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First American Financial Corporation FAF

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Market datapartial · fetched 2026-10-22T14:48:55.591Z

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 · 2026-10-22T14:48:21.175667527Z

FundamentalsAlpha Vantage · unavailable

Share price$64.96
1D+2.5%
$62.99$63.75$64.51$65.26$66.025:30 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$0.58$2.18$3.78$5.39$6.99$54.82$60.50$66.18$71.87$77.5520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive FAF spot · $64.96FAF PRICE$2.45$2.45$2.45$2.51$2.57$2.63$2.69$2.87$3.25$3.62$3.99$4.37$4.74$0.75$1.07$1.38$1.69$2.01$2.32$2.74$3.23$3.72$4.21$4.70$5.19$6.53
PutsCheap0.77×
CallsExpensive1.38×
SkewBullish-23.39 pp
Implied moveBalanced±$5.43
TiltBalanced1.3% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ99.43142.7%56.8%60.4732.7%8.1%
25Δ82.92102.9%31.4%61.3133.1%7.3%
30Δ75.0678.3%19.3%62.1533.5%6.5%
35Δ72.8469.0%16.0%62.9933.8%5.6%
40Δ70.6659.9%12.7%63.8234.2%4.8%
45Δ68.4950.8%9.5%64.6634.6%4.0%
50Δ66.3141.7%6.2%65.4834.3%3.4%
55Δ64.7235.6%4.1%66.2833.7%2.9%
60Δ64.0234.0%3.6%67.0833.1%2.5%
65Δ63.3332.4%3.1%67.8832.5%2.0%
70Δ62.6330.8%2.6%68.6931.9%1.5%
75Δ61.9329.2%2.1%69.4931.3%1.0%
80Δ61.2327.6%1.6%71.0932.2%0.6%

20Δ

Calls
Pseudo strike
99.43
IV
142.7%
B/E move
56.8%
Puts
Pseudo strike
60.47
IV
32.7%
B/E move
8.1%

25Δ

Calls
Pseudo strike
82.92
IV
102.9%
B/E move
31.4%
Puts
Pseudo strike
61.31
IV
33.1%
B/E move
7.3%

30Δ

Calls
Pseudo strike
75.06
IV
78.3%
B/E move
19.3%
Puts
Pseudo strike
62.15
IV
33.5%
B/E move
6.5%

35Δ

Calls
Pseudo strike
72.84
IV
69.0%
B/E move
16.0%
Puts
Pseudo strike
62.99
IV
33.8%
B/E move
5.6%

40Δ

Calls
Pseudo strike
70.66
IV
59.9%
B/E move
12.7%
Puts
Pseudo strike
63.82
IV
34.2%
B/E move
4.8%

45Δ

Calls
Pseudo strike
68.49
IV
50.8%
B/E move
9.5%
Puts
Pseudo strike
64.66
IV
34.6%
B/E move
4.0%

50Δ

Calls
Pseudo strike
66.31
IV
41.7%
B/E move
6.2%
Puts
Pseudo strike
65.48
IV
34.3%
B/E move
3.4%

55Δ

Calls
Pseudo strike
64.72
IV
35.6%
B/E move
4.1%
Puts
Pseudo strike
66.28
IV
33.7%
B/E move
2.9%

60Δ

Calls
Pseudo strike
64.02
IV
34.0%
B/E move
3.6%
Puts
Pseudo strike
67.08
IV
33.1%
B/E move
2.5%

65Δ

Calls
Pseudo strike
63.33
IV
32.4%
B/E move
3.1%
Puts
Pseudo strike
67.88
IV
32.5%
B/E move
2.0%

70Δ

Calls
Pseudo strike
62.63
IV
30.8%
B/E move
2.6%
Puts
Pseudo strike
68.69
IV
31.9%
B/E move
1.5%

75Δ

Calls
Pseudo strike
61.93
IV
29.2%
B/E move
2.1%
Puts
Pseudo strike
69.49
IV
31.3%
B/E move
1.0%

80Δ

Calls
Pseudo strike
61.23
IV
27.6%
B/E move
1.6%
Puts
Pseudo strike
71.09
IV
32.2%
B/E move
0.6%

Options history

No recorded observations