08
IV
211.1%
B/E move
42.5%
Puts
Pseudo strike
45.69
IV
45.8%
B/E move
6.6%

25Δ

Calls
Pseudo strike
65.56
IV
231.4%
B/E move
40.5%
Puts
Pseudo strike
46.22
IV
48.7%
B/E move
6.1%

30Δ

Calls
Pseudo strike
59.85
IV
201.9%
B/E move
29.1%
Puts
Pseudo strike
46.75
IV
51.5%
B/E move
5.6%

35Δ

Calls
Pseudo strike
56.55
IV
170.0%
B/E move
22.3%
Puts
Pseudo strike
47.29
IV
54.4%
B/E move
5.2%

40Δ

Calls
Pseudo strike
53.26
IV
138.1%
B/E move
15.5%
Puts
Pseudo strike
47.82
IV
57.2%
B/E move
4.7%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
48.35
IV
60.0%
B/E move
4.2%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
48.88
IV
62.9%
B/E move
3.7%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
49.41
IV
65.7%
B/E move
3.3%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
49.95
IV
68.6%
B/E move
2.8%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
51.23
IV
75.2%
B/E move
2.5%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
52.59
IV
82.2%
B/E move
2.1%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
53.96
IV
89.3%
B/E move
1.8%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
56.36
IV
104.3%
B/E move
1.6%

Options history

IV · four-Friday blend38.05%
Daily EOD
CNA29.8%34.2%38.7%2026-10-19: 36.79%2026-10-20: 30.63%2026-10-23: 30.38%2026-10-26: 35.47%2026-10-27: 37.46%2026-10-28: 36.05%2026-10-30: 38.05%Oct 19Oct 26Oct 30
7 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
36.79%
30.63%
30.38%
35.47%
37.46%
36.05%
38.05%