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NRC Health Common Stock NRC

HEALTHCARE · HEALTH INFORMATION SERVICES
i

Market dataready · fetched 2026-11-12T02:52:16.963Z

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 · 2026-11-11T21:00:00.120684051Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T02:52:16.638278+00:00

Share price$26.86
1D+0.4%
AH$26.44$26.62$26.80$26.97$27.155:30 AM6:30 AM9:00 AM1:00 PM2:00 PMNRC
Sold putSold callAH

NRC Health Common Stock options

Live interpolated NRC call and put midpoint premiums by absolute delta.NRC Health Common Stock$0.25$1.06$1.87$2.68$3.48$22.78$24.67$26.57$28.46$30.3520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive NRC spot · $26.86NRC PRICE$0.34$0.46$0.59$0.71$0.83$0.96$1.08$1.20$1.33$1.45$1.57$1.70$1.82$0.37$0.61$0.85$1.09$1.33$1.57$1.81$2.05$2.29$2.53$2.77$3.01$3.25
PutsFair1.01×
CallsCheap0.74×
SkewBearish+10.42 pp
Implied moveBearish±$2.89
TiltBearish25.3% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ29.4354.8%10.8%25.3149.5%7.2%
25Δ29.1053.9%10.1%25.6851.2%6.7%
30Δ28.7752.9%9.3%26.0652.8%6.2%
35Δ28.4451.9%8.5%26.4354.5%5.7%
40Δ28.1151.0%7.8%26.8156.1%5.2%
45Δ27.7850.0%7.0%27.1857.8%4.6%
50Δ27.4549.1%6.2%27.5659.5%4.1%
55Δ27.1248.1%5.5%27.9361.1%3.6%
60Δ26.8047.1%4.7%28.3162.8%3.1%
65Δ26.4746.2%3.9%28.6864.5%2.6%
70Δ26.1445.2%3.2%29.0666.1%2.1%
75Δ25.8144.3%2.4%29.4367.8%1.6%
80Δ25.4843.3%1.6%29.8169.4%1.1%

20Δ

Calls
Pseudo strike
29.43
IV
54.8%
B/E move
10.8%
Puts
Pseudo strike
25.31
IV
49.5%
B/E move
7.2%

25Δ

Calls
Pseudo strike
29.10
IV
53.9%
B/E move
10.1%
Puts
Pseudo strike
25.68
IV
51.2%
B/E move
6.7%

30Δ

Calls
Pseudo strike
28.77
IV
52.9%
B/E move
9.3%
Puts
Pseudo strike
26.06
IV
52.8%
B/E move
6.2%

35Δ

Calls
Pseudo strike
28.44
IV
51.9%
B/E move
8.5%
Puts
Pseudo strike
26.43
IV
54.5%
B/E move
5.7%

40Δ

Calls
Pseudo strike
28.11
IV
51.0%
B/E move
7.8%
Puts
Pseudo strike
26.81
IV
56.1%
B/E move
5.2%

45Δ

Calls
Pseudo strike
27.78
IV
50.0%
B/E move
7.0%
Puts
Pseudo strike
27.18
IV
57.8%
B/E move
4.6%

50Δ

Calls
Pseudo strike
27.45
IV
49.1%
B/E move
6.2%
Puts
Pseudo strike
27.56
IV
59.5%
B/E move
4.1%

55Δ

Calls
Pseudo strike
27.12
IV
48.1%
B/E move
5.5%
Puts
Pseudo strike
27.93
IV
61.1%
B/E move
3.6%

60Δ

Calls
Pseudo strike
26.80
IV
47.1%
B/E move
4.7%
Puts
Pseudo strike
28.31
IV
62.8%
B/E move
3.1%

65Δ

Calls
Pseudo strike
26.47
IV
46.2%
B/E move
3.9%
Puts
Pseudo strike
28.68
IV
64.5%
B/E move
2.6%

70Δ

Calls
Pseudo strike
26.14
IV
45.2%
B/E move
3.2%
Puts
Pseudo strike
29.06
IV
66.1%
B/E move
2.1%

75Δ

Calls
Pseudo strike
25.81
IV
44.3%
B/E move
2.4%
Puts
Pseudo strike
29.43
IV
67.8%
B/E move
1.6%

80Δ

Calls
Pseudo strike
25.48
IV
43.3%
B/E move
1.6%
Puts
Pseudo strike
29.81
IV
69.4%
B/E move
1.1%

Options history

IV · four-Friday blend91.86%
Daily EOD
NRC45.9%70.6%95.3%2026-10-19: 49.31%2026-10-20: 58.87%2026-10-21: 87.49%2026-10-22: 76.00%2026-10-26: 91.86%Oct 19Oct 21Oct 26
5 observations2026-10-19 — 2026-10-26
Table
DateIV (%)
49.31%
58.87%
87.49%
76.00%
91.86%