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Krispy Kreme, Inc. Common Stock DNUT

i

Market dataready · fetched 2026-11-10T22:17:23.573Z

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 · 2026-11-10T21:25:13.536310411Z

FundamentalsSEC EDGAR · ready · as of 2026-09-27 · fetched 2026-11-10T22:17:23.154811+00:00

Share price$3.83
1D-4.2%
AH$3.82$3.87$3.93$3.98$4.045:30 AM6:30 AM9:00 AM1:00 PM2:00 PMDNUT
Sold putSold callAH

Krispy Kreme, Inc. Common Stock options

Live interpolated DNUT call and put midpoint premiums by absolute delta.Krispy Kreme, Inc. Common Stock$0.02$0.15$0.29$0.42$0.55$3.42$3.63$3.84$4.05$4.2620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive DNUT spot · $3.83DNUT PRICE$0.04$0.04$0.05$0.08$0.10$0.13$0.16$0.18$0.21$0.23$0.26$0.28$0.31$0.05$0.06$0.08$0.10$0.12$0.14$0.15$0.17$0.19$0.21$0.24$0.38$0.51
PutsExpensive1.13×
CallsExpensive1.28×
SkewBearish+8.03 pp
Implied moveBalanced±$0.31
TiltBearish7.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ4.26111.9%12.1%3.5596.3%8.4%
25Δ4.1295.8%8.7%3.6095.4%7.7%
30Δ3.9982.1%5.7%3.6494.4%7.0%
35Δ3.9582.6%5.2%3.6993.5%6.3%
40Δ3.9183.1%4.8%3.7392.5%5.6%
45Δ3.8783.6%4.3%3.7891.5%4.9%
50Δ3.8284.0%3.9%3.8290.6%4.2%
55Δ3.7884.5%3.4%3.8789.6%3.5%
60Δ3.7485.0%3.0%3.9288.7%2.8%
65Δ3.7085.5%2.6%3.9687.7%2.1%
70Δ3.6586.0%2.1%4.0289.1%1.4%
75Δ3.6186.4%1.7%4.16107.2%1.2%
80Δ3.5786.9%1.2%4.30125.3%1.1%

20Δ

Calls
Pseudo strike
4.26
IV
111.9%
B/E move
12.1%
Puts
Pseudo strike
3.55
IV
96.3%
B/E move
8.4%

25Δ

Calls
Pseudo strike
4.12
IV
95.8%
B/E move
8.7%
Puts
Pseudo strike
3.60
IV
95.4%
B/E move
7.7%

30Δ

Calls
Pseudo strike
3.99
IV
82.1%
B/E move
5.7%
Puts
Pseudo strike
3.64
IV
94.4%
B/E move
7.0%

35Δ

Calls
Pseudo strike
3.95
IV
82.6%
B/E move
5.2%
Puts
Pseudo strike
3.69
IV
93.5%
B/E move
6.3%

40Δ

Calls
Pseudo strike
3.91
IV
83.1%
B/E move
4.8%
Puts
Pseudo strike
3.73
IV
92.5%
B/E move
5.6%

45Δ

Calls
Pseudo strike
3.87
IV
83.6%
B/E move
4.3%
Puts
Pseudo strike
3.78
IV
91.5%
B/E move
4.9%

50Δ

Calls
Pseudo strike
3.82
IV
84.0%
B/E move
3.9%
Puts
Pseudo strike
3.82
IV
90.6%
B/E move
4.2%

55Δ

Calls
Pseudo strike
3.78
IV
84.5%
B/E move
3.4%
Puts
Pseudo strike
3.87
IV
89.6%
B/E move
3.5%

60Δ

Calls
Pseudo strike
3.74
IV
85.0%
B/E move
3.0%
Puts
Pseudo strike
3.92
IV
88.7%
B/E move
2.8%

65Δ

Calls
Pseudo strike
3.70
IV
85.5%
B/E move
2.6%
Puts
Pseudo strike
3.96
IV
87.7%
B/E move
2.1%

70Δ

Calls
Pseudo strike
3.65
IV
86.0%
B/E move
2.1%
Puts
Pseudo strike
4.02
IV
89.1%
B/E move
1.4%

75Δ

Calls
Pseudo strike
3.61
IV
86.4%
B/E move
1.7%
Puts
Pseudo strike
4.16
IV
107.2%
B/E move
1.2%

80Δ

Calls
Pseudo strike
3.57
IV
86.9%
B/E move
1.2%
Puts
Pseudo strike
4.30
IV
125.3%
B/E move
1.1%

Options history

IV · four-Friday blend102.93%
Daily close
DNUT44.9%230.8%416.7%2026-08-20: 391.03%2026-08-25: 83.24%2026-08-26: 78.84%2026-09-23: 79.73%2026-10-06: 86.06%2026-10-08: 71.41%2026-10-09: 70.50%2026-10-12: 89.90%2026-10-14: 105.77%2026-10-20: 93.61%2026-10-28: 102.93%Aug 20Oct 8Oct 28
11 observations2026-08-20 — 2026-10-28
Table
DateIV (%)
391.03%
83.24%
78.84%
79.73%
86.06%
71.41%
70.50%
89.90%
105.77%
93.61%
102.93%