IntraAlpha
Create free account Start free

Old Republic International Corporation ORI

i

Market dataready · fetched 2026-11-12T01:43:25.275Z

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 · 2026-11-12T00:00:00.001588721Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-12T01:43:24.689637+00:00

Share price$39.96
1D-0.1%
AH$39.53$39.66$39.80$39.94$40.075:30 AM6:30 AM9:00 AM1:00 PM2:00 PMORI
Sold putSold callAH

Old Republic International Corporation options

Live interpolated ORI call and put midpoint premiums by absolute delta.Old Republic International Corporation$0.11$1.16$2.21$3.26$4.31$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ50Δ P unavailable: no unambiguous, price-consistent delta bracketP —55Δ P unavailable: no unambiguous, price-consistent delta bracketP —60Δ P unavailable: no unambiguous, price-consistent delta bracketP —65Δ P unavailable: no unambiguous, price-consistent delta bracketP —70Δ P unavailable: no unambiguous, price-consistent delta bracketP —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICEORI PRICE$0.22$0.28$0.34$0.40$0.45$0.51$0.57$1.08$1.67$2.25$2.83$3.42$4.00$0.48$0.48$0.49$0.49$0.49$0.50
Puts——
CallsFair1.00×
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ43.2033.2%8.7%32.63119.8%19.5%
25Δ42.6831.5%7.5%33.89102.8%16.4%
30Δ42.1629.9%6.3%35.1485.9%13.3%
35Δ41.6428.2%5.2%36.3968.9%10.2%
40Δ41.1126.6%4.0%37.6451.9%7.0%
45Δ40.5924.9%2.9%38.8935.0%3.9%
50Δ40.0723.2%1.7%
55Δ39.4528.0%1.4%
60Δ38.8233.7%1.3%
65Δ38.1939.5%1.2%
70Δ37.5645.2%1.1%
75Δ36.9351.0%1.0%
80Δ36.2956.7%0.8%

20Δ

Calls
Pseudo strike
43.20
IV
33.2%
B/E move
8.7%
Puts
Pseudo strike
32.63
IV
119.8%
B/E move
19.5%

25Δ

Calls
Pseudo strike
42.68
IV
31.5%
B/E move
7.5%
Puts
Pseudo strike
33.89
IV
102.8%
B/E move
16.4%

30Δ

Calls
Pseudo strike
42.16
IV
29.9%
B/E move
6.3%
Puts
Pseudo strike
35.14
IV
85.9%
B/E move
13.3%

35Δ

Calls
Pseudo strike
41.64
IV
28.2%
B/E move
5.2%
Puts
Pseudo strike
36.39
IV
68.9%
B/E move
10.2%

40Δ

Calls
Pseudo strike
41.11
IV
26.6%
B/E move
4.0%
Puts
Pseudo strike
37.64
IV
51.9%
B/E move
7.0%

45Δ

Calls
Pseudo strike
40.59
IV
24.9%
B/E move
2.9%
Puts
Pseudo strike
38.89
IV
35.0%
B/E move
3.9%

50Δ

Calls
Pseudo strike
40.07
IV
23.2%
B/E move
1.7%
Puts
Pseudo strike
IV
B/E move

55Δ

Calls
Pseudo strike
39.45
IV
28.0%
B/E move
1.4%
Puts
Pseudo strike
IV
B/E move

60Δ

Calls
Pseudo strike
38.82
IV
33.7%
B/E move
1.3%
Puts
Pseudo strike
IV
B/E move

65Δ

Calls
Pseudo strike
38.19
IV
39.5%
B/E move
1.2%
Puts
Pseudo strike
IV
B/E move

70Δ

Calls
Pseudo strike
37.56
IV
45.2%
B/E move
1.1%
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
36.93
IV
51.0%
B/E move
1.0%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
36.29
IV
56.7%
B/E move
0.8%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend24.03%
Daily EOD
ORI23.8%25.7%27.7%2026-10-19: 25.54%2026-10-20: 24.63%2026-10-21: 27.39%2026-10-22: 24.03%Oct 19Oct 20Oct 22
4 observations2026-10-19 — 2026-10-22
Table
DateIV (%)
25.54%
24.63%
27.39%
24.03%