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B&G Foods, Inc. BGS

i

Market dataready · fetched 2026-11-11T13:53:37.188Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-12-18

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 · 2026-11-11T13:53:14.501134653Z

FundamentalsSEC EDGAR · ready · as of 2026-10-03 · fetched 2026-11-11T13:53:36.291174+00:00

Share price$2.95
1D+1.1%
$2.91$2.92$2.94$2.95$2.975:30 AM6:30 AM9:00 AM1:00 PMBGS
Sold putSold call

B&G Foods, Inc. options

Live interpolated BGS call and put midpoint premiums by absolute delta.B&G Foods, Inc.$0.00$0.56$1.11$1.67$2.22$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ45Δ 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/P unavailable: no unambiguous, price-consistent delta bracketC/P —75Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICEBGS PRICE$0.04$0.05$0.05$0.06$0.07$0.17$0.22$0.27$0.32$0.37$0.43$0.73$1.02$1.32$2.06
Puts——
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ3.7053.7%26.9%2.26117.4%29.0%
25Δ3.5547.9%22.3%2.41115.4%25.7%
30Δ3.4142.0%17.7%2.56113.4%22.4%
35Δ3.2736.2%13.1%2.71111.4%19.1%
40Δ3.1330.4%8.5%2.85109.4%15.8%
45Δ3.01108.0%12.6%
50Δ3.32128.2%12.0%
55Δ3.63148.3%11.5%
60Δ3.94168.5%11.0%
65Δ4.71200.8%10.3%
70Δ
75Δ
80Δ

20Δ

Calls
Pseudo strike
3.70
IV
53.7%
B/E move
26.9%
Puts
Pseudo strike
2.26
IV
117.4%
B/E move
29.0%

25Δ

Calls
Pseudo strike
3.55
IV
47.9%
B/E move
22.3%
Puts
Pseudo strike
2.41
IV
115.4%
B/E move
25.7%

30Δ

Calls
Pseudo strike
3.41
IV
42.0%
B/E move
17.7%
Puts
Pseudo strike
2.56
IV
113.4%
B/E move
22.4%

35Δ

Calls
Pseudo strike
3.27
IV
36.2%
B/E move
13.1%
Puts
Pseudo strike
2.71
IV
111.4%
B/E move
19.1%

40Δ

Calls
Pseudo strike
3.13
IV
30.4%
B/E move
8.5%
Puts
Pseudo strike
2.85
IV
109.4%
B/E move
15.8%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.01
IV
108.0%
B/E move
12.6%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.32
IV
128.2%
B/E move
12.0%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.63
IV
148.3%
B/E move
11.5%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
3.94
IV
168.5%
B/E move
11.0%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.71
IV
200.8%
B/E move
10.3%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend60.23%
Daily close
BGS60.1%60.9%61.8%2026-09-22: 61.65%2026-09-24: 60.23%Sep 22Sep 24
2 observations2026-09-22 — 2026-09-24
Table
DateIV (%)
61.65%
60.23%