IntraAlpha
Create free account Start free

Orrstown Financial Services, Inc. Common Stock ORRF

i

Market datapartial · fetched 2026-10-23T01:58:16.128Z

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 · 2026-10-22T20:00:02.055368871Z

FundamentalsAlpha Vantage · unavailable

Share price$44.32
1D+3.6%
AH$42.68$43.12$43.57$44.01$44.455:30 AM6:30 AM9:00 AM1:00 PM2:00 PMORRF
Sold putSold callAH

Orrstown Financial Services, Inc. Common Stock options

Live interpolated ORRF call and put midpoint premiums by absolute delta.Orrstown Financial Services, Inc. Common Stock$0.70$2.92$5.13$7.35$9.56$32.90$37.75$42.59$47.44$52.2820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive ORRF spot · $44.32ORRF PRICE$1.49$2.10$2.20$1.60$1.00$0.94$1.34$1.74$2.13$2.53$2.93$3.33$3.72$1.97$2.56$2.68$2.81$2.93$3.06$3.21$3.80$4.39$4.98$5.57$6.15$8.92
PutsExpensive2.80×
CallsExpensive1.56×
SkewBearish+27.80 pp
Implied moveBearish±$4.55
TiltBearish32.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ55.8292.4%29.3%36.28113.5%22.6%
25Δ58.46120.6%36.6%36.46125.9%23.5%
30Δ57.83120.0%35.4%38.18112.1%19.9%
35Δ52.6179.1%22.3%39.9198.3%16.3%
40Δ47.3938.1%9.2%41.6484.6%12.7%
45Δ44.7219.9%3.0%43.3770.8%9.0%
50Δ44.2120.9%2.8%45.0557.8%5.6%
55Δ43.7021.8%2.5%45.9856.7%4.8%
60Δ43.1822.8%2.2%46.9155.6%4.1%
65Δ42.6723.8%2.0%47.8454.5%3.3%
70Δ42.1624.8%1.7%48.7653.5%2.5%
75Δ41.6425.7%1.5%49.6952.4%1.8%
80Δ41.1326.7%1.2%52.6362.3%1.4%

20Δ

Calls
Pseudo strike
55.82
IV
92.4%
B/E move
29.3%
Puts
Pseudo strike
36.28
IV
113.5%
B/E move
22.6%

25Δ

Calls
Pseudo strike
58.46
IV
120.6%
B/E move
36.6%
Puts
Pseudo strike
36.46
IV
125.9%
B/E move
23.5%

30Δ

Calls
Pseudo strike
57.83
IV
120.0%
B/E move
35.4%
Puts
Pseudo strike
38.18
IV
112.1%
B/E move
19.9%

35Δ

Calls
Pseudo strike
52.61
IV
79.1%
B/E move
22.3%
Puts
Pseudo strike
39.91
IV
98.3%
B/E move
16.3%

40Δ

Calls
Pseudo strike
47.39
IV
38.1%
B/E move
9.2%
Puts
Pseudo strike
41.64
IV
84.6%
B/E move
12.7%

45Δ

Calls
Pseudo strike
44.72
IV
19.9%
B/E move
3.0%
Puts
Pseudo strike
43.37
IV
70.8%
B/E move
9.0%

50Δ

Calls
Pseudo strike
44.21
IV
20.9%
B/E move
2.8%
Puts
Pseudo strike
45.05
IV
57.8%
B/E move
5.6%

55Δ

Calls
Pseudo strike
43.70
IV
21.8%
B/E move
2.5%
Puts
Pseudo strike
45.98
IV
56.7%
B/E move
4.8%

60Δ

Calls
Pseudo strike
43.18
IV
22.8%
B/E move
2.2%
Puts
Pseudo strike
46.91
IV
55.6%
B/E move
4.1%

65Δ

Calls
Pseudo strike
42.67
IV
23.8%
B/E move
2.0%
Puts
Pseudo strike
47.84
IV
54.5%
B/E move
3.3%

70Δ

Calls
Pseudo strike
42.16
IV
24.8%
B/E move
1.7%
Puts
Pseudo strike
48.76
IV
53.5%
B/E move
2.5%

75Δ

Calls
Pseudo strike
41.64
IV
25.7%
B/E move
1.5%
Puts
Pseudo strike
49.69
IV
52.4%
B/E move
1.8%

80Δ

Calls
Pseudo strike
41.13
IV
26.7%
B/E move
1.2%
Puts
Pseudo strike
52.63
IV
62.3%
B/E move
1.4%

Options history

No recorded observations