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Selective Insurance Group, Inc. Common Stock SIGI

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Market datapartial · fetched 2026-10-23T03:33:19.085Z

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 · 2026-10-22T20:00:09.808076624Z

FundamentalsAlpha Vantage · unavailable

Share price$91.74
1D+0.2%
AH$91.20$91.65$92.09$92.53$92.985:30 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$2.04$4.09$6.15$8.21$10.27$78.75$85.48$92.20$98.93$105.6620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SIGI spot · $91.74SIGI PRICE$2.45$2.45$2.28$2.38$2.51$2.99$3.48$3.96$4.45$5.26$6.18$7.09$8.00$2.26$2.38$2.47$2.52$2.67$3.26$3.86$4.45$5.04$6.00$7.10$8.21$9.68
PutsExpensive1.83×
CallsExpensive1.71×
SkewBullish-3.62 pp
Implied moveBearish±$7.33
TiltBearish5.7% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ119.9096.4%33.4%79.2671.3%16.1%
25Δ107.4470.6%19.8%83.4357.8%11.6%
30Δ100.0149.7%11.5%86.2348.4%8.7%
35Δ97.4142.6%8.8%88.3340.4%6.5%
40Δ94.9236.0%6.2%90.2334.0%4.6%
45Δ93.7535.5%5.5%91.3533.9%4.0%
50Δ92.5934.9%4.7%92.4733.8%3.4%
55Δ91.4234.4%4.0%93.5833.7%2.8%
60Δ90.2533.9%3.2%94.7033.6%2.3%
65Δ88.9834.1%2.7%96.0633.9%1.8%
70Δ87.6834.4%2.3%97.5134.3%1.5%
75Δ86.3734.8%1.9%98.9534.7%1.1%
80Δ85.0735.1%1.5%100.7535.5%0.7%

20Δ

Calls
Pseudo strike
119.90
IV
96.4%
B/E move
33.4%
Puts
Pseudo strike
79.26
IV
71.3%
B/E move
16.1%

25Δ

Calls
Pseudo strike
107.44
IV
70.6%
B/E move
19.8%
Puts
Pseudo strike
83.43
IV
57.8%
B/E move
11.6%

30Δ

Calls
Pseudo strike
100.01
IV
49.7%
B/E move
11.5%
Puts
Pseudo strike
86.23
IV
48.4%
B/E move
8.7%

35Δ

Calls
Pseudo strike
97.41
IV
42.6%
B/E move
8.8%
Puts
Pseudo strike
88.33
IV
40.4%
B/E move
6.5%

40Δ

Calls
Pseudo strike
94.92
IV
36.0%
B/E move
6.2%
Puts
Pseudo strike
90.23
IV
34.0%
B/E move
4.6%

45Δ

Calls
Pseudo strike
93.75
IV
35.5%
B/E move
5.5%
Puts
Pseudo strike
91.35
IV
33.9%
B/E move
4.0%

50Δ

Calls
Pseudo strike
92.59
IV
34.9%
B/E move
4.7%
Puts
Pseudo strike
92.47
IV
33.8%
B/E move
3.4%

55Δ

Calls
Pseudo strike
91.42
IV
34.4%
B/E move
4.0%
Puts
Pseudo strike
93.58
IV
33.7%
B/E move
2.8%

60Δ

Calls
Pseudo strike
90.25
IV
33.9%
B/E move
3.2%
Puts
Pseudo strike
94.70
IV
33.6%
B/E move
2.3%

65Δ

Calls
Pseudo strike
88.98
IV
34.1%
B/E move
2.7%
Puts
Pseudo strike
96.06
IV
33.9%
B/E move
1.8%

70Δ

Calls
Pseudo strike
87.68
IV
34.4%
B/E move
2.3%
Puts
Pseudo strike
97.51
IV
34.3%
B/E move
1.5%

75Δ

Calls
Pseudo strike
86.37
IV
34.8%
B/E move
1.9%
Puts
Pseudo strike
98.95
IV
34.7%
B/E move
1.1%

80Δ

Calls
Pseudo strike
85.07
IV
35.1%
B/E move
1.5%
Puts
Pseudo strike
100.75
IV
35.5%
B/E move
0.7%

Options history

No recorded observations