IntraAlpha
Create free account Start free

James River Group Holdings, Inc. Common Stock JRVR

i

Market datapartial · fetched 2026-10-22T22:55:41.314Z

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 · 2026-10-22T20:00:06.392332024Z

FundamentalsAlpha Vantage · unavailable

Share price$4.01
1D+3.4%
AH$3.87$3.91$3.94$3.98$4.025:30 AM6:30 AM9:00 AM1:00 PM2:00 PMJRVR
Sold putSold callAH

James River Group Holdings, Inc. Common Stock options

Live interpolated JRVR call and put midpoint premiums by absolute delta.James River Group Holdings, Inc. Common Stock$0.07$1.45$2.83$4.21$5.58$0.81$2.64$4.48$6.31$8.1520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive JRVR spot · $4.01JRVR PRICE$0.22$0.37$0.52$0.66$0.79$0.86$0.93$1.00$1.07$1.14$1.21$1.27$1.34$0.58$0.65$0.72$0.80$0.87$0.94$1.02$1.09$1.16$1.24$3.00$5.19
PutsExpensive5.98×
CallsExpensive6.87×
SkewBullish-82.91 pp
Implied moveBearish±$1.95
TiltBearish20.5% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ6.77155.2%74.4%2.68310.9%47.5%
25Δ8.29231.8%116.0%2.93291.2%43.1%
30Δ9.82308.4%157.6%3.19271.5%38.6%
35Δ11.34384.9%199.3%3.44251.8%34.2%
40Δ12.29436.4%226.2%3.69232.1%29.7%
45Δ11.40407.1%205.7%3.94212.4%25.2%
50Δ10.51377.8%185.2%4.19192.7%20.8%
55Δ9.62348.5%164.7%4.45173.0%16.3%
60Δ8.73319.2%144.2%4.70153.3%11.8%
65Δ7.83289.9%123.7%4.95133.6%7.4%
70Δ6.94260.6%103.2%6.75182.9%6.5%
75Δ6.05231.3%82.7%8.94249.1%6.5%
80Δ5.16202.0%62.2%

20Δ

Calls
Pseudo strike
6.77
IV
155.2%
B/E move
74.4%
Puts
Pseudo strike
2.68
IV
310.9%
B/E move
47.5%

25Δ

Calls
Pseudo strike
8.29
IV
231.8%
B/E move
116.0%
Puts
Pseudo strike
2.93
IV
291.2%
B/E move
43.1%

30Δ

Calls
Pseudo strike
9.82
IV
308.4%
B/E move
157.6%
Puts
Pseudo strike
3.19
IV
271.5%
B/E move
38.6%

35Δ

Calls
Pseudo strike
11.34
IV
384.9%
B/E move
199.3%
Puts
Pseudo strike
3.44
IV
251.8%
B/E move
34.2%

40Δ

Calls
Pseudo strike
12.29
IV
436.4%
B/E move
226.2%
Puts
Pseudo strike
3.69
IV
232.1%
B/E move
29.7%

45Δ

Calls
Pseudo strike
11.40
IV
407.1%
B/E move
205.7%
Puts
Pseudo strike
3.94
IV
212.4%
B/E move
25.2%

50Δ

Calls
Pseudo strike
10.51
IV
377.8%
B/E move
185.2%
Puts
Pseudo strike
4.19
IV
192.7%
B/E move
20.8%

55Δ

Calls
Pseudo strike
9.62
IV
348.5%
B/E move
164.7%
Puts
Pseudo strike
4.45
IV
173.0%
B/E move
16.3%

60Δ

Calls
Pseudo strike
8.73
IV
319.2%
B/E move
144.2%
Puts
Pseudo strike
4.70
IV
153.3%
B/E move
11.8%

65Δ

Calls
Pseudo strike
7.83
IV
289.9%
B/E move
123.7%
Puts
Pseudo strike
4.95
IV
133.6%
B/E move
7.4%

70Δ

Calls
Pseudo strike
6.94
IV
260.6%
B/E move
103.2%
Puts
Pseudo strike
6.75
IV
182.9%
B/E move
6.5%

75Δ

Calls
Pseudo strike
6.05
IV
231.3%
B/E move
82.7%
Puts
Pseudo strike
8.94
IV
249.1%
B/E move
6.5%

80Δ

Calls
Pseudo strike
5.16
IV
202.0%
B/E move
62.2%
Puts
Pseudo strike
IV
B/E move

Options history

No recorded observations