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Willis Towers Watson Public Limited Company Ordinary Shares WTW

FINANCIAL SERVICES · INSURANCE BROKERS
i

Market dataready · fetched 2026-11-11T15:57:38.345Z

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 · 2026-11-11T15:57:03.799172476Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-11T15:54:50.269772+00:00

Share price$331.11
1D+1.5%
$323$326$328$331$3335:30 AM6:30 AM9:00 AM1:00 PMWTW
Sold putSold call

Willis Towers Watson Public Limited Company Ordinary Shares options

Live interpolated WTW call and put midpoint premiums by absolute delta.Willis Towers Watson Public Limited Company Ordinary Shares$1.49$5.36$9.23$13.10$16.97$301.23$315.91$330.58$345.26$359.9420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive WTW spot · $331.11WTW PRICE$1.93$2.41$2.89$3.63$4.38$5.14$5.89$6.67$8.16$9.64$11.12$12.60$15.85$1.91$2.50$3.14$3.78$4.43$5.07$6.08$7.10$8.12$9.14$10.16$11.79$14.26
PutsCheap0.61×
CallsCheap0.68×
SkewBullish-1.90 pp
Implied moveBalanced±$11.96
TiltBalanced1.6% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ347.8033.9%5.6%317.8631.4%4.6%
25Δ343.9531.9%4.6%320.8631.1%3.8%
30Δ340.0929.9%3.6%323.1230.3%3.4%
35Δ338.0229.6%3.2%325.3829.6%2.9%
40Δ335.9929.2%2.8%327.6428.8%2.4%
45Δ333.9628.9%2.4%329.9128.0%1.9%
50Δ331.9328.6%2.0%331.7327.6%1.6%
55Δ329.8928.3%1.6%333.5427.2%1.4%
60Δ327.7328.7%1.4%335.3426.8%1.2%
65Δ325.5629.1%1.2%337.1526.4%0.9%
70Δ323.4029.5%1.0%338.9626.1%0.7%
75Δ321.2429.8%0.8%341.2325.9%0.5%
80Δ317.4632.6%0.7%344.1526.2%0.4%

20Δ

Calls
Pseudo strike
347.80
IV
33.9%
B/E move
5.6%
Puts
Pseudo strike
317.86
IV
31.4%
B/E move
4.6%

25Δ

Calls
Pseudo strike
343.95
IV
31.9%
B/E move
4.6%
Puts
Pseudo strike
320.86
IV
31.1%
B/E move
3.8%

30Δ

Calls
Pseudo strike
340.09
IV
29.9%
B/E move
3.6%
Puts
Pseudo strike
323.12
IV
30.3%
B/E move
3.4%

35Δ

Calls
Pseudo strike
338.02
IV
29.6%
B/E move
3.2%
Puts
Pseudo strike
325.38
IV
29.6%
B/E move
2.9%

40Δ

Calls
Pseudo strike
335.99
IV
29.2%
B/E move
2.8%
Puts
Pseudo strike
327.64
IV
28.8%
B/E move
2.4%

45Δ

Calls
Pseudo strike
333.96
IV
28.9%
B/E move
2.4%
Puts
Pseudo strike
329.91
IV
28.0%
B/E move
1.9%

50Δ

Calls
Pseudo strike
331.93
IV
28.6%
B/E move
2.0%
Puts
Pseudo strike
331.73
IV
27.6%
B/E move
1.6%

55Δ

Calls
Pseudo strike
329.89
IV
28.3%
B/E move
1.6%
Puts
Pseudo strike
333.54
IV
27.2%
B/E move
1.4%

60Δ

Calls
Pseudo strike
327.73
IV
28.7%
B/E move
1.4%
Puts
Pseudo strike
335.34
IV
26.8%
B/E move
1.2%

65Δ

Calls
Pseudo strike
325.56
IV
29.1%
B/E move
1.2%
Puts
Pseudo strike
337.15
IV
26.4%
B/E move
0.9%

70Δ

Calls
Pseudo strike
323.40
IV
29.5%
B/E move
1.0%
Puts
Pseudo strike
338.96
IV
26.1%
B/E move
0.7%

75Δ

Calls
Pseudo strike
321.24
IV
29.8%
B/E move
0.8%
Puts
Pseudo strike
341.23
IV
25.9%
B/E move
0.5%

80Δ

Calls
Pseudo strike
317.46
IV
32.6%
B/E move
0.7%
Puts
Pseudo strike
344.15
IV
26.2%
B/E move
0.4%

Options history

IV · four-Friday blend26.28%
Daily EOD
WTW25.6%28.1%30.5%2026-10-19: 28.64%2026-10-20: 28.39%2026-10-21: 28.81%2026-10-22: 28.47%2026-10-23: 29.43%2026-10-26: 29.88%2026-10-27: 30.17%2026-10-28: 29.25%2026-10-29: 25.98%2026-10-30: 26.28%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
28.64%
28.39%
28.81%
28.47%
29.43%
29.88%
30.17%
29.25%
25.98%
26.28%