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J & J Snack Foods Corp. Common Stock JJSF

CONSUMER DEFENSIVE · PACKAGED FOODS
i

Market dataready · fetched 2026-11-11T13:49:16.522Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-20

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 · 2026-11-10T21:26:39.288272778Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-11T13:49:16.185877+00:00

Share price$89.42
1D+0.4%
AH$88.10$88.63$89.16$89.68$90.215:30 AM6:30 AM9:00 AM1:00 PM2:00 PMJJSF
Sold putSold callAH

J & J Snack Foods Corp. Common Stock options

Live interpolated JJSF call and put midpoint premiums by absolute delta.J & J Snack Foods Corp. Common Stock$0.92$3.08$5.24$7.41$9.57$77.82$83.51$89.21$94.90$100.5920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive JJSF spot · $89.42JJSF PRICE$1.15$1.40$1.66$2.05$2.44$2.84$3.24$3.82$4.39$4.97$5.55$6.44$7.83$1.42$1.68$1.95$2.41$2.86$3.32$3.78$4.48$5.20$5.91$6.63$7.68$8.95
PutsExpensive1.54×
CallsExpensive1.51×
SkewBearish+3.00 pp
Implied moveBearish±$7.02
TiltBearish8.1% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ99.9776.6%13.1%80.5784.1%11.5%
25Δ97.4670.4%10.6%82.8576.3%9.2%
30Δ94.9864.3%8.1%85.0768.7%7.0%
35Δ93.7163.5%7.1%86.2867.4%6.2%
40Δ92.4462.8%6.1%87.5066.0%5.3%
45Δ91.1862.0%5.1%88.7264.6%4.5%
50Δ89.9261.2%4.2%89.9463.2%3.6%
55Δ88.8660.5%3.6%91.1062.6%3.1%
60Δ87.7959.7%3.1%92.2562.0%2.6%
65Δ86.7259.0%2.5%93.4161.3%2.2%
70Δ85.6658.2%2.0%94.5660.7%1.7%
75Δ84.3558.5%1.5%95.9760.0%1.3%
80Δ82.6760.5%1.2%97.5259.2%0.9%

20Δ

Calls
Pseudo strike
99.97
IV
76.6%
B/E move
13.1%
Puts
Pseudo strike
80.57
IV
84.1%
B/E move
11.5%

25Δ

Calls
Pseudo strike
97.46
IV
70.4%
B/E move
10.6%
Puts
Pseudo strike
82.85
IV
76.3%
B/E move
9.2%

30Δ

Calls
Pseudo strike
94.98
IV
64.3%
B/E move
8.1%
Puts
Pseudo strike
85.07
IV
68.7%
B/E move
7.0%

35Δ

Calls
Pseudo strike
93.71
IV
63.5%
B/E move
7.1%
Puts
Pseudo strike
86.28
IV
67.4%
B/E move
6.2%

40Δ

Calls
Pseudo strike
92.44
IV
62.8%
B/E move
6.1%
Puts
Pseudo strike
87.50
IV
66.0%
B/E move
5.3%

45Δ

Calls
Pseudo strike
91.18
IV
62.0%
B/E move
5.1%
Puts
Pseudo strike
88.72
IV
64.6%
B/E move
4.5%

50Δ

Calls
Pseudo strike
89.92
IV
61.2%
B/E move
4.2%
Puts
Pseudo strike
89.94
IV
63.2%
B/E move
3.6%

55Δ

Calls
Pseudo strike
88.86
IV
60.5%
B/E move
3.6%
Puts
Pseudo strike
91.10
IV
62.6%
B/E move
3.1%

60Δ

Calls
Pseudo strike
87.79
IV
59.7%
B/E move
3.1%
Puts
Pseudo strike
92.25
IV
62.0%
B/E move
2.6%

65Δ

Calls
Pseudo strike
86.72
IV
59.0%
B/E move
2.5%
Puts
Pseudo strike
93.41
IV
61.3%
B/E move
2.2%

70Δ

Calls
Pseudo strike
85.66
IV
58.2%
B/E move
2.0%
Puts
Pseudo strike
94.56
IV
60.7%
B/E move
1.7%

75Δ

Calls
Pseudo strike
84.35
IV
58.5%
B/E move
1.5%
Puts
Pseudo strike
95.97
IV
60.0%
B/E move
1.3%

80Δ

Calls
Pseudo strike
82.67
IV
60.5%
B/E move
1.2%
Puts
Pseudo strike
97.52
IV
59.2%
B/E move
0.9%

Options history

IV · four-Friday blend36.93%
Daily EOD
JJSF33.1%35.1%37.2%2026-10-19: 35.10%2026-10-20: 35.29%2026-10-21: 33.72%2026-10-22: 33.36%2026-10-23: 34.14%2026-10-26: 36.91%2026-10-27: 36.48%2026-10-28: 36.02%2026-10-29: 36.40%2026-10-30: 36.93%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
35.10%
35.29%
33.72%
33.36%
34.14%
36.91%
36.48%
36.02%
36.40%
36.93%