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James River Group Holdings, Inc. Common Stock JRVR

i

Market dataready · fetched 2026-11-12T01:03:43.593Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-12-18

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 · 2026-11-11T21:00:00.18433558Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-12T01:03:42.641388+00:00

Share price$3.25
1D+1.2%
AH$3.11$3.16$3.20$3.24$3.285:30 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$0.39$0.76$1.13$1.50$1.87$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —55Δ C unavailable: no unambiguous, price-consistent delta bracketC —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICEJRVR PRICE$0.53$0.43$0.55$0.67$0.79$0.91$1.03$1.15$1.28$1.40$1.52$1.64$1.76
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ2.59191.3%33.5%
30Δ2.80185.0%30.8%
35Δ3.01178.7%28.1%
40Δ6.23276.6%107.8%3.22172.4%25.4%
45Δ3.42166.2%22.7%
50Δ3.63159.9%20.0%
55Δ3.84153.6%17.2%
60Δ4.05147.4%14.5%
65Δ4.26141.1%11.8%
70Δ4.47134.8%9.1%
75Δ4.68128.5%6.4%
80Δ4.89122.3%3.7%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
2.59
IV
191.3%
B/E move
33.5%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
2.80
IV
185.0%
B/E move
30.8%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.01
IV
178.7%
B/E move
28.1%

40Δ

Calls
Pseudo strike
6.23
IV
276.6%
B/E move
107.8%
Puts
Pseudo strike
3.22
IV
172.4%
B/E move
25.4%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.42
IV
166.2%
B/E move
22.7%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.63
IV
159.9%
B/E move
20.0%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.84
IV
153.6%
B/E move
17.2%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.05
IV
147.4%
B/E move
14.5%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.26
IV
141.1%
B/E move
11.8%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.47
IV
134.8%
B/E move
9.1%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.68
IV
128.5%
B/E move
6.4%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.89
IV
122.3%
B/E move
3.7%

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations