IntraAlpha
Create free account Start free

Pegasystems Inc. Common Stock PEGA

TECHNOLOGY · SOFTWARE - APPLICATION
i

Market dataready · fetched 2026-11-07T11:13:09.090Z

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 · 2026-11-06T23:12:01.919223364Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-07T11:13:07.392390+00:00

Share price$32.51
1D-2.0%
AH$31.41$31.85$32.30$32.75$33.195:30 AM6:30 AM9:00 AM1:00 PM2:00 PMPEGA
Sold putSold callAH

Pegasystems Inc. Common Stock options

Live interpolated PEGA call and put midpoint premiums by absolute delta.Pegasystems Inc. Common Stock$0.22$1.98$3.74$5.50$7.26$27.27$29.96$32.65$35.35$38.0420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive PEGA spot · $32.51PEGA PRICE$0.41$0.52$0.68$0.89$1.11$1.32$1.53$1.74$1.95$2.17$2.38$2.59$2.80$0.47$0.66$0.94$1.21$1.49$1.76$2.04$2.32$2.59$2.87$3.14$4.92$6.75
PutsExpensive1.20×
CallsExpensive1.14×
SkewBearish+11.88 pp
Implied moveBearish±$3.57
TiltBearish21.6% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ36.8162.5%14.5%29.2168.0%11.6%
25Δ35.6059.9%11.1%30.2662.3%9.0%
30Δ34.7758.3%9.0%30.7962.6%8.2%
35Δ34.3057.5%8.3%31.3162.9%7.4%
40Δ33.8456.8%7.5%31.8463.2%6.7%
45Δ33.3856.0%6.7%32.3663.5%5.9%
50Δ32.9255.3%6.0%32.8963.8%5.1%
55Δ32.4654.5%5.2%33.4164.1%4.4%
60Δ32.0053.8%4.4%33.9464.4%3.6%
65Δ31.5453.1%3.7%34.4664.7%2.8%
70Δ31.0852.3%2.9%34.9865.0%2.1%
75Δ30.6251.6%2.1%36.8579.0%1.8%
80Δ30.1650.8%1.4%38.7593.4%1.6%

20Δ

Calls
Pseudo strike
36.81
IV
62.5%
B/E move
14.5%
Puts
Pseudo strike
29.21
IV
68.0%
B/E move
11.6%

25Δ

Calls
Pseudo strike
35.60
IV
59.9%
B/E move
11.1%
Puts
Pseudo strike
30.26
IV
62.3%
B/E move
9.0%

30Δ

Calls
Pseudo strike
34.77
IV
58.3%
B/E move
9.0%
Puts
Pseudo strike
30.79
IV
62.6%
B/E move
8.2%

35Δ

Calls
Pseudo strike
34.30
IV
57.5%
B/E move
8.3%
Puts
Pseudo strike
31.31
IV
62.9%
B/E move
7.4%

40Δ

Calls
Pseudo strike
33.84
IV
56.8%
B/E move
7.5%
Puts
Pseudo strike
31.84
IV
63.2%
B/E move
6.7%

45Δ

Calls
Pseudo strike
33.38
IV
56.0%
B/E move
6.7%
Puts
Pseudo strike
32.36
IV
63.5%
B/E move
5.9%

50Δ

Calls
Pseudo strike
32.92
IV
55.3%
B/E move
6.0%
Puts
Pseudo strike
32.89
IV
63.8%
B/E move
5.1%

55Δ

Calls
Pseudo strike
32.46
IV
54.5%
B/E move
5.2%
Puts
Pseudo strike
33.41
IV
64.1%
B/E move
4.4%

60Δ

Calls
Pseudo strike
32.00
IV
53.8%
B/E move
4.4%
Puts
Pseudo strike
33.94
IV
64.4%
B/E move
3.6%

65Δ

Calls
Pseudo strike
31.54
IV
53.1%
B/E move
3.7%
Puts
Pseudo strike
34.46
IV
64.7%
B/E move
2.8%

70Δ

Calls
Pseudo strike
31.08
IV
52.3%
B/E move
2.9%
Puts
Pseudo strike
34.98
IV
65.0%
B/E move
2.1%

75Δ

Calls
Pseudo strike
30.62
IV
51.6%
B/E move
2.1%
Puts
Pseudo strike
36.85
IV
79.0%
B/E move
1.8%

80Δ

Calls
Pseudo strike
30.16
IV
50.8%
B/E move
1.4%
Puts
Pseudo strike
38.75
IV
93.4%
B/E move
1.6%

Options history

IV · four-Friday blend51.93%
Daily close
PEGA49.6%61.4%73.2%2026-08-21: 54.24%2026-08-24: 54.02%2026-08-25: 52.89%2026-08-26: 52.39%2026-08-27: 53.35%2026-08-28: 52.47%2026-08-31: 53.02%2026-09-09: 55.51%2026-09-18: 57.21%2026-09-21: 56.26%2026-09-22: 57.16%2026-09-23: 58.22%2026-09-24: 57.89%2026-09-25: 57.12%2026-09-28: 59.45%2026-10-01: 59.03%2026-10-02: 58.38%2026-10-05: 58.99%2026-10-06: 58.78%2026-10-07: 59.39%2026-10-16: 64.82%2026-10-19: 64.34%2026-10-20: 71.60%2026-10-21: 51.34%2026-10-22: 51.19%2026-10-23: 52.49%2026-10-26: 51.84%2026-10-27: 51.96%2026-10-28: 52.25%2026-10-29: 52.09%2026-10-30: 51.93%Aug 21Oct 1Oct 30
31 observations2026-08-21 — 2026-10-30
Table
DateIV (%)
54.24%
54.02%
52.89%
52.39%
53.35%
52.47%
53.02%
55.51%
57.21%
56.26%
57.16%
58.22%
57.89%
57.12%
59.45%
59.03%
58.38%
58.99%
58.78%
59.39%
64.82%
64.34%
71.60%
51.34%
51.19%
52.49%
51.84%
51.96%
52.25%
52.09%
51.93%