IntraAlpha
Create free account Start free

Orrstown Financial Services, Inc. Common Stock ORRF

i

Market datapartial · fetched 2026-11-12T14:56:10.794Z

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 · 2026-11-12T14:48:39.572224651Z

FundamentalsAlpha Vantage · unavailable

Share price$44.25
1D-0.4%
$44.03$44.13$44.24$44.34$44.455:30 AM6:30 AM9:00 AM1:00 PMORRF
Sold putSold call

Orrstown Financial Services, Inc. Common Stock options

Live interpolated ORRF call and put midpoint premiums by absolute delta.Orrstown Financial Services, Inc. Common Stock$0.19$2.90$5.61$8.33$11.04$34.62$38.59$42.55$46.52$50.4820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive ORRF spot · $44.25ORRF PRICE$0.48$0.49$0.49$0.50$1.16$2.30$3.43$4.57$5.71$6.85$7.98$9.12$10.26$1.23$1.48$1.74$1.99$2.25$2.50$2.76$3.09$3.47$3.85$4.23$4.60$4.98
PutsExpensive4.01×
CallsExpensive2.23×
SkewBearish+51.07 pp
Implied moveBullish±$6.19
TiltBullish16.6% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ54.77108.2%24.9%31.32214.1%32.0%
25Δ51.9185.5%18.4%33.47195.3%27.7%
30Δ49.0662.8%12.0%35.62176.4%23.4%
35Δ46.2040.1%5.5%37.78157.5%19.1%
40Δ44.2935.5%2.7%39.93138.6%14.8%
45Δ43.0543.8%2.5%42.08119.8%10.6%
50Δ41.8252.2%2.3%44.23100.9%6.3%
55Δ40.5960.6%2.1%45.4191.2%4.4%
60Δ39.3669.0%1.8%46.0486.7%3.8%
65Δ38.1377.4%1.6%46.6682.1%3.2%
70Δ36.9085.7%1.4%47.2977.5%2.7%
75Δ35.6694.1%1.2%47.9273.0%2.1%
80Δ34.43102.5%1.0%48.5568.4%1.5%

20Δ

Calls
Pseudo strike
54.77
IV
108.2%
B/E move
24.9%
Puts
Pseudo strike
31.32
IV
214.1%
B/E move
32.0%

25Δ

Calls
Pseudo strike
51.91
IV
85.5%
B/E move
18.4%
Puts
Pseudo strike
33.47
IV
195.3%
B/E move
27.7%

30Δ

Calls
Pseudo strike
49.06
IV
62.8%
B/E move
12.0%
Puts
Pseudo strike
35.62
IV
176.4%
B/E move
23.4%

35Δ

Calls
Pseudo strike
46.20
IV
40.1%
B/E move
5.5%
Puts
Pseudo strike
37.78
IV
157.5%
B/E move
19.1%

40Δ

Calls
Pseudo strike
44.29
IV
35.5%
B/E move
2.7%
Puts
Pseudo strike
39.93
IV
138.6%
B/E move
14.8%

45Δ

Calls
Pseudo strike
43.05
IV
43.8%
B/E move
2.5%
Puts
Pseudo strike
42.08
IV
119.8%
B/E move
10.6%

50Δ

Calls
Pseudo strike
41.82
IV
52.2%
B/E move
2.3%
Puts
Pseudo strike
44.23
IV
100.9%
B/E move
6.3%

55Δ

Calls
Pseudo strike
40.59
IV
60.6%
B/E move
2.1%
Puts
Pseudo strike
45.41
IV
91.2%
B/E move
4.4%

60Δ

Calls
Pseudo strike
39.36
IV
69.0%
B/E move
1.8%
Puts
Pseudo strike
46.04
IV
86.7%
B/E move
3.8%

65Δ

Calls
Pseudo strike
38.13
IV
77.4%
B/E move
1.6%
Puts
Pseudo strike
46.66
IV
82.1%
B/E move
3.2%

70Δ

Calls
Pseudo strike
36.90
IV
85.7%
B/E move
1.4%
Puts
Pseudo strike
47.29
IV
77.5%
B/E move
2.7%

75Δ

Calls
Pseudo strike
35.66
IV
94.1%
B/E move
1.2%
Puts
Pseudo strike
47.92
IV
73.0%
B/E move
2.1%

80Δ

Calls
Pseudo strike
34.43
IV
102.5%
B/E move
1.0%
Puts
Pseudo strike
48.55
IV
68.4%
B/E move
1.5%

Options history

IV · four-Friday blend34.57%
Daily EOD
ORRF29.7%33.8%37.9%2026-10-19: 37.29%2026-10-22: 32.48%2026-10-26: 30.22%2026-10-27: 32.31%2026-10-28: 33.56%2026-10-29: 30.23%2026-10-30: 34.57%Oct 19Oct 27Oct 30
7 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
37.29%
32.48%
30.22%
32.31%
33.56%
30.23%
34.57%