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PepsiCo, Inc. Common Stock PEP

CONSUMER DEFENSIVE · BEVERAGES - NON-ALCOHOLIC
i

Market dataready · fetched 2026-11-06T20:55:34.094Z

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 · 2026-11-06T20:55:31.071318334Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-06T20:55:33.495339+00:00

Share price$141.26
1D+1.2%
$138$139$140$141$1425:30 AM6:30 AM9:00 AM1:00 PMPEP
Sold putSold call

PepsiCo, Inc. Common Stock options

Live interpolated PEP call and put midpoint premiums by absolute delta.PepsiCo, Inc. Common Stock$0.37$2.05$3.72$5.40$7.07$133.45$137.53$141.62$145.70$149.7920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive PEP spot · $141.26PEP PRICE$0.55$0.74$0.93$1.15$1.45$1.81$2.06$2.32$2.72$3.33$3.77$4.07$5.38$0.57$0.80$1.04$1.33$1.64$1.83$2.11$2.45$2.87$3.75$4.14$4.35$6.59
PutsCheap0.87×
CallsCheap0.75×
SkewBearish+1.03 pp
Implied moveBalanced±$4.17
TiltBearish5.0% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ145.7625.7%3.6%137.3924.9%3.1%
25Δ144.9125.8%3.1%137.9726.7%2.9%
30Δ144.0725.3%2.6%138.6727.3%2.6%
35Δ143.3825.4%2.3%139.3728.0%2.3%
40Δ142.7426.2%2.1%140.0528.7%2.0%
45Δ142.1427.8%1.9%140.7826.9%1.6%
50Δ141.4727.0%1.6%141.4526.3%1.4%
55Δ140.8026.0%1.3%142.1026.3%1.1%
60Δ140.1426.4%1.1%142.7826.5%1.0%
65Δ139.3428.0%1.0%143.7729.8%0.9%
70Δ138.6527.8%0.8%144.4228.8%0.7%
75Δ138.0626.0%0.6%144.9526.2%0.5%
80Δ136.6329.8%0.5%147.2133.9%0.5%

20Δ

Calls
Pseudo strike
145.76
IV
25.7%
B/E move
3.6%
Puts
Pseudo strike
137.39
IV
24.9%
B/E move
3.1%

25Δ

Calls
Pseudo strike
144.91
IV
25.8%
B/E move
3.1%
Puts
Pseudo strike
137.97
IV
26.7%
B/E move
2.9%

30Δ

Calls
Pseudo strike
144.07
IV
25.3%
B/E move
2.6%
Puts
Pseudo strike
138.67
IV
27.3%
B/E move
2.6%

35Δ

Calls
Pseudo strike
143.38
IV
25.4%
B/E move
2.3%
Puts
Pseudo strike
139.37
IV
28.0%
B/E move
2.3%

40Δ

Calls
Pseudo strike
142.74
IV
26.2%
B/E move
2.1%
Puts
Pseudo strike
140.05
IV
28.7%
B/E move
2.0%

45Δ

Calls
Pseudo strike
142.14
IV
27.8%
B/E move
1.9%
Puts
Pseudo strike
140.78
IV
26.9%
B/E move
1.6%

50Δ

Calls
Pseudo strike
141.47
IV
27.0%
B/E move
1.6%
Puts
Pseudo strike
141.45
IV
26.3%
B/E move
1.4%

55Δ

Calls
Pseudo strike
140.80
IV
26.0%
B/E move
1.3%
Puts
Pseudo strike
142.10
IV
26.3%
B/E move
1.1%

60Δ

Calls
Pseudo strike
140.14
IV
26.4%
B/E move
1.1%
Puts
Pseudo strike
142.78
IV
26.5%
B/E move
1.0%

65Δ

Calls
Pseudo strike
139.34
IV
28.0%
B/E move
1.0%
Puts
Pseudo strike
143.77
IV
29.8%
B/E move
0.9%

70Δ

Calls
Pseudo strike
138.65
IV
27.8%
B/E move
0.8%
Puts
Pseudo strike
144.42
IV
28.8%
B/E move
0.7%

75Δ

Calls
Pseudo strike
138.06
IV
26.0%
B/E move
0.6%
Puts
Pseudo strike
144.95
IV
26.2%
B/E move
0.5%

80Δ

Calls
Pseudo strike
136.63
IV
29.8%
B/E move
0.5%
Puts
Pseudo strike
147.21
IV
33.9%
B/E move
0.5%

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%