IntraAlpha
Create free account Start free

J & J Snack Foods Corp. Common Stock JJSF

i

Market datapartial · fetched 2026-10-22T18:25:06.279Z

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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-22T18:21:15.268240284Z

FundamentalsAlpha Vantage · unavailable

Share price$84.52
1D+2.0%
$82.68$83.18$83.67$84.16$84.655:30 AM6:30 AM9:00 AM1:00 PMJJSF
Sold putSold call

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$0.62$3.91$7.19$10.48$13.77$70.87$77.03$83.18$89.34$95.5020Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive JJSF spot · $84.52JJSF PRICE$0.98$1.30$1.61$2.01$2.41$2.82$3.22$3.80$4.42$5.05$5.67$6.42$7.57$1.59$2.00$2.41$2.95$3.54$4.12$4.76$5.49$6.22$6.95$8.30$10.10$12.82
PutsExpensive1.63×
CallsExpensive1.06×
SkewBearish+11.17 pp
Implied moveBearish±$7.98
TiltBearish20.2% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ93.4537.3%11.7%75.2255.4%12.9%
25Δ91.8237.4%10.2%77.3752.4%10.8%
30Δ90.1837.4%8.6%79.5149.3%8.8%
35Δ88.9137.1%7.6%81.1348.1%7.5%
40Δ87.6936.7%6.6%82.6047.3%6.5%
45Δ86.4736.3%5.6%84.0646.6%5.4%
50Δ85.2435.9%4.7%85.4845.8%4.5%
55Δ84.1235.7%4.0%86.8044.8%3.8%
60Δ83.0335.5%3.5%88.1343.7%3.1%
65Δ81.9435.3%2.9%89.4542.7%2.4%
70Δ80.8435.1%2.4%91.2543.4%1.9%
75Δ79.6634.8%1.9%93.3945.3%1.4%
80Δ78.2034.5%1.5%96.4149.4%1.1%

20Δ

Calls
Pseudo strike
93.45
IV
37.3%
B/E move
11.7%
Puts
Pseudo strike
75.22
IV
55.4%
B/E move
12.9%

25Δ

Calls
Pseudo strike
91.82
IV
37.4%
B/E move
10.2%
Puts
Pseudo strike
77.37
IV
52.4%
B/E move
10.8%

30Δ

Calls
Pseudo strike
90.18
IV
37.4%
B/E move
8.6%
Puts
Pseudo strike
79.51
IV
49.3%
B/E move
8.8%

35Δ

Calls
Pseudo strike
88.91
IV
37.1%
B/E move
7.6%
Puts
Pseudo strike
81.13
IV
48.1%
B/E move
7.5%

40Δ

Calls
Pseudo strike
87.69
IV
36.7%
B/E move
6.6%
Puts
Pseudo strike
82.60
IV
47.3%
B/E move
6.5%

45Δ

Calls
Pseudo strike
86.47
IV
36.3%
B/E move
5.6%
Puts
Pseudo strike
84.06
IV
46.6%
B/E move
5.4%

50Δ

Calls
Pseudo strike
85.24
IV
35.9%
B/E move
4.7%
Puts
Pseudo strike
85.48
IV
45.8%
B/E move
4.5%

55Δ

Calls
Pseudo strike
84.12
IV
35.7%
B/E move
4.0%
Puts
Pseudo strike
86.80
IV
44.8%
B/E move
3.8%

60Δ

Calls
Pseudo strike
83.03
IV
35.5%
B/E move
3.5%
Puts
Pseudo strike
88.13
IV
43.7%
B/E move
3.1%

65Δ

Calls
Pseudo strike
81.94
IV
35.3%
B/E move
2.9%
Puts
Pseudo strike
89.45
IV
42.7%
B/E move
2.4%

70Δ

Calls
Pseudo strike
80.84
IV
35.1%
B/E move
2.4%
Puts
Pseudo strike
91.25
IV
43.4%
B/E move
1.9%

75Δ

Calls
Pseudo strike
79.66
IV
34.8%
B/E move
1.9%
Puts
Pseudo strike
93.39
IV
45.3%
B/E move
1.4%

80Δ

Calls
Pseudo strike
78.20
IV
34.5%
B/E move
1.5%
Puts
Pseudo strike
96.41
IV
49.4%
B/E move
1.1%

Options history

No recorded observations