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HERITAGE INSURANCE HOLDINGS INC HRTG

i

Market dataready · fetched 2026-11-13T18:50:46.224Z

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 · 2026-11-13T18:50:12.609033868Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-13T18:50:45.597924+00:00

Share price$33.79
1D+0.1%
$33.54$33.71$33.88$34.04$34.215:30 AM6:30 AM9:00 AM1:00 PMHRTG
Sold putSold call

HERITAGE INSURANCE HOLDINGS INC options

Live interpolated HRTG call and put midpoint premiums by absolute delta.HERITAGE INSURANCE HOLDINGS INC$0.24$3.64$7.05$10.45$13.85$31.93$32.94$33.95$34.96$35.9620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive HRTG spot · $33.79HRTG PRICE$1.00$0.61$1.84$3.06$4.29$5.51$6.74$7.97$9.19$10.42$11.64$12.87$1.04$1.20$1.36$1.53$1.69$1.85$2.01$2.17$2.79$3.43$4.06$4.70
Puts——
Calls——
Skew——
Implied moveBullish±$7.36
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ45.92219.1%38.9%
25Δ30.18136.4%13.8%
30Δ34.7247.0%4.6%30.87128.3%12.2%
35Δ33.4068.2%4.3%31.55120.2%10.7%
40Δ32.0989.3%4.0%32.24112.2%9.1%
45Δ30.77110.4%3.8%32.92104.1%7.6%
50Δ29.46131.6%3.5%33.6196.0%6.0%
55Δ28.14152.7%3.2%34.2987.9%4.5%
60Δ26.82173.9%3.0%34.9879.8%2.9%
65Δ25.51195.0%2.7%35.7479.7%2.5%
70Δ24.19216.1%2.4%36.5279.9%2.1%
75Δ22.87237.3%2.2%37.2980.1%1.7%
80Δ21.56258.4%1.9%38.0680.3%1.3%

20Δ

Calls
Pseudo strike
45.92
IV
219.1%
B/E move
38.9%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
30.18
IV
136.4%
B/E move
13.8%

30Δ

Calls
Pseudo strike
34.72
IV
47.0%
B/E move
4.6%
Puts
Pseudo strike
30.87
IV
128.3%
B/E move
12.2%

35Δ

Calls
Pseudo strike
33.40
IV
68.2%
B/E move
4.3%
Puts
Pseudo strike
31.55
IV
120.2%
B/E move
10.7%

40Δ

Calls
Pseudo strike
32.09
IV
89.3%
B/E move
4.0%
Puts
Pseudo strike
32.24
IV
112.2%
B/E move
9.1%

45Δ

Calls
Pseudo strike
30.77
IV
110.4%
B/E move
3.8%
Puts
Pseudo strike
32.92
IV
104.1%
B/E move
7.6%

50Δ

Calls
Pseudo strike
29.46
IV
131.6%
B/E move
3.5%
Puts
Pseudo strike
33.61
IV
96.0%
B/E move
6.0%

55Δ

Calls
Pseudo strike
28.14
IV
152.7%
B/E move
3.2%
Puts
Pseudo strike
34.29
IV
87.9%
B/E move
4.5%

60Δ

Calls
Pseudo strike
26.82
IV
173.9%
B/E move
3.0%
Puts
Pseudo strike
34.98
IV
79.8%
B/E move
2.9%

65Δ

Calls
Pseudo strike
25.51
IV
195.0%
B/E move
2.7%
Puts
Pseudo strike
35.74
IV
79.7%
B/E move
2.5%

70Δ

Calls
Pseudo strike
24.19
IV
216.1%
B/E move
2.4%
Puts
Pseudo strike
36.52
IV
79.9%
B/E move
2.1%

75Δ

Calls
Pseudo strike
22.87
IV
237.3%
B/E move
2.2%
Puts
Pseudo strike
37.29
IV
80.1%
B/E move
1.7%

80Δ

Calls
Pseudo strike
21.56
IV
258.4%
B/E move
1.9%
Puts
Pseudo strike
38.06
IV
80.3%
B/E move
1.3%

Options history

IV · four-Friday blend47.99%
Daily close
HRTG39.1%62.2%85.4%2026-08-24: 44.39%2026-08-25: 45.38%2026-08-26: 46.02%2026-08-28: 49.88%2026-09-03: 42.31%2026-09-10: 52.90%2026-09-15: 60.83%2026-09-17: 82.17%2026-09-18: 51.24%2026-09-21: 51.64%2026-09-25: 53.50%2026-10-05: 59.61%2026-10-08: 50.67%2026-10-09: 50.36%2026-10-16: 52.75%2026-10-19: 53.10%2026-10-20: 49.93%2026-10-21: 53.21%2026-10-22: 52.39%2026-10-23: 51.72%2026-10-26: 54.52%2026-10-27: 56.06%2026-10-28: 55.95%2026-10-29: 49.63%2026-10-30: 47.99%Aug 24Oct 8Oct 30
25 observations2026-08-24 — 2026-10-30
Table
DateIV (%)
44.39%
45.38%
46.02%
49.88%
42.31%
52.90%
60.83%
82.17%
51.24%
51.64%
53.50%
59.61%
50.67%
50.36%
52.75%
53.10%
49.93%
53.21%
52.39%
51.72%
54.52%
56.06%
55.95%
49.63%
47.99%