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PepsiCo Inc PEP

CONSUMER DEFENSIVE · BEVERAGES - NON-ALCOHOLIC
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Market dataready · fetched 2026-10-15T20:33:16.455Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-10-16

Calculation methodology

PriceAlpaca · sip · 2026-10-15T20:32:34.119860759Z

FundamentalsAlpha Vantage · quarter 2026-09-30 · fetched 2026-10-15T20:33:15.730667+00:00

Share price$128.32
1D-2.4%
AH$127$129$130$132$1335:30 AM6:30 AM9:00 AM1:00 PM2:00 PMPEP
Sold putSold callAH

PepsiCo Inc options

Live interpolated PEP call and put midpoint premiums by absolute delta.PepsiCo Inc$0.15$1.33$2.50$3.67$4.84$124.51$126.71$128.90$131.09$133.2820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔATM · $128.32OPTION PRICELive PEP spot · $128.32PEP PRICE$0.63$0.32$0.39$0.47$0.58$0.72$0.86$1.00$1.19$1.38$1.58$1.90$2.41$0.53$0.28$0.35$0.42$0.49$0.59$0.71$0.82$0.94$1.05$2.18$3.34$4.50
PutsCheap0.81×
CallsFair0.96×
SkewBullish-1.17 pp
Implied moveBullish±$1.57
TiltBearish9.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ134.9599.8%5.7%122.2896.5%5.1%
25Δ129.8231.6%1.4%127.0827.7%1.2%
30Δ129.4830.7%1.2%127.3527.0%1.0%
35Δ129.1429.7%1.0%127.6226.2%0.9%
40Δ128.8529.8%0.9%127.9025.5%0.7%
45Δ128.5930.6%0.8%128.1325.1%0.6%
50Δ128.3331.4%0.7%128.3525.1%0.5%
55Δ128.0732.2%0.6%128.5625.0%0.5%
60Δ127.7932.5%0.5%128.7825.0%0.4%
65Δ127.4932.7%0.4%128.9924.9%0.3%
70Δ127.1932.8%0.3%130.1336.0%0.3%
75Δ126.7834.2%0.3%131.3147.5%0.3%
80Δ126.2137.7%0.2%132.4959.0%0.3%

20Δ

Calls
Pseudo strike
134.95
IV
99.8%
B/E move
5.7%
Puts
Pseudo strike
122.28
IV
96.5%
B/E move
5.1%

25Δ

Calls
Pseudo strike
129.82
IV
31.6%
B/E move
1.4%
Puts
Pseudo strike
127.08
IV
27.7%
B/E move
1.2%

30Δ

Calls
Pseudo strike
129.48
IV
30.7%
B/E move
1.2%
Puts
Pseudo strike
127.35
IV
27.0%
B/E move
1.0%

35Δ

Calls
Pseudo strike
129.14
IV
29.7%
B/E move
1.0%
Puts
Pseudo strike
127.62
IV
26.2%
B/E move
0.9%

40Δ

Calls
Pseudo strike
128.85
IV
29.8%
B/E move
0.9%
Puts
Pseudo strike
127.90
IV
25.5%
B/E move
0.7%

45Δ

Calls
Pseudo strike
128.59
IV
30.6%
B/E move
0.8%
Puts
Pseudo strike
128.13
IV
25.1%
B/E move
0.6%

50Δ

Calls
Pseudo strike
128.33
IV
31.4%
B/E move
0.7%
Puts
Pseudo strike
128.35
IV
25.1%
B/E move
0.5%

55Δ

Calls
Pseudo strike
128.07
IV
32.2%
B/E move
0.6%
Puts
Pseudo strike
128.56
IV
25.0%
B/E move
0.5%

60Δ

Calls
Pseudo strike
127.79
IV
32.5%
B/E move
0.5%
Puts
Pseudo strike
128.78
IV
25.0%
B/E move
0.4%

65Δ

Calls
Pseudo strike
127.49
IV
32.7%
B/E move
0.4%
Puts
Pseudo strike
128.99
IV
24.9%
B/E move
0.3%

70Δ

Calls
Pseudo strike
127.19
IV
32.8%
B/E move
0.3%
Puts
Pseudo strike
130.13
IV
36.0%
B/E move
0.3%

75Δ

Calls
Pseudo strike
126.78
IV
34.2%
B/E move
0.3%
Puts
Pseudo strike
131.31
IV
47.5%
B/E move
0.3%

80Δ

Calls
Pseudo strike
126.21
IV
37.7%
B/E move
0.2%
Puts
Pseudo strike
132.49
IV
59.0%
B/E move
0.3%