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Essent Group LTD ESNT

FINANCIAL SERVICES · INSURANCE - SPECIALTY
i

Market dataready · fetched 2026-11-12T02:25:21.672Z

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 · 2026-11-12T00:00:00.003602336Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T02:25:21.109194+00:00

Share price$64.82
1D+0.2%
AH$63.53$63.88$64.23$64.58$64.935:30 AM6:30 AM9:00 AM1:00 PM2:00 PMESNT
Sold putSold callAH

Essent Group LTD options

Live interpolated ESNT call and put midpoint premiums by absolute delta.Essent Group LTD$0.57$1.64$2.71$3.78$4.85$-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 —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 —OPTION PRICEESNT PRICE$0.68$0.73$0.78$0.84$1.01$1.56$2.10$2.65$3.19$3.74$4.28$2.15$2.45$1.99$2.50$3.01$3.52$4.03$4.54
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ54.15162.7%19.8%
25Δ56.81148.9%16.1%
30Δ68.2243.3%6.3%
35Δ67.3637.9%5.1%
40Δ66.5032.4%3.8%
45Δ65.6427.0%2.6%
50Δ64.8423.6%1.6%
55Δ64.2026.3%1.4%65.6436.1%1.8%
60Δ63.5628.9%1.3%66.3036.7%1.6%
65Δ62.9331.6%1.2%66.9637.3%1.3%
70Δ62.2934.2%1.0%67.6338.0%1.1%
75Δ61.6536.9%0.9%68.2938.6%0.9%
80Δ61.0239.5%0.7%68.9539.2%0.6%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
54.15
IV
162.7%
B/E move
19.8%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
56.81
IV
148.9%
B/E move
16.1%

30Δ

Calls
Pseudo strike
68.22
IV
43.3%
B/E move
6.3%
Puts
Pseudo strike
IV
B/E move

35Δ

Calls
Pseudo strike
67.36
IV
37.9%
B/E move
5.1%
Puts
Pseudo strike
IV
B/E move

40Δ

Calls
Pseudo strike
66.50
IV
32.4%
B/E move
3.8%
Puts
Pseudo strike
IV
B/E move

45Δ

Calls
Pseudo strike
65.64
IV
27.0%
B/E move
2.6%
Puts
Pseudo strike
IV
B/E move

50Δ

Calls
Pseudo strike
64.84
IV
23.6%
B/E move
1.6%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
64.20
IV
26.3%
B/E move
1.4%
Puts
Pseudo strike
65.64
IV
36.1%
B/E move
1.8%

60Δ

Calls
Pseudo strike
63.56
IV
28.9%
B/E move
1.3%
Puts
Pseudo strike
66.30
IV
36.7%
B/E move
1.6%

65Δ

Calls
Pseudo strike
62.93
IV
31.6%
B/E move
1.2%
Puts
Pseudo strike
66.96
IV
37.3%
B/E move
1.3%

70Δ

Calls
Pseudo strike
62.29
IV
34.2%
B/E move
1.0%
Puts
Pseudo strike
67.63
IV
38.0%
B/E move
1.1%

75Δ

Calls
Pseudo strike
61.65
IV
36.9%
B/E move
0.9%
Puts
Pseudo strike
68.29
IV
38.6%
B/E move
0.9%

80Δ

Calls
Pseudo strike
61.02
IV
39.5%
B/E move
0.7%
Puts
Pseudo strike
68.95
IV
39.2%
B/E move
0.6%

Options history

IV · four-Friday blend32.32%
Daily close
ESNT21.1%33.2%45.4%2026-08-17: 33.90%2026-08-18: 38.50%2026-08-19: 43.76%2026-08-21: 26.66%2026-08-24: 27.78%2026-08-28: 26.09%2026-08-31: 28.86%2026-09-01: 26.18%2026-09-02: 28.19%2026-09-03: 27.15%2026-09-08: 29.51%2026-09-09: 33.01%2026-09-10: 34.11%2026-09-11: 32.61%2026-09-14: 40.80%2026-09-18: 26.70%2026-09-22: 30.21%2026-09-23: 26.09%2026-09-24: 22.74%2026-09-30: 32.20%2026-10-01: 34.94%2026-10-02: 31.32%2026-10-05: 37.58%2026-10-06: 34.65%2026-10-07: 40.18%2026-10-16: 28.76%2026-10-19: 27.18%2026-10-20: 29.42%2026-10-21: 27.39%2026-10-22: 31.58%2026-10-23: 31.95%2026-10-26: 30.00%2026-10-27: 34.33%2026-10-28: 29.98%2026-10-29: 28.63%2026-10-30: 32.32%Aug 17Sep 23Oct 30
36 observations2026-08-17 — 2026-10-30
Table
DateIV (%)
33.90%
38.50%
43.76%
26.66%
27.78%
26.09%
28.86%
26.18%
28.19%
27.15%
29.51%
33.01%
34.11%
32.61%
40.80%
26.70%
30.21%
26.09%
22.74%
32.20%
34.94%
31.32%
37.58%
34.65%
40.18%
28.76%
27.18%
29.42%
27.39%
31.58%
31.95%
30.00%
34.33%
29.98%
28.63%
32.32%