Option Greeks measure how First American Financial Corporation (FAF) 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. FAF implied volatility is near the bottom of its one-year range, which keeps delta and gamma in a narrower range of strikes than usual.
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FAF 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 FAF Greeks charts?
Gamma, theta, and vega are largest for strikes near the First American Financial 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 FAF's Greeks?
First American Financial IV rank is 14, so implied volatility is near the bottom 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 20.1% to 173.5%. See the FAF implied volatility history for a longer view.
How much gamma and delta do FAF options carry in total?
Across all open First American Financial options on Nov 4, 2026, net gamma exposure was $2.33K and net delta exposure was -$385.16K per 1% move in the stock. The FAF gamma exposure chart shows where that gamma sits by strike.
What is First American Financial Corporation?
First American Financial Corp is engaged in the business of providing title insurance, settlement services, and other financial services and risk solutions.