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James River Group Holdings, Inc. Common Stock JRVR

i

Market dataready · fetched 2026-11-03T14:43:59.876Z

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 · 2026-11-03T14:41:07.513250329Z

FundamentalsSEC EDGAR · ready · as of 2026-06-30 · fetched 2026-11-03T14:43:59.475329+00:00

Share price$3.95
1D-0.6%
$3.94$3.95$3.96$3.97$3.985:30 AM6:30 AM9:00 AM1:00 PMJRVR
Sold putSold call

James River Group Holdings, Inc. Common Stock options

Live interpolated JRVR call and put midpoint premiums by absolute delta.James River Group Holdings, Inc. Common Stock$0.50$1.29$2.08$2.87$3.66$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —55Δ C unavailable: no unambiguous, price-consistent delta bracketC —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICEJRVR PRICE$0.58$0.68$0.78$0.87$0.97$1.06$1.16$1.25$1.35$1.67$2.26$2.84$3.43
PutsExpensive9.32×
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ2.67400.3%47.1%
25Δ2.94377.0%42.6%
30Δ3.22353.8%38.1%
35Δ3.49330.5%33.6%
40Δ3.76307.2%29.1%
45Δ4.04283.9%24.6%
50Δ4.31260.6%20.1%
55Δ4.58237.3%15.6%
60Δ4.85214.0%11.1%
65Δ5.30207.0%8.1%
70Δ5.93218.3%6.9%
75Δ6.57229.7%5.6%
80Δ7.21241.1%4.3%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
2.67
IV
400.3%
B/E move
47.1%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
2.94
IV
377.0%
B/E move
42.6%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.22
IV
353.8%
B/E move
38.1%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.49
IV
330.5%
B/E move
33.6%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.76
IV
307.2%
B/E move
29.1%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.04
IV
283.9%
B/E move
24.6%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.31
IV
260.6%
B/E move
20.1%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.58
IV
237.3%
B/E move
15.6%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.85
IV
214.0%
B/E move
11.1%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.30
IV
207.0%
B/E move
8.1%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.93
IV
218.3%
B/E move
6.9%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
6.57
IV
229.7%
B/E move
5.6%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
7.21
IV
241.1%
B/E move
4.3%

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations