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Jefferies Financial Group Inc. JEF

i

Market dataready · fetched 2026-11-12T03:08:37.599Z

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 · 2026-11-12T00:00:00.003215587Z

FundamentalsSEC EDGAR · ready · as of 2026-08-31 · fetched 2026-11-12T03:08:37.155034+00:00

Share price$47.82
1D+0.8%
AH$47.36$47.59$47.82$48.05$48.285:30 AM6:30 AM9:00 AM1:00 PM2:00 PMJEF
Sold putSold callAH

Jefferies Financial Group Inc. options

Live interpolated JEF call and put midpoint premiums by absolute delta.Jefferies Financial Group Inc.$0.25$1.45$2.65$3.85$5.04$42.59$45.22$47.85$50.47$53.1020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive JEF spot · $47.82JEF PRICE$0.38$0.48$0.59$0.70$0.82$0.93$1.04$1.16$1.48$1.92$2.36$2.81$3.25$0.44$0.63$0.82$1.02$1.22$1.43$1.91$2.39$2.87$3.34$3.79$4.25$4.70
PutsExpensive1.12×
CallsCheap0.80×
SkewBearish+16.06 pp
Implied moveBearish±$2.96
TiltBearish23.3% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ51.3047.4%8.1%44.9250.1%7.0%
25Δ50.4044.6%6.4%45.4750.6%6.2%
30Δ49.7642.4%5.3%45.9851.2%5.6%
35Δ49.3440.8%4.7%46.5051.7%4.9%
40Δ48.9239.2%4.0%47.0252.3%4.2%
45Δ48.5037.6%3.4%47.5453.1%3.6%
50Δ48.0835.9%2.7%48.1856.5%3.2%
55Δ47.6534.3%2.1%48.8260.0%2.9%
60Δ47.1635.7%1.7%49.4663.5%2.6%
65Δ46.6338.8%1.5%50.1066.1%2.2%
70Δ46.1041.9%1.3%50.7563.9%1.8%
75Δ45.5645.0%1.2%51.4161.7%1.4%
80Δ45.0348.1%1.0%52.0659.6%1.0%

20Δ

Calls
Pseudo strike
51.30
IV
47.4%
B/E move
8.1%
Puts
Pseudo strike
44.92
IV
50.1%
B/E move
7.0%

25Δ

Calls
Pseudo strike
50.40
IV
44.6%
B/E move
6.4%
Puts
Pseudo strike
45.47
IV
50.6%
B/E move
6.2%

30Δ

Calls
Pseudo strike
49.76
IV
42.4%
B/E move
5.3%
Puts
Pseudo strike
45.98
IV
51.2%
B/E move
5.6%

35Δ

Calls
Pseudo strike
49.34
IV
40.8%
B/E move
4.7%
Puts
Pseudo strike
46.50
IV
51.7%
B/E move
4.9%

40Δ

Calls
Pseudo strike
48.92
IV
39.2%
B/E move
4.0%
Puts
Pseudo strike
47.02
IV
52.3%
B/E move
4.2%

45Δ

Calls
Pseudo strike
48.50
IV
37.6%
B/E move
3.4%
Puts
Pseudo strike
47.54
IV
53.1%
B/E move
3.6%

50Δ

Calls
Pseudo strike
48.08
IV
35.9%
B/E move
2.7%
Puts
Pseudo strike
48.18
IV
56.5%
B/E move
3.2%

55Δ

Calls
Pseudo strike
47.65
IV
34.3%
B/E move
2.1%
Puts
Pseudo strike
48.82
IV
60.0%
B/E move
2.9%

60Δ

Calls
Pseudo strike
47.16
IV
35.7%
B/E move
1.7%
Puts
Pseudo strike
49.46
IV
63.5%
B/E move
2.6%

65Δ

Calls
Pseudo strike
46.63
IV
38.8%
B/E move
1.5%
Puts
Pseudo strike
50.10
IV
66.1%
B/E move
2.2%

70Δ

Calls
Pseudo strike
46.10
IV
41.9%
B/E move
1.3%
Puts
Pseudo strike
50.75
IV
63.9%
B/E move
1.8%

75Δ

Calls
Pseudo strike
45.56
IV
45.0%
B/E move
1.2%
Puts
Pseudo strike
51.41
IV
61.7%
B/E move
1.4%

80Δ

Calls
Pseudo strike
45.03
IV
48.1%
B/E move
1.0%
Puts
Pseudo strike
52.06
IV
59.6%
B/E move
1.0%

Options history

IV · four-Friday blend42.65%
Daily EOD
JEF38.7%40.8%42.9%2026-10-19: 39.79%2026-10-20: 40.16%2026-10-21: 39.01%2026-10-22: 40.26%2026-10-23: 40.37%2026-10-26: 41.02%2026-10-27: 40.44%2026-10-28: 39.67%2026-10-29: 39.14%2026-10-30: 42.65%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
39.79%
40.16%
39.01%
40.26%
40.37%
41.02%
40.44%
39.67%
39.14%
42.65%