IntraAlpha
Create free account Start free

Selective Insurance Group, Inc. Common Stock SIGI

i

Market dataready · fetched 2026-11-12T03:19:36.666Z

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 · 2026-11-11T21:00:02.104418826Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-12T03:19:36.308398+00:00

Share price$103.00
1D+0.9%
AH$101.62$102.09$102.56$103.03$103.505:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSIGI
Sold putSold callAH

Selective Insurance Group, Inc. Common Stock options

Live interpolated SIGI call and put midpoint premiums by absolute delta.Selective Insurance Group, Inc. Common Stock$0.72$2.42$4.12$5.83$7.53$92.06$96.99$101.91$106.83$111.7520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SIGI spot · $103.00SIGI PRICE$2.45$2.45$2.45$0.90$1.14$1.37$1.60$1.84$2.07$2.30$2.54$2.77$3.00$2.45$2.45$2.45$2.45$2.55$2.67$2.78$2.90$3.01$3.40$4.61$5.82$7.04
PutsExpensive1.96×
CallsExpensive1.31×
SkewBearish+13.70 pp
Implied moveBearish±$4.39
TiltBearish24.8% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ129.57153.6%28.2%89.14125.9%15.8%
25Δ117.92112.8%16.9%94.2096.3%10.9%
30Δ111.9287.5%11.0%97.1678.3%8.0%
35Δ104.6522.5%2.5%99.7662.3%5.5%
40Δ104.2022.0%2.3%100.8056.0%4.6%
45Δ103.7521.6%2.1%101.6850.7%3.9%
50Δ103.2921.2%1.8%102.5745.4%3.1%
55Δ102.8420.7%1.6%103.4540.1%2.4%
60Δ102.3920.3%1.4%104.3334.9%1.6%
65Δ101.9419.8%1.2%105.3431.7%1.0%
70Δ101.4819.4%1.0%106.7035.1%0.9%
75Δ101.0319.0%0.8%108.0638.5%0.7%
80Δ100.5818.5%0.6%109.4241.8%0.6%

20Δ

Calls
Pseudo strike
129.57
IV
153.6%
B/E move
28.2%
Puts
Pseudo strike
89.14
IV
125.9%
B/E move
15.8%

25Δ

Calls
Pseudo strike
117.92
IV
112.8%
B/E move
16.9%
Puts
Pseudo strike
94.20
IV
96.3%
B/E move
10.9%

30Δ

Calls
Pseudo strike
111.92
IV
87.5%
B/E move
11.0%
Puts
Pseudo strike
97.16
IV
78.3%
B/E move
8.0%

35Δ

Calls
Pseudo strike
104.65
IV
22.5%
B/E move
2.5%
Puts
Pseudo strike
99.76
IV
62.3%
B/E move
5.5%

40Δ

Calls
Pseudo strike
104.20
IV
22.0%
B/E move
2.3%
Puts
Pseudo strike
100.80
IV
56.0%
B/E move
4.6%

45Δ

Calls
Pseudo strike
103.75
IV
21.6%
B/E move
2.1%
Puts
Pseudo strike
101.68
IV
50.7%
B/E move
3.9%

50Δ

Calls
Pseudo strike
103.29
IV
21.2%
B/E move
1.8%
Puts
Pseudo strike
102.57
IV
45.4%
B/E move
3.1%

55Δ

Calls
Pseudo strike
102.84
IV
20.7%
B/E move
1.6%
Puts
Pseudo strike
103.45
IV
40.1%
B/E move
2.4%

60Δ

Calls
Pseudo strike
102.39
IV
20.3%
B/E move
1.4%
Puts
Pseudo strike
104.33
IV
34.9%
B/E move
1.6%

65Δ

Calls
Pseudo strike
101.94
IV
19.8%
B/E move
1.2%
Puts
Pseudo strike
105.34
IV
31.7%
B/E move
1.0%

70Δ

Calls
Pseudo strike
101.48
IV
19.4%
B/E move
1.0%
Puts
Pseudo strike
106.70
IV
35.1%
B/E move
0.9%

75Δ

Calls
Pseudo strike
101.03
IV
19.0%
B/E move
0.8%
Puts
Pseudo strike
108.06
IV
38.5%
B/E move
0.7%

80Δ

Calls
Pseudo strike
100.58
IV
18.5%
B/E move
0.6%
Puts
Pseudo strike
109.42
IV
41.8%
B/E move
0.6%

Options history

IV · four-Friday blend25.37%
Daily EOD
SIGI23.6%26.3%29.0%2026-10-19: 27.67%2026-10-20: 27.92%2026-10-21: 27.88%2026-10-22: 28.59%2026-10-23: 24.00%2026-10-26: 24.05%2026-10-27: 24.64%2026-10-28: 24.48%2026-10-29: 24.29%2026-10-30: 25.37%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
27.67%
27.92%
27.88%
28.59%
24.00%
24.05%
24.64%
24.48%
24.29%
25.37%