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Norfolk Southern Corp. NSC

i

Market dataready · fetched 2026-11-03T14:42:29.788Z

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 · 2026-11-03T14:42:20.947087412Z

FundamentalsSEC EDGAR · ready · as of 2026-09-30 · fetched 2026-11-03T14:42:29.250645+00:00

Share price$341.95
1D-0.5%
$341.97$342.48$343.00$343.51$344.025:30 AM6:30 AM9:00 AM1:00 PMNSC
Sold putSold call

Norfolk Southern Corp. options

Live interpolated NSC call and put midpoint premiums by absolute delta.Norfolk Southern Corp.$1.40$6.54$11.68$16.82$21.97$309.58$324.95$340.31$355.68$371.0520Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive NSC spot · $341.94NSC PRICE$2.01$2.60$3.19$3.84$4.70$5.55$6.40$7.25$8.45$9.97$11.48$13.00$14.62$1.96$2.63$3.38$4.13$4.88$5.85$7.12$8.38$9.65$10.92$13.72$16.86$20.48
PutsCheap0.66×
CallsCheap0.72×
SkewBearish+1.03 pp
Implied moveBearish±$13.52
TiltBearish8.3% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ359.1424.9%5.6%328.4923.3%4.5%
25Δ355.8424.1%4.8%331.5922.7%3.8%
30Δ352.5423.2%4.0%333.9522.5%3.3%
35Δ349.5122.5%3.3%336.3122.4%2.9%
40Δ347.3922.3%3.0%338.6722.2%2.4%
45Δ345.2622.0%2.6%340.9422.2%2.0%
50Δ343.1321.8%2.2%343.1122.4%1.7%
55Δ341.0021.6%1.8%345.2722.5%1.5%
60Δ338.8121.4%1.6%347.4422.7%1.2%
65Δ336.5721.5%1.3%349.6022.8%1.0%
70Δ334.3221.5%1.1%353.0224.1%0.8%
75Δ332.0721.5%0.9%356.7225.7%0.6%
80Δ329.7421.5%0.7%360.8927.5%0.5%

20Δ

Calls
Pseudo strike
359.14
IV
24.9%
B/E move
5.6%
Puts
Pseudo strike
328.49
IV
23.3%
B/E move
4.5%

25Δ

Calls
Pseudo strike
355.84
IV
24.1%
B/E move
4.8%
Puts
Pseudo strike
331.59
IV
22.7%
B/E move
3.8%

30Δ

Calls
Pseudo strike
352.54
IV
23.2%
B/E move
4.0%
Puts
Pseudo strike
333.95
IV
22.5%
B/E move
3.3%

35Δ

Calls
Pseudo strike
349.51
IV
22.5%
B/E move
3.3%
Puts
Pseudo strike
336.31
IV
22.4%
B/E move
2.9%

40Δ

Calls
Pseudo strike
347.39
IV
22.3%
B/E move
3.0%
Puts
Pseudo strike
338.67
IV
22.2%
B/E move
2.4%

45Δ

Calls
Pseudo strike
345.26
IV
22.0%
B/E move
2.6%
Puts
Pseudo strike
340.94
IV
22.2%
B/E move
2.0%

50Δ

Calls
Pseudo strike
343.13
IV
21.8%
B/E move
2.2%
Puts
Pseudo strike
343.11
IV
22.4%
B/E move
1.7%

55Δ

Calls
Pseudo strike
341.00
IV
21.6%
B/E move
1.8%
Puts
Pseudo strike
345.27
IV
22.5%
B/E move
1.5%

60Δ

Calls
Pseudo strike
338.81
IV
21.4%
B/E move
1.6%
Puts
Pseudo strike
347.44
IV
22.7%
B/E move
1.2%

65Δ

Calls
Pseudo strike
336.57
IV
21.5%
B/E move
1.3%
Puts
Pseudo strike
349.60
IV
22.8%
B/E move
1.0%

70Δ

Calls
Pseudo strike
334.32
IV
21.5%
B/E move
1.1%
Puts
Pseudo strike
353.02
IV
24.1%
B/E move
0.8%

75Δ

Calls
Pseudo strike
332.07
IV
21.5%
B/E move
0.9%
Puts
Pseudo strike
356.72
IV
25.7%
B/E move
0.6%

80Δ

Calls
Pseudo strike
329.74
IV
21.5%
B/E move
0.7%
Puts
Pseudo strike
360.89
IV
27.5%
B/E move
0.5%

Options history

IV · four-Friday blend21.61%
Daily close
NSC18.4%21.9%25.3%2026-08-05: 20.62%2026-08-06: 19.59%2026-08-07: 21.10%2026-08-10: 21.15%2026-08-11: 21.73%2026-08-12: 21.95%2026-08-13: 20.42%2026-08-14: 20.24%2026-08-17: 20.82%2026-08-18: 22.48%2026-08-21: 18.87%2026-08-24: 19.50%2026-08-25: 18.87%2026-08-26: 19.14%2026-08-27: 19.51%2026-08-28: 19.23%2026-08-31: 19.71%2026-09-01: 20.79%2026-09-02: 21.15%2026-09-03: 21.47%2026-09-04: 20.84%2026-09-08: 22.23%2026-09-09: 22.63%2026-09-10: 23.01%2026-09-11: 21.35%2026-09-14: 22.31%2026-09-15: 23.62%2026-09-16: 24.86%2026-09-17: 23.67%2026-09-18: 22.30%2026-09-21: 21.43%2026-09-22: 22.14%2026-09-23: 22.03%2026-09-24: 23.00%2026-09-25: 21.94%2026-09-28: 23.07%2026-09-29: 23.03%2026-09-30: 22.60%2026-10-01: 23.17%2026-10-02: 22.65%2026-10-05: 23.11%2026-10-06: 22.15%2026-10-07: 22.72%2026-10-08: 22.30%2026-10-09: 22.01%2026-10-13: 22.71%2026-10-16: 22.65%2026-10-19: 23.14%2026-10-20: 22.98%2026-10-21: 22.97%2026-10-22: 21.19%2026-10-23: 20.67%2026-10-26: 22.42%2026-10-27: 21.22%2026-10-28: 20.79%2026-10-29: 20.86%2026-10-30: 21.61%Aug 5Sep 17Oct 30
57 observations2026-08-05 — 2026-10-30
Table
DateIV (%)
20.62%
19.59%
21.10%
21.15%
21.73%
21.95%
20.42%
20.24%
20.82%
22.48%
18.87%
19.50%
18.87%
19.14%
19.51%
19.23%
19.71%
20.79%
21.15%
21.47%
20.84%
22.23%
22.63%
23.01%
21.35%
22.31%
23.62%
24.86%
23.67%
22.30%
21.43%
22.14%
22.03%
23.00%
21.94%
23.07%
23.03%
22.60%
23.17%
22.65%
23.11%
22.15%
22.72%
22.30%
22.01%
22.71%
22.65%
23.14%
22.98%
22.97%
21.19%
20.67%
22.42%
21.22%
20.79%
20.86%
21.61%