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Bath & Body Works, Inc. BBWI

CONSUMER CYCLICAL · SPECIALTY RETAIL
i

Market dataready · fetched 2026-11-07T01:33:57.413Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-07T00:00:00.002007478Z

FundamentalsAlpha Vantage · ready · quarter 2026-07-31 · fetched 2026-11-07T01:33:56.526364+00:00

Share price$21.36
1D-2.0%
AH$21.16$21.38$21.59$21.81$22.035:30 AM6:30 AM9:00 AM1:00 PM2:00 PMBBWI
Sold putSold callAH

Bath & Body Works, Inc. options

Live interpolated BBWI call and put midpoint premiums by absolute delta.Bath & Body Works, Inc.$0.13$0.56$0.99$1.42$1.85$19.14$20.46$21.77$23.08$24.4020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive BBWI spot · $21.36BBWI PRICE$0.18$0.23$0.27$0.32$0.41$0.49$0.59$0.70$0.80$0.88$0.95$1.02$1.39$0.22$0.27$0.33$0.41$0.49$0.61$0.72$0.84$0.95$1.17$1.52$1.62$1.73
PutsFair1.01×
CallsCheap0.80×
SkewBearish+8.00 pp
Implied moveBearish±$1.31
TiltBearish13.8% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ22.8754.9%7.9%19.9462.7%7.7%
25Δ22.5855.0%6.8%20.2958.6%6.3%
30Δ22.2650.9%5.5%20.5855.7%5.2%
35Δ21.9646.9%4.3%20.8155.5%4.5%
40Δ21.7948.7%3.9%21.0355.4%3.9%
45Δ21.6150.4%3.5%21.2456.5%3.4%
50Δ21.4351.7%3.1%21.4557.7%3.0%
55Δ21.2352.3%2.7%21.6657.3%2.5%
60Δ21.0452.8%2.3%21.8756.3%2.1%
65Δ20.8750.4%1.9%22.1659.5%1.8%
70Δ20.7247.2%1.4%22.5366.8%1.6%
75Δ20.5644.0%1.0%22.7262.0%1.2%
80Δ20.1651.9%0.9%22.9257.2%0.8%

20Δ

Calls
Pseudo strike
22.87
IV
54.9%
B/E move
7.9%
Puts
Pseudo strike
19.94
IV
62.7%
B/E move
7.7%

25Δ

Calls
Pseudo strike
22.58
IV
55.0%
B/E move
6.8%
Puts
Pseudo strike
20.29
IV
58.6%
B/E move
6.3%

30Δ

Calls
Pseudo strike
22.26
IV
50.9%
B/E move
5.5%
Puts
Pseudo strike
20.58
IV
55.7%
B/E move
5.2%

35Δ

Calls
Pseudo strike
21.96
IV
46.9%
B/E move
4.3%
Puts
Pseudo strike
20.81
IV
55.5%
B/E move
4.5%

40Δ

Calls
Pseudo strike
21.79
IV
48.7%
B/E move
3.9%
Puts
Pseudo strike
21.03
IV
55.4%
B/E move
3.9%

45Δ

Calls
Pseudo strike
21.61
IV
50.4%
B/E move
3.5%
Puts
Pseudo strike
21.24
IV
56.5%
B/E move
3.4%

50Δ

Calls
Pseudo strike
21.43
IV
51.7%
B/E move
3.1%
Puts
Pseudo strike
21.45
IV
57.7%
B/E move
3.0%

55Δ

Calls
Pseudo strike
21.23
IV
52.3%
B/E move
2.7%
Puts
Pseudo strike
21.66
IV
57.3%
B/E move
2.5%

60Δ

Calls
Pseudo strike
21.04
IV
52.8%
B/E move
2.3%
Puts
Pseudo strike
21.87
IV
56.3%
B/E move
2.1%

65Δ

Calls
Pseudo strike
20.87
IV
50.4%
B/E move
1.9%
Puts
Pseudo strike
22.16
IV
59.5%
B/E move
1.8%

70Δ

Calls
Pseudo strike
20.72
IV
47.2%
B/E move
1.4%
Puts
Pseudo strike
22.53
IV
66.8%
B/E move
1.6%

75Δ

Calls
Pseudo strike
20.56
IV
44.0%
B/E move
1.0%
Puts
Pseudo strike
22.72
IV
62.0%
B/E move
1.2%

80Δ

Calls
Pseudo strike
20.16
IV
51.9%
B/E move
0.9%
Puts
Pseudo strike
22.92
IV
57.2%
B/E move
0.8%

Options history

IV · four-Friday blend63.37%
Daily close
BBWI42.7%78.3%113.9%2026-08-10: 65.97%2026-08-11: 66.47%2026-08-12: 66.59%2026-08-13: 69.47%2026-08-14: 66.97%2026-08-17: 73.90%2026-08-18: 76.30%2026-08-19: 75.79%2026-08-20: 85.69%2026-08-21: 84.10%2026-08-24: 91.74%2026-08-25: 109.02%2026-08-26: 57.66%2026-08-27: 51.82%2026-08-28: 50.41%2026-08-31: 52.68%2026-09-01: 51.92%2026-09-02: 51.94%2026-09-03: 49.05%2026-09-04: 47.62%2026-09-08: 54.12%2026-09-09: 56.76%2026-09-10: 54.07%2026-09-11: 52.41%2026-09-14: 52.93%2026-09-15: 60.70%2026-09-16: 60.43%2026-09-17: 60.56%2026-09-18: 54.69%2026-09-21: 55.01%2026-09-22: 55.31%2026-09-23: 52.55%2026-09-24: 59.01%2026-09-25: 53.79%2026-09-28: 54.95%2026-09-29: 54.17%2026-09-30: 51.36%2026-10-01: 51.45%2026-10-02: 50.54%2026-10-05: 51.52%2026-10-06: 54.03%2026-10-07: 49.95%2026-10-08: 57.54%2026-10-09: 48.77%2026-10-12: 51.76%2026-10-13: 50.41%2026-10-14: 55.02%2026-10-15: 56.15%2026-10-16: 53.56%2026-10-19: 51.51%2026-10-20: 52.64%2026-10-21: 50.91%2026-10-22: 59.10%2026-10-23: 56.42%2026-10-26: 57.82%2026-10-27: 57.18%2026-10-28: 57.64%2026-10-29: 63.36%2026-10-30: 63.37%Aug 10Sep 21Oct 30
59 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
65.97%
66.47%
66.59%
69.47%
66.97%
73.90%
76.30%
75.79%
85.69%
84.10%
91.74%
109.02%
57.66%
51.82%
50.41%
52.68%
51.92%
51.94%
49.05%
47.62%
54.12%
56.76%
54.07%
52.41%
52.93%
60.70%
60.43%
60.56%
54.69%
55.01%
55.31%
52.55%
59.01%
53.79%
54.95%
54.17%
51.36%
51.45%
50.54%
51.52%
54.03%
49.95%
57.54%
48.77%
51.76%
50.41%
55.02%
56.15%
53.56%
51.51%
52.64%
50.91%
59.10%
56.42%
57.82%
57.18%
57.64%
63.36%
63.37%