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HERITAGE INSURANCE HOLDINGS INC HRTG

FINANCIAL SERVICES · INSURANCE - PROPERTY & CASUALTY
i

Market dataready · fetched 2026-11-13T19:01:59.583Z

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 · 2026-11-13T18:58:33.707641685Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-13T19:01:59.052822+00:00

Share price$33.76
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$0.29$1.44$2.60$3.75$4.91$31.92$32.92$33.93$34.93$35.9320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ P unavailable: no unambiguous, price-consistent delta bracketP —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive HRTG spot · $33.76HRTG PRICE$1.00$0.42$0.67$0.92$1.17$1.42$1.66$1.91$2.16$2.41$2.66$2.91$1.04$1.20$1.36$1.52$1.68$1.84$1.99$2.15$2.71$3.33$3.95$4.57
Puts——
Calls——
Skew——
Implied moveBearish±$3.25
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ45.89219.5%38.9%
25Δ30.17136.1%13.7%
30Δ34.9143.1%4.6%30.85128.1%12.2%
35Δ34.5443.1%4.3%31.52120.0%10.6%
40Δ34.1843.2%4.0%32.20111.9%9.1%
45Δ33.8243.2%3.6%32.88103.8%7.6%
50Δ33.4643.2%3.3%33.5695.7%6.0%
55Δ33.0943.3%3.0%34.2387.7%4.5%
60Δ32.7343.3%2.6%34.9179.6%3.0%
65Δ32.3743.3%2.3%35.6578.2%2.4%
70Δ32.0143.4%2.0%36.4077.9%2.0%
75Δ31.6543.4%1.6%37.1677.5%1.7%
80Δ31.2843.4%1.3%37.9177.1%1.3%

20Δ

Calls
Pseudo strike
45.89
IV
219.5%
B/E move
38.9%
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
30.17
IV
136.1%
B/E move
13.7%

30Δ

Calls
Pseudo strike
34.91
IV
43.1%
B/E move
4.6%
Puts
Pseudo strike
30.85
IV
128.1%
B/E move
12.2%

35Δ

Calls
Pseudo strike
34.54
IV
43.1%
B/E move
4.3%
Puts
Pseudo strike
31.52
IV
120.0%
B/E move
10.6%

40Δ

Calls
Pseudo strike
34.18
IV
43.2%
B/E move
4.0%
Puts
Pseudo strike
32.20
IV
111.9%
B/E move
9.1%

45Δ

Calls
Pseudo strike
33.82
IV
43.2%
B/E move
3.6%
Puts
Pseudo strike
32.88
IV
103.8%
B/E move
7.6%

50Δ

Calls
Pseudo strike
33.46
IV
43.2%
B/E move
3.3%
Puts
Pseudo strike
33.56
IV
95.7%
B/E move
6.0%

55Δ

Calls
Pseudo strike
33.09
IV
43.3%
B/E move
3.0%
Puts
Pseudo strike
34.23
IV
87.7%
B/E move
4.5%

60Δ

Calls
Pseudo strike
32.73
IV
43.3%
B/E move
2.6%
Puts
Pseudo strike
34.91
IV
79.6%
B/E move
3.0%

65Δ

Calls
Pseudo strike
32.37
IV
43.3%
B/E move
2.3%
Puts
Pseudo strike
35.65
IV
78.2%
B/E move
2.4%

70Δ

Calls
Pseudo strike
32.01
IV
43.4%
B/E move
2.0%
Puts
Pseudo strike
36.40
IV
77.9%
B/E move
2.0%

75Δ

Calls
Pseudo strike
31.65
IV
43.4%
B/E move
1.6%
Puts
Pseudo strike
37.16
IV
77.5%
B/E move
1.7%

80Δ

Calls
Pseudo strike
31.28
IV
43.4%
B/E move
1.3%
Puts
Pseudo strike
37.91
IV
77.1%
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%