IntraAlpha
Create free account Start free

Federal Signal Corp. FSS

i

Market dataready · fetched 2026-11-11T13:51:25.895Z

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 · 2026-11-11T00:00:00.003579633Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-11T13:51:25.381358+00:00

Share price$115.16
1D-1.4%
AH$114.65$115.47$116.29$117.10$117.925:30 AM6:30 AM9:00 AM1:00 PM2:00 PMFSS
Sold putSold callAH

Federal Signal Corp. options

Live interpolated FSS call and put midpoint premiums by absolute delta.Federal Signal Corp.$0.89$2.93$4.97$7.01$9.05$105.63$110.69$115.75$120.81$125.8720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive FSS spot · $115.16FSS PRICE$1.11$1.34$1.57$1.89$2.22$2.54$2.87$3.45$4.32$5.20$6.08$7.08$8.46$1.24$1.36$1.67$2.00$2.33$2.65$3.09$3.62$4.14$4.67$5.20
Puts——
CallsFair0.98×
Skew——
Implied moveBearish±$5.96
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ124.9156.5%9.4%106.6859.5%8.4%
25Δ122.5952.0%7.6%109.7448.2%5.9%
30Δ120.2747.6%5.8%111.0545.8%5.0%
35Δ119.0045.7%5.0%112.1944.4%4.3%
40Δ117.8844.2%4.3%113.3442.9%3.6%
45Δ116.7542.7%3.6%114.4841.4%2.9%
50Δ115.6241.2%2.9%115.5040.3%2.4%
55Δ114.4641.4%2.4%116.4139.6%2.1%
60Δ113.2843.6%2.1%117.3138.9%1.7%
65Δ112.0945.9%1.9%118.2238.2%1.4%
70Δ110.9148.1%1.6%119.1337.5%1.1%
75Δ109.6049.9%1.3%
80Δ107.8950.4%1.0%

20Δ

Calls
Pseudo strike
124.91
IV
56.5%
B/E move
9.4%
Puts
Pseudo strike
106.68
IV
59.5%
B/E move
8.4%

25Δ

Calls
Pseudo strike
122.59
IV
52.0%
B/E move
7.6%
Puts
Pseudo strike
109.74
IV
48.2%
B/E move
5.9%

30Δ

Calls
Pseudo strike
120.27
IV
47.6%
B/E move
5.8%
Puts
Pseudo strike
111.05
IV
45.8%
B/E move
5.0%

35Δ

Calls
Pseudo strike
119.00
IV
45.7%
B/E move
5.0%
Puts
Pseudo strike
112.19
IV
44.4%
B/E move
4.3%

40Δ

Calls
Pseudo strike
117.88
IV
44.2%
B/E move
4.3%
Puts
Pseudo strike
113.34
IV
42.9%
B/E move
3.6%

45Δ

Calls
Pseudo strike
116.75
IV
42.7%
B/E move
3.6%
Puts
Pseudo strike
114.48
IV
41.4%
B/E move
2.9%

50Δ

Calls
Pseudo strike
115.62
IV
41.2%
B/E move
2.9%
Puts
Pseudo strike
115.50
IV
40.3%
B/E move
2.4%

55Δ

Calls
Pseudo strike
114.46
IV
41.4%
B/E move
2.4%
Puts
Pseudo strike
116.41
IV
39.6%
B/E move
2.1%

60Δ

Calls
Pseudo strike
113.28
IV
43.6%
B/E move
2.1%
Puts
Pseudo strike
117.31
IV
38.9%
B/E move
1.7%

65Δ

Calls
Pseudo strike
112.09
IV
45.9%
B/E move
1.9%
Puts
Pseudo strike
118.22
IV
38.2%
B/E move
1.4%

70Δ

Calls
Pseudo strike
110.91
IV
48.1%
B/E move
1.6%
Puts
Pseudo strike
119.13
IV
37.5%
B/E move
1.1%

75Δ

Calls
Pseudo strike
109.60
IV
49.9%
B/E move
1.3%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
107.89
IV
50.4%
B/E move
1.0%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend36.14%
Daily close
FSS33.4%39.0%44.7%2026-08-13: 37.84%2026-08-14: 36.86%2026-08-17: 38.15%2026-08-19: 40.81%2026-08-21: 35.92%2026-08-24: 36.26%2026-08-25: 35.70%2026-08-26: 35.15%2026-08-27: 34.65%2026-08-28: 35.47%2026-08-31: 35.63%2026-09-01: 35.69%2026-09-02: 36.12%2026-09-03: 36.09%2026-09-04: 35.59%2026-09-08: 36.80%2026-09-09: 37.87%2026-09-10: 38.42%2026-09-11: 37.40%2026-09-14: 41.06%2026-09-15: 40.81%2026-09-16: 42.48%2026-09-18: 37.79%2026-09-21: 37.61%2026-09-22: 36.35%2026-09-23: 37.07%2026-09-24: 37.32%2026-09-25: 36.70%2026-09-28: 37.61%2026-09-29: 38.18%2026-09-30: 37.92%2026-10-01: 37.84%2026-10-02: 37.50%2026-10-05: 38.15%2026-10-06: 38.36%2026-10-07: 39.28%2026-10-08: 39.54%2026-10-09: 40.23%2026-10-12: 42.01%2026-10-13: 43.69%2026-10-14: 43.90%2026-10-16: 40.47%2026-10-19: 40.75%2026-10-20: 40.81%2026-10-21: 40.81%2026-10-22: 40.96%2026-10-23: 41.75%2026-10-26: 41.53%2026-10-27: 42.70%2026-10-28: 41.05%2026-10-29: 34.16%2026-10-30: 36.14%Aug 13Sep 23Oct 30
52 observations2026-08-13 — 2026-10-30
Table
DateIV (%)
37.84%
36.86%
38.15%
40.81%
35.92%
36.26%
35.70%
35.15%
34.65%
35.47%
35.63%
35.69%
36.12%
36.09%
35.59%
36.80%
37.87%
38.42%
37.40%
41.06%
40.81%
42.48%
37.79%
37.61%
36.35%
37.07%
37.32%
36.70%
37.61%
38.18%
37.92%
37.84%
37.50%
38.15%
38.36%
39.28%
39.54%
40.23%
42.01%
43.69%
43.90%
40.47%
40.75%
40.81%
40.81%
40.96%
41.75%
41.53%
42.70%
41.05%
34.16%
36.14%