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PepsiCo, Inc. Common Stock PEP

i

Market dataready · fetched 2026-11-07T05:29:17.009Z

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 · 2026-11-07T00:49:27.523025334Z

FundamentalsSEC EDGAR · ready · as of 2026-09-05 · fetched 2026-11-07T05:29:16.442618+00:00

Share price$141.70
1D+1.1%
AH$138$139$140$141$1425:30 AM6:30 AM9:00 AM1:00 PM2:00 PMPEP
Sold putSold callAH

PepsiCo, Inc. Common Stock options

Live interpolated PEP call and put midpoint premiums by absolute delta.PepsiCo, Inc. Common Stock$0.26$2.63$5.00$7.37$9.73$133.85$137.96$142.07$146.17$150.2820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ75Δ P unavailable: no unambiguous, price-consistent delta bracketP —OPTION PRICELive PEP spot · $141.70PEP PRICE$0.52$0.69$0.90$1.11$1.34$1.59$1.85$2.15$2.48$2.83$3.34$3.71$3.92$0.62$0.86$1.12$1.45$1.73$1.98$2.34$2.80$3.40$3.99$4.44$9.05
Puts——
CallsCheap0.71×
Skew——
Implied moveBearish±$4.20
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ145.9126.0%3.3%137.5129.1%3.4%
25Δ145.1026.0%2.9%138.1531.0%3.1%
30Δ144.4126.3%2.5%138.9131.7%2.8%
35Δ143.7426.4%2.2%139.6332.9%2.5%
40Δ143.0926.3%1.9%140.4032.6%2.1%
45Δ142.4826.2%1.7%141.1931.3%1.8%
50Δ141.8726.1%1.4%141.9131.5%1.5%
55Δ141.2825.9%1.2%142.6532.1%1.3%
60Δ140.6825.8%1.0%143.5033.6%1.1%
65Δ140.0825.6%0.9%144.3434.2%1.0%
70Δ139.3826.2%0.7%145.1233.1%0.7%
75Δ138.8025.4%0.6%
80Δ138.3823.1%0.4%149.8749.5%0.6%

20Δ

Calls
Pseudo strike
145.91
IV
26.0%
B/E move
3.3%
Puts
Pseudo strike
137.51
IV
29.1%
B/E move
3.4%

25Δ

Calls
Pseudo strike
145.10
IV
26.0%
B/E move
2.9%
Puts
Pseudo strike
138.15
IV
31.0%
B/E move
3.1%

30Δ

Calls
Pseudo strike
144.41
IV
26.3%
B/E move
2.5%
Puts
Pseudo strike
138.91
IV
31.7%
B/E move
2.8%

35Δ

Calls
Pseudo strike
143.74
IV
26.4%
B/E move
2.2%
Puts
Pseudo strike
139.63
IV
32.9%
B/E move
2.5%

40Δ

Calls
Pseudo strike
143.09
IV
26.3%
B/E move
1.9%
Puts
Pseudo strike
140.40
IV
32.6%
B/E move
2.1%

45Δ

Calls
Pseudo strike
142.48
IV
26.2%
B/E move
1.7%
Puts
Pseudo strike
141.19
IV
31.3%
B/E move
1.8%

50Δ

Calls
Pseudo strike
141.87
IV
26.1%
B/E move
1.4%
Puts
Pseudo strike
141.91
IV
31.5%
B/E move
1.5%

55Δ

Calls
Pseudo strike
141.28
IV
25.9%
B/E move
1.2%
Puts
Pseudo strike
142.65
IV
32.1%
B/E move
1.3%

60Δ

Calls
Pseudo strike
140.68
IV
25.8%
B/E move
1.0%
Puts
Pseudo strike
143.50
IV
33.6%
B/E move
1.1%

65Δ

Calls
Pseudo strike
140.08
IV
25.6%
B/E move
0.9%
Puts
Pseudo strike
144.34
IV
34.2%
B/E move
1.0%

70Δ

Calls
Pseudo strike
139.38
IV
26.2%
B/E move
0.7%
Puts
Pseudo strike
145.12
IV
33.1%
B/E move
0.7%

75Δ

Calls
Pseudo strike
138.80
IV
25.4%
B/E move
0.6%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
138.38
IV
23.1%
B/E move
0.4%
Puts
Pseudo strike
149.87
IV
49.5%
B/E move
0.6%

Options history

IV · four-Friday blend24.07%
Daily close
PEP16.4%26.4%36.5%2026-08-10: 22.64%2026-08-11: 21.47%2026-08-12: 22.43%2026-08-13: 22.38%2026-08-14: 20.67%2026-08-17: 22.46%2026-08-18: 24.28%2026-08-19: 23.53%2026-08-20: 23.73%2026-08-21: 22.24%2026-08-24: 22.53%2026-08-25: 24.04%2026-08-26: 22.63%2026-08-27: 21.96%2026-08-28: 21.04%2026-08-31: 22.05%2026-09-01: 22.84%2026-09-02: 24.50%2026-09-03: 23.69%2026-09-04: 17.76%2026-09-08: 21.61%2026-09-09: 20.44%2026-09-10: 21.61%2026-09-11: 20.64%2026-09-14: 22.22%2026-09-15: 22.94%2026-09-16: 21.33%2026-09-17: 22.33%2026-09-18: 21.86%2026-09-21: 23.30%2026-09-22: 24.11%2026-09-23: 23.98%2026-09-24: 24.72%2026-09-25: 25.05%2026-09-28: 27.48%2026-09-29: 27.66%2026-09-30: 25.69%2026-10-01: 27.29%2026-10-02: 29.50%2026-10-05: 35.09%2026-10-06: 32.61%2026-10-07: 35.09%2026-10-08: 25.43%2026-10-09: 20.31%2026-10-12: 20.74%2026-10-13: 21.43%2026-10-14: 21.69%2026-10-15: 23.39%2026-10-16: 22.57%2026-10-19: 23.47%2026-10-20: 22.51%2026-10-21: 23.43%2026-10-22: 25.25%2026-10-23: 22.37%2026-10-26: 22.85%2026-10-27: 22.54%2026-10-28: 23.75%2026-10-29: 23.28%2026-10-30: 24.07%Aug 10Sep 21Oct 30
59 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
22.64%
21.47%
22.43%
22.38%
20.67%
22.46%
24.28%
23.53%
23.73%
22.24%
22.53%
24.04%
22.63%
21.96%
21.04%
22.05%
22.84%
24.50%
23.69%
17.76%
21.61%
20.44%
21.61%
20.64%
22.22%
22.94%
21.33%
22.33%
21.86%
23.30%
24.11%
23.98%
24.72%
25.05%
27.48%
27.66%
25.69%
27.29%
29.50%
35.09%
32.61%
35.09%
25.43%
20.31%
20.74%
21.43%
21.69%
23.39%
22.57%
23.47%
22.51%
23.43%
25.25%
22.37%
22.85%
22.54%
23.75%
23.28%
24.07%