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Macy's Inc. M

CONSUMER CYCLICAL · DEPARTMENT STORES
i

Market dataready · fetched 2026-11-07T06:50:10.845Z

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 · 2026-11-07T00:59:44.782505039Z

FundamentalsAlpha Vantage · ready · quarter 2026-07-31 · fetched 2026-11-07T06:50:10.168712+00:00

Share price$23.10
1D-4.1%
AH$22.94$23.27$23.61$23.95$24.285:30 AM6:30 AM9:00 AM1:00 PM2:00 PMM
Sold putSold callAH

Macy's Inc. options

Live interpolated M call and put midpoint premiums by absolute delta.Macy's Inc.$0.13$0.53$0.94$1.34$1.74$20.88$22.27$23.66$25.04$26.4320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive M spot · $23.10M PRICE$0.17$0.23$0.28$0.37$0.45$0.53$0.61$0.70$0.84$0.99$1.19$1.41$1.62$0.18$0.24$0.30$0.37$0.45$0.53$0.64$0.75$0.86$0.98$1.10$1.29$1.51
PutsCheap0.94×
CallsFair1.00×
SkewBullish-4.55 pp
Implied moveBalanced±$1.25
TiltBalanced1.1% CALL
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ24.5854.3%7.1%21.8753.1%6.1%
25Δ24.2753.1%6.1%22.1352.1%5.2%
30Δ23.9952.0%5.1%22.3751.3%4.5%
35Δ23.7953.4%4.6%22.5950.8%3.8%
40Δ23.5954.8%4.1%22.7850.7%3.3%
45Δ23.3854.8%3.5%22.9750.6%2.8%
50Δ23.1853.7%3.0%23.1750.9%2.5%
55Δ22.9752.9%2.5%23.3651.2%2.1%
60Δ22.7554.5%2.1%23.5551.2%1.8%
65Δ22.5456.2%1.8%23.7550.3%1.4%
70Δ22.2758.8%1.6%23.9449.3%1.1%
75Δ21.9961.4%1.3%24.1949.6%0.9%
80Δ21.7060.7%1.0%24.4650.5%0.6%

20Δ

Calls
Pseudo strike
24.58
IV
54.3%
B/E move
7.1%
Puts
Pseudo strike
21.87
IV
53.1%
B/E move
6.1%

25Δ

Calls
Pseudo strike
24.27
IV
53.1%
B/E move
6.1%
Puts
Pseudo strike
22.13
IV
52.1%
B/E move
5.2%

30Δ

Calls
Pseudo strike
23.99
IV
52.0%
B/E move
5.1%
Puts
Pseudo strike
22.37
IV
51.3%
B/E move
4.5%

35Δ

Calls
Pseudo strike
23.79
IV
53.4%
B/E move
4.6%
Puts
Pseudo strike
22.59
IV
50.8%
B/E move
3.8%

40Δ

Calls
Pseudo strike
23.59
IV
54.8%
B/E move
4.1%
Puts
Pseudo strike
22.78
IV
50.7%
B/E move
3.3%

45Δ

Calls
Pseudo strike
23.38
IV
54.8%
B/E move
3.5%
Puts
Pseudo strike
22.97
IV
50.6%
B/E move
2.8%

50Δ

Calls
Pseudo strike
23.18
IV
53.7%
B/E move
3.0%
Puts
Pseudo strike
23.17
IV
50.9%
B/E move
2.5%

55Δ

Calls
Pseudo strike
22.97
IV
52.9%
B/E move
2.5%
Puts
Pseudo strike
23.36
IV
51.2%
B/E move
2.1%

60Δ

Calls
Pseudo strike
22.75
IV
54.5%
B/E move
2.1%
Puts
Pseudo strike
23.55
IV
51.2%
B/E move
1.8%

65Δ

Calls
Pseudo strike
22.54
IV
56.2%
B/E move
1.8%
Puts
Pseudo strike
23.75
IV
50.3%
B/E move
1.4%

70Δ

Calls
Pseudo strike
22.27
IV
58.8%
B/E move
1.6%
Puts
Pseudo strike
23.94
IV
49.3%
B/E move
1.1%

75Δ

Calls
Pseudo strike
21.99
IV
61.4%
B/E move
1.3%
Puts
Pseudo strike
24.19
IV
49.6%
B/E move
0.9%

80Δ

Calls
Pseudo strike
21.70
IV
60.7%
B/E move
1.0%
Puts
Pseudo strike
24.46
IV
50.5%
B/E move
0.6%

Options history

IV · four-Friday blend46.29%
Daily close
M32.9%61.3%89.7%2026-08-10: 55.87%2026-08-11: 55.16%2026-08-12: 52.00%2026-08-13: 55.91%2026-08-14: 53.77%2026-08-17: 57.76%2026-08-18: 53.45%2026-08-19: 54.90%2026-08-20: 53.14%2026-08-21: 46.78%2026-08-24: 50.26%2026-08-25: 48.30%2026-08-26: 54.50%2026-08-27: 58.55%2026-08-28: 51.02%2026-08-31: 49.66%2026-09-01: 54.22%2026-09-02: 56.77%2026-09-03: 55.74%2026-09-04: 65.32%2026-09-08: 71.29%2026-09-09: 85.79%2026-09-10: 43.14%2026-09-11: 39.75%2026-09-14: 41.78%2026-09-15: 43.92%2026-09-16: 40.80%2026-09-17: 47.10%2026-09-18: 37.14%2026-09-21: 40.12%2026-09-22: 39.87%2026-09-23: 38.65%2026-09-24: 37.67%2026-09-25: 36.82%2026-09-28: 43.30%2026-09-29: 41.98%2026-09-30: 43.68%2026-10-01: 43.07%2026-10-02: 38.35%2026-10-05: 42.04%2026-10-06: 39.74%2026-10-07: 42.77%2026-10-08: 44.75%2026-10-09: 48.86%2026-10-12: 43.83%2026-10-13: 41.87%2026-10-14: 44.96%2026-10-15: 44.19%2026-10-16: 40.73%2026-10-19: 43.81%2026-10-20: 44.09%2026-10-21: 44.86%2026-10-22: 50.64%2026-10-23: 55.14%2026-10-26: 46.13%2026-10-27: 47.04%2026-10-28: 58.72%2026-10-29: 46.29%2026-10-30: 46.29%Aug 10Sep 21Oct 30
59 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
55.87%
55.16%
52.00%
55.91%
53.77%
57.76%
53.45%
54.90%
53.14%
46.78%
50.26%
48.30%
54.50%
58.55%
51.02%
49.66%
54.22%
56.77%
55.74%
65.32%
71.29%
85.79%
43.14%
39.75%
41.78%
43.92%
40.80%
47.10%
37.14%
40.12%
39.87%
38.65%
37.67%
36.82%
43.30%
41.98%
43.68%
43.07%
38.35%
42.04%
39.74%
42.77%
44.75%
48.86%
43.83%
41.87%
44.96%
44.19%
40.73%
43.81%
44.09%
44.86%
50.64%
55.14%
46.13%
47.04%
58.72%
46.29%
46.29%