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First American Financial Corporation FAF

i

Market dataready · fetched 2026-11-11T15:51:35.142Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-12-18

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 · 2026-11-11T15:49:28.794736923Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-11T15:51:34.289917+00:00

Share price$65.99
1D-1.1%
$65.91$66.12$66.34$66.55$66.775:30 AM6:30 AM9:00 AM1:00 PMFAF
Sold putSold call

First American Financial Corporation options

Live interpolated FAF call and put midpoint premiums by absolute delta.First American Financial Corporation$0.67$3.77$6.88$9.98$13.08$53.74$59.93$66.12$72.32$78.5120Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive FAF spot · $65.99FAF PRICE$1.01$1.21$1.57$1.97$2.37$2.77$3.17$3.66$4.57$5.47$6.38$7.42$2.45$2.45$2.49$2.56$2.63$2.85$3.13$3.41$3.69$3.97$4.25$5.26$12.19
PutsCheap0.94×
Calls——
Skew——
Implied moveBearish±$5.90
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ53.9591.8%22.0%
25Δ72.1234.1%10.8%58.2170.9%15.5%
30Δ70.3731.8%8.5%60.9357.8%11.4%
35Δ69.3031.7%7.4%62.7149.6%8.8%
40Δ68.4132.2%6.6%64.4941.4%6.3%
45Δ67.5132.7%5.9%65.5437.5%5.0%
50Δ66.6233.2%5.2%66.3035.3%4.3%
55Δ65.7333.7%4.4%67.0533.2%3.6%
60Δ64.7834.4%3.7%67.8131.0%2.8%
65Δ63.5835.9%3.3%68.5728.9%2.1%
70Δ62.3737.4%2.8%69.3326.7%1.4%
75Δ61.1639.0%2.3%70.7726.6%0.7%
80Δ59.8341.0%1.9%77.7243.1%0.7%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
53.95
IV
91.8%
B/E move
22.0%

25Δ

Calls
Pseudo strike
72.12
IV
34.1%
B/E move
10.8%
Puts
Pseudo strike
58.21
IV
70.9%
B/E move
15.5%

30Δ

Calls
Pseudo strike
70.37
IV
31.8%
B/E move
8.5%
Puts
Pseudo strike
60.93
IV
57.8%
B/E move
11.4%

35Δ

Calls
Pseudo strike
69.30
IV
31.7%
B/E move
7.4%
Puts
Pseudo strike
62.71
IV
49.6%
B/E move
8.8%

40Δ

Calls
Pseudo strike
68.41
IV
32.2%
B/E move
6.6%
Puts
Pseudo strike
64.49
IV
41.4%
B/E move
6.3%

45Δ

Calls
Pseudo strike
67.51
IV
32.7%
B/E move
5.9%
Puts
Pseudo strike
65.54
IV
37.5%
B/E move
5.0%

50Δ

Calls
Pseudo strike
66.62
IV
33.2%
B/E move
5.2%
Puts
Pseudo strike
66.30
IV
35.3%
B/E move
4.3%

55Δ

Calls
Pseudo strike
65.73
IV
33.7%
B/E move
4.4%
Puts
Pseudo strike
67.05
IV
33.2%
B/E move
3.6%

60Δ

Calls
Pseudo strike
64.78
IV
34.4%
B/E move
3.7%
Puts
Pseudo strike
67.81
IV
31.0%
B/E move
2.8%

65Δ

Calls
Pseudo strike
63.58
IV
35.9%
B/E move
3.3%
Puts
Pseudo strike
68.57
IV
28.9%
B/E move
2.1%

70Δ

Calls
Pseudo strike
62.37
IV
37.4%
B/E move
2.8%
Puts
Pseudo strike
69.33
IV
26.7%
B/E move
1.4%

75Δ

Calls
Pseudo strike
61.16
IV
39.0%
B/E move
2.3%
Puts
Pseudo strike
70.77
IV
26.6%
B/E move
0.7%

80Δ

Calls
Pseudo strike
59.83
IV
41.0%
B/E move
1.9%
Puts
Pseudo strike
77.72
IV
43.1%
B/E move
0.7%

Options history

IV · four-Friday blend34.27%
Daily close
FAF25.0%42.3%59.6%2026-08-13: 36.39%2026-08-14: 37.59%2026-08-17: 41.17%2026-08-19: 56.21%2026-08-21: 29.40%2026-08-24: 29.65%2026-08-25: 28.15%2026-08-26: 30.15%2026-08-27: 30.20%2026-08-28: 28.97%2026-08-31: 28.19%2026-09-01: 30.46%2026-09-02: 30.00%2026-09-03: 30.59%2026-09-04: 33.41%2026-09-09: 36.60%2026-09-15: 45.35%2026-09-16: 57.19%2026-09-18: 29.24%2026-09-21: 30.22%2026-09-22: 29.37%2026-09-23: 29.83%2026-09-24: 32.88%2026-09-28: 27.34%2026-09-29: 30.75%2026-09-30: 36.74%2026-10-01: 37.41%2026-10-02: 37.06%2026-10-05: 39.50%2026-10-06: 41.17%2026-10-16: 31.40%2026-10-19: 31.69%2026-10-20: 32.17%2026-10-21: 31.47%2026-10-22: 33.06%2026-10-23: 31.31%2026-10-26: 33.98%2026-10-27: 33.88%2026-10-28: 33.02%2026-10-29: 32.88%2026-10-30: 34.27%Aug 13Sep 22Oct 30
41 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
36.39%
37.59%
41.17%
56.21%
29.40%
29.65%
28.15%
30.15%
30.20%
28.97%
28.19%
30.46%
30.00%
30.59%
33.41%
36.60%
45.35%
57.19%
29.24%
30.22%
29.37%
29.83%
32.88%
27.34%
30.75%
36.74%
37.41%
37.06%
39.50%
41.17%
31.40%
31.69%
32.17%
31.47%
33.06%
31.31%
33.98%
33.88%
33.02%
32.88%
34.27%