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Essent Group Ltd ESNT

FINANCIAL SERVICES · INSURANCE - SPECIALTY
i

Market dataready · fetched 2026-10-22T23:49:59.803Z

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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-22T23:00:00.002343489Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-10-22T23:49:59.440321+00:00

Share price$65.70
1D+1.1%
AH$64.46$65.23$66.00$66.77$67.535:30 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$0.75$2.34$3.94$5.54$7.14$55.21$61.03$66.86$72.68$78.5120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive ESNT spot · $65.70ESNT PRICE$2.37$0.92$2.52$2.64$2.75$2.87$2.98$3.10$3.53$4.25$4.97$5.69$6.41$2.45$2.46$2.39$2.16$1.93$2.13$2.58$3.03$3.48$3.93$4.37$4.82$6.68
PutsExpensive1.40×
CallsExpensive1.90×
SkewBullish-12.55 pp
Implied moveBullish±$5.56
TiltBullish2.9% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ98.58136.9%53.7%53.73103.8%21.9%
25Δ71.4336.3%10.1%57.7881.3%15.8%
30Δ78.4386.1%23.2%60.6963.8%11.3%
35Δ75.9877.0%19.7%62.5150.0%8.1%
40Δ73.5268.0%16.1%64.3336.3%5.0%
45Δ71.0758.9%12.5%65.4731.1%3.6%
50Δ68.6249.8%9.0%66.2230.8%3.1%
55Δ66.1640.8%5.4%66.9730.5%2.7%
60Δ64.4636.8%3.5%67.7130.3%2.2%
65Δ63.4337.3%3.0%68.4630.0%1.8%
70Δ62.4037.9%2.5%69.2129.7%1.3%
75Δ61.3838.5%2.1%69.9529.5%0.9%
80Δ60.3539.0%1.6%71.9633.0%0.6%

20Δ

Calls
Pseudo strike
98.58
IV
136.9%
B/E move
53.7%
Puts
Pseudo strike
53.73
IV
103.8%
B/E move
21.9%

25Δ

Calls
Pseudo strike
71.43
IV
36.3%
B/E move
10.1%
Puts
Pseudo strike
57.78
IV
81.3%
B/E move
15.8%

30Δ

Calls
Pseudo strike
78.43
IV
86.1%
B/E move
23.2%
Puts
Pseudo strike
60.69
IV
63.8%
B/E move
11.3%

35Δ

Calls
Pseudo strike
75.98
IV
77.0%
B/E move
19.7%
Puts
Pseudo strike
62.51
IV
50.0%
B/E move
8.1%

40Δ

Calls
Pseudo strike
73.52
IV
68.0%
B/E move
16.1%
Puts
Pseudo strike
64.33
IV
36.3%
B/E move
5.0%

45Δ

Calls
Pseudo strike
71.07
IV
58.9%
B/E move
12.5%
Puts
Pseudo strike
65.47
IV
31.1%
B/E move
3.6%

50Δ

Calls
Pseudo strike
68.62
IV
49.8%
B/E move
9.0%
Puts
Pseudo strike
66.22
IV
30.8%
B/E move
3.1%

55Δ

Calls
Pseudo strike
66.16
IV
40.8%
B/E move
5.4%
Puts
Pseudo strike
66.97
IV
30.5%
B/E move
2.7%

60Δ

Calls
Pseudo strike
64.46
IV
36.8%
B/E move
3.5%
Puts
Pseudo strike
67.71
IV
30.3%
B/E move
2.2%

65Δ

Calls
Pseudo strike
63.43
IV
37.3%
B/E move
3.0%
Puts
Pseudo strike
68.46
IV
30.0%
B/E move
1.8%

70Δ

Calls
Pseudo strike
62.40
IV
37.9%
B/E move
2.5%
Puts
Pseudo strike
69.21
IV
29.7%
B/E move
1.3%

75Δ

Calls
Pseudo strike
61.38
IV
38.5%
B/E move
2.1%
Puts
Pseudo strike
69.95
IV
29.5%
B/E move
0.9%

80Δ

Calls
Pseudo strike
60.35
IV
39.0%
B/E move
1.6%
Puts
Pseudo strike
71.96
IV
33.0%
B/E move
0.6%

Options history

ESNT27.4228.4929.572026-10-20: 29.42%2026-10-21: 27.57%Oct 20Oct 21
Table
DateIV
29.42%
27.57%