IntraAlpha
Create free account Start free

MSC Industrial Direct Co., Inc. Class A MSM

i

Market dataready · fetched 2026-11-12T00:54:47.013Z

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 · 2026-11-12T00:00:00.001825676Z

FundamentalsSEC EDGAR · ready · as of 2026-08-29 · fetched 2026-11-12T00:54:46.589565+00:00

Share price$120.87
1D+0.6%
AH$119.47$120.02$120.57$121.12$121.675:30 AM6:30 AM9:00 AM1:00 PM2:00 PMMSM
Sold putSold callAH

MSC Industrial Direct Co., Inc. Class A options

Live interpolated MSM call and put midpoint premiums by absolute delta.MSC Industrial Direct Co., Inc. Class A$0.53$2.47$4.41$6.35$8.28$108.29$114.15$120.01$125.87$131.7320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive MSM spot · $120.87MSM PRICE$0.75$0.98$1.25$1.60$1.96$2.32$2.68$3.03$3.56$4.19$4.82$5.46$6.09$0.74$0.97$1.20$1.43$1.66$2.11$2.72$3.34$3.95$4.56$5.17$6.40$7.73
PutsCheap0.79×
CallsCheap0.76×
SkewBullish-1.35 pp
Implied moveBalanced±$5.40
TiltBearish4.1% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ127.0133.3%5.7%115.7033.3%4.9%
25Δ125.8034.1%4.9%116.6732.4%4.3%
30Δ124.7134.6%4.2%117.6531.5%3.7%
35Δ123.8334.7%3.8%118.6330.6%3.0%
40Δ122.9634.8%3.4%119.6029.7%2.4%
45Δ122.0934.9%2.9%120.5230.0%2.0%
50Δ121.2235.0%2.5%121.3931.3%1.8%
55Δ120.3435.2%2.1%122.2732.5%1.6%
60Δ119.4335.0%1.8%123.1433.7%1.4%
65Δ118.5034.8%1.5%124.0135.0%1.2%
70Δ117.5634.6%1.3%124.8936.2%1.0%
75Δ116.6234.3%1.0%126.3637.4%0.8%
80Δ115.6834.1%0.7%127.9138.5%0.6%

20Δ

Calls
Pseudo strike
127.01
IV
33.3%
B/E move
5.7%
Puts
Pseudo strike
115.70
IV
33.3%
B/E move
4.9%

25Δ

Calls
Pseudo strike
125.80
IV
34.1%
B/E move
4.9%
Puts
Pseudo strike
116.67
IV
32.4%
B/E move
4.3%

30Δ

Calls
Pseudo strike
124.71
IV
34.6%
B/E move
4.2%
Puts
Pseudo strike
117.65
IV
31.5%
B/E move
3.7%

35Δ

Calls
Pseudo strike
123.83
IV
34.7%
B/E move
3.8%
Puts
Pseudo strike
118.63
IV
30.6%
B/E move
3.0%

40Δ

Calls
Pseudo strike
122.96
IV
34.8%
B/E move
3.4%
Puts
Pseudo strike
119.60
IV
29.7%
B/E move
2.4%

45Δ

Calls
Pseudo strike
122.09
IV
34.9%
B/E move
2.9%
Puts
Pseudo strike
120.52
IV
30.0%
B/E move
2.0%

50Δ

Calls
Pseudo strike
121.22
IV
35.0%
B/E move
2.5%
Puts
Pseudo strike
121.39
IV
31.3%
B/E move
1.8%

55Δ

Calls
Pseudo strike
120.34
IV
35.2%
B/E move
2.1%
Puts
Pseudo strike
122.27
IV
32.5%
B/E move
1.6%

60Δ

Calls
Pseudo strike
119.43
IV
35.0%
B/E move
1.8%
Puts
Pseudo strike
123.14
IV
33.7%
B/E move
1.4%

65Δ

Calls
Pseudo strike
118.50
IV
34.8%
B/E move
1.5%
Puts
Pseudo strike
124.01
IV
35.0%
B/E move
1.2%

70Δ

Calls
Pseudo strike
117.56
IV
34.6%
B/E move
1.3%
Puts
Pseudo strike
124.89
IV
36.2%
B/E move
1.0%

75Δ

Calls
Pseudo strike
116.62
IV
34.3%
B/E move
1.0%
Puts
Pseudo strike
126.36
IV
37.4%
B/E move
0.8%

80Δ

Calls
Pseudo strike
115.68
IV
34.1%
B/E move
0.7%
Puts
Pseudo strike
127.91
IV
38.5%
B/E move
0.6%

Options history

IV · four-Friday blend31.47%
Daily EOD
MSM29.6%30.6%31.7%2026-10-19: 30.68%2026-10-20: 29.82%2026-10-21: 31.53%2026-10-22: 30.64%2026-10-23: 30.06%2026-10-26: 30.30%2026-10-27: 30.32%2026-10-28: 30.04%2026-10-29: 29.71%2026-10-30: 31.47%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
30.68%
29.82%
31.53%
30.64%
30.06%
30.30%
30.32%
30.04%
29.71%
31.47%