IntraAlpha
Create free account Start free

Sprouts Farmers Market, Inc. Common Stock SFM

i

Market dataready · fetched 2026-11-06T22:49:14.489Z

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 · 2026-11-06T22:38:10.817352535Z

FundamentalsSEC EDGAR · ready · as of 2026-09-27 · fetched 2026-11-06T22:49:13.989902+00:00

Share price$49.63
1D-2.7%
AH$48.71$49.40$50.09$50.77$51.465:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSFM
Sold putSold callAH

Sprouts Farmers Market, Inc. Common Stock options

Live interpolated SFM call and put midpoint premiums by absolute delta.Sprouts Farmers Market, Inc. Common Stock$0.16$3.30$6.43$9.56$12.70$33.52$42.88$52.24$61.60$70.9620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SFM spot · $49.63SFM PRICE$0.50$0.67$0.83$1.00$1.16$1.33$1.57$2.01$2.45$2.89$3.33$3.77$4.21$0.57$0.74$0.91$1.08$1.25$1.42$1.59$2.47$3.70$4.92$6.15$8.80$11.80
PutsCheap0.45×
CallsCheap0.59×
SkewBearish+15.23 pp
Implied moveBalanced±$3.16
TiltBearish27.7% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ53.9642.8%9.7%45.7548.3%9.0%
25Δ53.2742.4%8.7%46.4346.8%7.9%
30Δ52.5842.1%7.6%47.1045.2%6.9%
35Δ51.8841.8%6.6%47.7743.7%5.9%
40Δ51.1941.5%5.5%48.4442.1%4.9%
45Δ50.5041.2%4.4%49.1140.6%3.9%
50Δ49.8341.1%3.6%49.7839.0%2.9%
55Δ49.2041.5%3.2%50.8445.4%2.5%
60Δ48.5741.9%2.8%52.0955.7%2.5%
65Δ47.9442.3%2.4%53.3465.9%2.4%
70Δ47.3142.7%2.0%54.5976.2%2.4%
75Δ46.6843.1%1.7%57.3291.8%2.2%
80Δ46.0543.5%1.3%60.47105.1%1.9%

20Δ

Calls
Pseudo strike
53.96
IV
42.8%
B/E move
9.7%
Puts
Pseudo strike
45.75
IV
48.3%
B/E move
9.0%

25Δ

Calls
Pseudo strike
53.27
IV
42.4%
B/E move
8.7%
Puts
Pseudo strike
46.43
IV
46.8%
B/E move
7.9%

30Δ

Calls
Pseudo strike
52.58
IV
42.1%
B/E move
7.6%
Puts
Pseudo strike
47.10
IV
45.2%
B/E move
6.9%

35Δ

Calls
Pseudo strike
51.88
IV
41.8%
B/E move
6.6%
Puts
Pseudo strike
47.77
IV
43.7%
B/E move
5.9%

40Δ

Calls
Pseudo strike
51.19
IV
41.5%
B/E move
5.5%
Puts
Pseudo strike
48.44
IV
42.1%
B/E move
4.9%

45Δ

Calls
Pseudo strike
50.50
IV
41.2%
B/E move
4.4%
Puts
Pseudo strike
49.11
IV
40.6%
B/E move
3.9%

50Δ

Calls
Pseudo strike
49.83
IV
41.1%
B/E move
3.6%
Puts
Pseudo strike
49.78
IV
39.0%
B/E move
2.9%

55Δ

Calls
Pseudo strike
49.20
IV
41.5%
B/E move
3.2%
Puts
Pseudo strike
50.84
IV
45.4%
B/E move
2.5%

60Δ

Calls
Pseudo strike
48.57
IV
41.9%
B/E move
2.8%
Puts
Pseudo strike
52.09
IV
55.7%
B/E move
2.5%

65Δ

Calls
Pseudo strike
47.94
IV
42.3%
B/E move
2.4%
Puts
Pseudo strike
53.34
IV
65.9%
B/E move
2.4%

70Δ

Calls
Pseudo strike
47.31
IV
42.7%
B/E move
2.0%
Puts
Pseudo strike
54.59
IV
76.2%
B/E move
2.4%

75Δ

Calls
Pseudo strike
46.68
IV
43.1%
B/E move
1.7%
Puts
Pseudo strike
57.32
IV
91.8%
B/E move
2.2%

80Δ

Calls
Pseudo strike
46.05
IV
43.5%
B/E move
1.3%
Puts
Pseudo strike
60.47
IV
105.1%
B/E move
1.9%

Options history

IV · four-Friday blend45.86%
Daily close
SFM41.1%52.7%64.3%2026-08-10: 44.59%2026-08-12: 44.02%2026-08-21: 42.91%2026-08-24: 43.72%2026-08-25: 43.64%2026-08-26: 44.12%2026-08-27: 44.92%2026-08-28: 44.51%2026-08-31: 45.73%2026-09-01: 45.55%2026-09-02: 44.09%2026-09-03: 45.48%2026-09-04: 42.72%2026-09-08: 45.23%2026-09-09: 45.61%2026-09-14: 46.67%2026-09-17: 62.67%2026-09-18: 47.54%2026-09-21: 45.95%2026-09-22: 47.20%2026-09-23: 46.77%2026-09-24: 45.85%2026-09-25: 48.16%2026-09-28: 50.51%2026-09-29: 47.78%2026-09-30: 48.67%2026-10-01: 48.05%2026-10-02: 46.21%2026-10-05: 47.47%2026-10-06: 47.29%2026-10-07: 45.75%2026-10-08: 50.78%2026-10-09: 48.95%2026-10-12: 49.64%2026-10-16: 49.26%2026-10-19: 48.61%2026-10-20: 49.19%2026-10-21: 50.78%2026-10-22: 50.71%2026-10-23: 52.33%2026-10-26: 54.66%2026-10-27: 51.72%2026-10-28: 53.31%2026-10-29: 46.91%2026-10-30: 45.86%Aug 10Sep 25Oct 30
45 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
44.59%
44.02%
42.91%
43.72%
43.64%
44.12%
44.92%
44.51%
45.73%
45.55%
44.09%
45.48%
42.72%
45.23%
45.61%
46.67%
62.67%
47.54%
45.95%
47.20%
46.77%
45.85%
48.16%
50.51%
47.78%
48.67%
48.05%
46.21%
47.47%
47.29%
45.75%
50.78%
48.95%
49.64%
49.26%
48.61%
49.19%
50.78%
50.71%
52.33%
54.66%
51.72%
53.31%
46.91%
45.86%