IntraAlpha
Create free account Start free

First American Financial Corporation FAF

i

Market datapartial · fetched 2026-11-05T22:34:08.432Z

Delta surfaceAlpaca · derived absolute-delta buckets ·

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 · 2026-11-05T21:10:00.003220405Z

FundamentalsAlpha Vantage · unavailable

Share price$68.20
1D-1.9%
AH$66.94$67.63$68.31$68.99$69.685:30 AM6:30 AM9:00 AM1:00 PM2:00 PMFAF
Sold putSold callAH

First American Financial Corporation options

Live interpolated FAF call and put midpoint premiums by absolute delta.First American Financial Corporation$0.00$0.27$0.54$0.81$1.08$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ 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/P unavailable: no unambiguous, price-consistent delta bracketC/P —40Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —45Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —50Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —55Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —60Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —65Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —70Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —75Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICEFAF PRICE
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ
25Δ
30Δ
35Δ
40Δ
45Δ
50Δ
55Δ
60Δ
65Δ
70Δ
75Δ
80Δ

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
IV
B/E move

40Δ

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

45Δ

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

50Δ

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

55Δ

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

60Δ

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

65Δ

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

70Δ

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

75Δ

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

80Δ

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

Options history

IV · four-Friday blend34.27%
Daily close
FAF25.0%42.3%59.6%2026-08-07: 31.99%2026-08-10: 40.30%2026-08-12: 35.46%2026-08-13: 36.39%2026-08-14: 37.59%2026-08-17: 41.17%2026-08-19: 56.21%2026-08-21: 29.40%2026-08-24: 29.65%2026-08-25: 28.15%2026-08-26: 30.15%2026-08-27: 30.20%2026-08-28: 28.97%2026-08-31: 28.19%2026-09-01: 30.46%2026-09-02: 30.00%2026-09-03: 30.59%2026-09-04: 33.41%2026-09-09: 36.60%2026-09-15: 45.35%2026-09-16: 57.19%2026-09-18: 29.24%2026-09-21: 30.22%2026-09-22: 29.37%2026-09-23: 29.83%2026-09-24: 32.88%2026-09-28: 27.34%2026-09-29: 30.75%2026-09-30: 36.74%2026-10-01: 37.41%2026-10-02: 37.06%2026-10-05: 39.50%2026-10-06: 41.17%2026-10-16: 31.40%2026-10-19: 31.69%2026-10-20: 32.17%2026-10-21: 31.47%2026-10-22: 33.06%2026-10-23: 31.31%2026-10-26: 33.98%2026-10-27: 33.88%2026-10-28: 33.02%2026-10-29: 32.88%2026-10-30: 34.27%Aug 7Sep 18Oct 30
44 observations2026-08-07 — 2026-10-30
Table
DateIV (%)
31.99%
40.30%
35.46%
36.39%
37.59%
41.17%
56.21%
29.40%
29.65%
28.15%
30.15%
30.20%
28.97%
28.19%
30.46%
30.00%
30.59%
33.41%
36.60%
45.35%
57.19%
29.24%
30.22%
29.37%
29.83%
32.88%
27.34%
30.75%
36.74%
37.41%
37.06%
39.50%
41.17%
31.40%
31.69%
32.17%
31.47%
33.06%
31.31%
33.98%
33.88%
33.02%
32.88%
34.27%