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PepsiCo, Inc. Common Stock PEP

i

Market dataready · fetched 2026-11-07T02:44:20.066Z

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 2026-11-07T02:44:19.404871+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$2.66$5.06$7.47$9.87$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$1.33$1.58$1.85$2.14$2.46$2.81$3.31$3.70$3.90$0.62$0.86$1.13$1.46$1.73$1.99$2.35$2.81$3.43$4.00$4.47$9.18
Puts——
CallsCheap0.66×
Skew——
Implied moveBearish±$4.20
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ145.9124.0%3.3%137.5227.0%3.4%
25Δ145.1124.0%2.9%138.1528.8%3.1%
30Δ144.4224.2%2.5%138.9229.5%2.8%
35Δ143.7524.4%2.2%139.6430.6%2.5%
40Δ143.1024.3%1.9%140.4130.2%2.1%
45Δ142.4924.2%1.7%141.2129.1%1.8%
50Δ141.8824.0%1.4%141.9229.2%1.5%
55Δ141.2923.9%1.2%142.6729.8%1.3%
60Δ140.7023.8%1.0%143.5331.3%1.1%
65Δ140.1023.6%0.9%144.3631.8%0.9%
70Δ139.4124.1%0.7%145.1630.8%0.7%
75Δ138.8223.5%0.6%
80Δ138.4121.3%0.4%150.0046.4%0.6%

20Δ

Calls
Pseudo strike
145.91
IV
24.0%
B/E move
3.3%
Puts
Pseudo strike
137.52
IV
27.0%
B/E move
3.4%

25Δ

Calls
Pseudo strike
145.11
IV
24.0%
B/E move
2.9%
Puts
Pseudo strike
138.15
IV
28.8%
B/E move
3.1%

30Δ

Calls
Pseudo strike
144.42
IV
24.2%
B/E move
2.5%
Puts
Pseudo strike
138.92
IV
29.5%
B/E move
2.8%

35Δ

Calls
Pseudo strike
143.75
IV
24.4%
B/E move
2.2%
Puts
Pseudo strike
139.64
IV
30.6%
B/E move
2.5%

40Δ

Calls
Pseudo strike
143.10
IV
24.3%
B/E move
1.9%
Puts
Pseudo strike
140.41
IV
30.2%
B/E move
2.1%

45Δ

Calls
Pseudo strike
142.49
IV
24.2%
B/E move
1.7%
Puts
Pseudo strike
141.21
IV
29.1%
B/E move
1.8%

50Δ

Calls
Pseudo strike
141.88
IV
24.0%
B/E move
1.4%
Puts
Pseudo strike
141.92
IV
29.2%
B/E move
1.5%

55Δ

Calls
Pseudo strike
141.29
IV
23.9%
B/E move
1.2%
Puts
Pseudo strike
142.67
IV
29.8%
B/E move
1.3%

60Δ

Calls
Pseudo strike
140.70
IV
23.8%
B/E move
1.0%
Puts
Pseudo strike
143.53
IV
31.3%
B/E move
1.1%

65Δ

Calls
Pseudo strike
140.10
IV
23.6%
B/E move
0.9%
Puts
Pseudo strike
144.36
IV
31.8%
B/E move
0.9%

70Δ

Calls
Pseudo strike
139.41
IV
24.1%
B/E move
0.7%
Puts
Pseudo strike
145.16
IV
30.8%
B/E move
0.7%

75Δ

Calls
Pseudo strike
138.82
IV
23.5%
B/E move
0.6%
Puts
Pseudo strike
IV
B/E move

80Δ

Calls
Pseudo strike
138.41
IV
21.3%
B/E move
0.4%
Puts
Pseudo strike
150.00
IV
46.4%
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%