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Erie Indemnity Company Class A Common Stock ERIE

FINANCIAL SERVICES · INSURANCE BROKERS
i

Market dataready · fetched 2026-11-12T03:13:20.460Z

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 · 2026-11-11T21:28:25.925869113Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T03:13:20.066449+00:00

Share price$272.18
1D+1.9%
AH$266$268$270$271$2735:30 AM6:30 AM9:00 AM1:00 PM2:00 PMERIE
Sold putSold callAH

Erie Indemnity Company Class A Common Stock options

Live interpolated ERIE call and put midpoint premiums by absolute delta.Erie Indemnity Company Class A Common Stock$2.03$5.93$9.84$13.75$17.65$248.36$260.81$273.25$285.70$298.1520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive ERIE spot · $272.18ERIE PRICE$2.45$2.74$3.18$3.78$4.74$5.70$6.66$7.62$8.91$10.44$11.96$13.48$15.55$2.53$2.92$3.87$4.82$5.78$6.77$7.84$8.91$9.98$11.05$12.78$14.65$16.53
PutsCheap0.94×
CallsFair1.02×
SkewBearish+1.58 pp
Implied moveBearish±$14.50
TiltBearish5.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ294.1055.0%9.0%254.6452.9%7.4%
25Δ287.1345.8%6.5%260.7643.3%5.3%
30Δ282.8941.2%5.1%263.2543.7%4.7%
35Δ279.3338.1%4.0%265.7544.1%4.1%
40Δ277.2138.4%3.6%268.2444.6%3.6%
45Δ275.0938.8%3.2%270.6644.5%3.0%
50Δ272.9739.1%2.7%272.8943.3%2.6%
55Δ270.8539.4%2.3%275.1342.1%2.2%
60Δ268.6139.5%2.0%277.3640.9%1.8%
65Δ266.2839.4%1.7%279.5939.7%1.3%
70Δ263.9639.4%1.4%282.0738.8%1.1%
75Δ261.6339.3%1.1%284.6038.0%0.8%
80Δ258.8339.5%0.8%287.1337.2%0.6%

20Δ

Calls
Pseudo strike
294.10
IV
55.0%
B/E move
9.0%
Puts
Pseudo strike
254.64
IV
52.9%
B/E move
7.4%

25Δ

Calls
Pseudo strike
287.13
IV
45.8%
B/E move
6.5%
Puts
Pseudo strike
260.76
IV
43.3%
B/E move
5.3%

30Δ

Calls
Pseudo strike
282.89
IV
41.2%
B/E move
5.1%
Puts
Pseudo strike
263.25
IV
43.7%
B/E move
4.7%

35Δ

Calls
Pseudo strike
279.33
IV
38.1%
B/E move
4.0%
Puts
Pseudo strike
265.75
IV
44.1%
B/E move
4.1%

40Δ

Calls
Pseudo strike
277.21
IV
38.4%
B/E move
3.6%
Puts
Pseudo strike
268.24
IV
44.6%
B/E move
3.6%

45Δ

Calls
Pseudo strike
275.09
IV
38.8%
B/E move
3.2%
Puts
Pseudo strike
270.66
IV
44.5%
B/E move
3.0%

50Δ

Calls
Pseudo strike
272.97
IV
39.1%
B/E move
2.7%
Puts
Pseudo strike
272.89
IV
43.3%
B/E move
2.6%

55Δ

Calls
Pseudo strike
270.85
IV
39.4%
B/E move
2.3%
Puts
Pseudo strike
275.13
IV
42.1%
B/E move
2.2%

60Δ

Calls
Pseudo strike
268.61
IV
39.5%
B/E move
2.0%
Puts
Pseudo strike
277.36
IV
40.9%
B/E move
1.8%

65Δ

Calls
Pseudo strike
266.28
IV
39.4%
B/E move
1.7%
Puts
Pseudo strike
279.59
IV
39.7%
B/E move
1.3%

70Δ

Calls
Pseudo strike
263.96
IV
39.4%
B/E move
1.4%
Puts
Pseudo strike
282.07
IV
38.8%
B/E move
1.1%

75Δ

Calls
Pseudo strike
261.63
IV
39.3%
B/E move
1.1%
Puts
Pseudo strike
284.60
IV
38.0%
B/E move
0.8%

80Δ

Calls
Pseudo strike
258.83
IV
39.5%
B/E move
0.8%
Puts
Pseudo strike
287.13
IV
37.2%
B/E move
0.6%

Options history

IV · four-Friday blend36.45%
Daily close
ERIE33.8%37.2%40.6%2026-08-13: 37.77%2026-08-14: 36.92%2026-08-17: 38.37%2026-08-18: 38.77%2026-08-19: 39.75%2026-08-21: 35.56%2026-08-24: 36.23%2026-08-25: 36.44%2026-08-26: 36.96%2026-08-27: 36.84%2026-08-28: 36.26%2026-08-31: 36.65%2026-09-01: 36.55%2026-09-02: 35.10%2026-09-03: 35.11%2026-09-04: 35.51%2026-09-08: 38.45%2026-09-09: 37.68%2026-09-10: 37.55%2026-09-11: 35.44%2026-09-14: 37.36%2026-09-15: 36.74%2026-09-16: 40.10%2026-09-18: 34.26%2026-09-21: 35.08%2026-09-22: 35.82%2026-09-23: 36.46%2026-09-24: 36.40%2026-09-25: 36.22%2026-09-28: 36.40%2026-09-29: 36.73%2026-09-30: 35.98%2026-10-01: 35.72%2026-10-02: 35.34%2026-10-05: 35.43%2026-10-06: 36.26%2026-10-07: 36.71%2026-10-08: 37.23%2026-10-09: 36.39%2026-10-12: 38.93%2026-10-13: 38.73%2026-10-14: 39.55%2026-10-16: 36.69%2026-10-19: 36.94%2026-10-20: 37.29%2026-10-21: 37.23%2026-10-22: 37.61%2026-10-23: 38.46%2026-10-26: 38.56%2026-10-27: 37.93%2026-10-28: 38.48%2026-10-29: 38.36%2026-10-30: 36.45%Aug 13Sep 23Oct 30
53 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
37.77%
36.92%
38.37%
38.77%
39.75%
35.56%
36.23%
36.44%
36.96%
36.84%
36.26%
36.65%
36.55%
35.10%
35.11%
35.51%
38.45%
37.68%
37.55%
35.44%
37.36%
36.74%
40.10%
34.26%
35.08%
35.82%
36.46%
36.40%
36.22%
36.40%
36.73%
35.98%
35.72%
35.34%
35.43%
36.26%
36.71%
37.23%
36.39%
38.93%
38.73%
39.55%
36.69%
36.94%
37.29%
37.23%
37.61%
38.46%
38.56%
37.93%
38.48%
38.36%
36.45%