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Old Second Bancorp, Inc. Common Stock OSBC

FINANCIAL SERVICES · BANKS - REGIONAL
i

Market dataready · fetched 2026-11-11T15:49:51.649Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2027-06-17

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 · 2026-11-11T15:49:15.585300269Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-11T15:49:49.932315+00:00

Share price$24.99
1D-1.0%
$24.95$25.03$25.11$25.19$25.275:30 AM6:30 AM9:00 AM1:00 PMOSBC
Sold putSold call

Old Second Bancorp, Inc. Common Stock options

Live interpolated OSBC call and put midpoint premiums by absolute delta.Old Second Bancorp, Inc. Common Stock$2.47$3.21$3.94$4.68$5.41$20.45$22.74$25.04$27.34$29.6420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —25Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —30Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ P unavailable: no unambiguous, price-consistent delta bracketP —80Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive OSBC spot · $24.99OSBC PRICE$2.55$2.69$2.84$3.05$3.59$4.13$4.66$5.20$2.62$2.74$3.07$3.44$3.82$4.19$4.56$4.93
Puts——
Calls——
Skew——
Implied moveBearish±$6.14
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ23.6747.3%15.8%
40Δ24.8541.1%11.5%
45Δ29.1848.7%27.0%25.6938.7%9.5%
50Δ27.6943.7%21.6%26.4836.9%7.8%
55Δ26.2038.7%16.2%27.2735.1%6.2%
60Δ24.8334.5%11.6%28.0633.3%4.5%
65Δ23.9334.1%10.1%28.8431.5%2.8%
70Δ23.0433.6%8.7%29.6329.7%1.1%
75Δ22.1433.2%7.3%
80Δ21.2532.7%5.8%

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
IV
B/E move

30Δ

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

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
23.67
IV
47.3%
B/E move
15.8%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
24.85
IV
41.1%
B/E move
11.5%

45Δ

Calls
Pseudo strike
29.18
IV
48.7%
B/E move
27.0%
Puts
Pseudo strike
25.69
IV
38.7%
B/E move
9.5%

50Δ

Calls
Pseudo strike
27.69
IV
43.7%
B/E move
21.6%
Puts
Pseudo strike
26.48
IV
36.9%
B/E move
7.8%

55Δ

Calls
Pseudo strike
26.20
IV
38.7%
B/E move
16.2%
Puts
Pseudo strike
27.27
IV
35.1%
B/E move
6.2%

60Δ

Calls
Pseudo strike
24.83
IV
34.5%
B/E move
11.6%
Puts
Pseudo strike
28.06
IV
33.3%
B/E move
4.5%

65Δ

Calls
Pseudo strike
23.93
IV
34.1%
B/E move
10.1%
Puts
Pseudo strike
28.84
IV
31.5%
B/E move
2.8%

70Δ

Calls
Pseudo strike
23.04
IV
33.6%
B/E move
8.7%
Puts
Pseudo strike
29.63
IV
29.7%
B/E move
1.1%

75Δ

Calls
Pseudo strike
22.14
IV
33.2%
B/E move
7.3%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
21.25
IV
32.7%
B/E move
5.8%
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend38.80%
Daily EOD
OSBC38.2%42.6%47.0%2026-10-19: 39.81%2026-10-20: 46.37%2026-10-21: 43.97%2026-10-27: 43.49%2026-10-28: 39.86%2026-10-30: 38.80%Oct 19Oct 21Oct 30
6 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
39.81%
46.37%
43.97%
43.49%
39.86%
38.80%