Option Greeks measure how AMERISAFE Inc (AMSF) option prices respond to changes in the stock price (delta and gamma), the passage of time (theta), implied volatility (vega), and interest rates (rho). These charts plot each Greek by strike, so you can see where an expiration's price risk, time decay, and volatility exposure are concentrated. AMSF implied volatility is in the lower part of its one-year range, which keeps delta and gamma in a narrower range of strikes than usual.
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AMSF Option Greeks FAQ
What are option Greeks?
Option Greeks measure how an option's price responds to changes in the stock price (delta and gamma), time (theta), implied volatility (vega), and interest rates (rho).
How do I read the AMSF Greeks charts?
Gamma, theta, and vega are largest for strikes near the AMERISAFE stock price and shrink for strikes far above or below it. Theta grows as expiration gets closer, while vega is larger for expirations further out. Call delta runs from 0 to 1 and put delta from -1 to 0, near 0.50 and -0.50 at the money, and roughly estimates the chance that an option finishes in the money.
How does implied volatility affect AMSF's Greeks?
AMERISAFE IV rank is 30, so implied volatility is in the lower part of its one-year range. Higher implied volatility raises option premiums and daily time decay (theta), and spreads delta and gamma across a wider range of strikes. Over the past year, 30-day implied volatility ranged from 32.6% to 197.7%. See the AMSF implied volatility history for a longer view.
How much gamma and delta do AMSF options carry in total?
Across all open AMERISAFE options on Nov 4, 2026, net gamma exposure was $6.42K and net delta exposure was $129.05K per 1% move in the stock. The AMSF gamma exposure chart shows where that gamma sits by strike.
What is AMERISAFE Inc?
AMERISAFE Inc is a specialty provider of workers' compensation insurance focused on small to mid-sized employers engaged in hazardous industries, principally construction, trucking, logging and lumber, agriculture, manufacturing, maritime, and telecommunications.