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SNDL Inc. Common Shares SNDL

CONSUMER DEFENSIVE · BEVERAGES - WINERIES & DISTILLERIES
i

Market dataready · fetched 2026-11-12T03:23:18.711Z

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 · 2026-11-11T23:47:30.18115245Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-12T03:16:19.501670+00:00

Share price$1.41
1D-0.7%
AH$1.38$1.39$1.40$1.41$1.425:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSNDL
Sold putSold callAH

SNDL Inc. Common Shares options

Live interpolated SNDL call and put midpoint premiums by absolute delta.SNDL Inc. Common Shares$0.01$0.16$0.32$0.47$0.63$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ30Δ C unavailable: no unambiguous, price-consistent delta bracketC —35Δ C unavailable: no unambiguous, price-consistent delta bracketC —40Δ C unavailable: no unambiguous, price-consistent delta bracketC —45Δ C unavailable: no unambiguous, price-consistent delta bracketC —50Δ C unavailable: no unambiguous, price-consistent delta bracketC —55Δ C unavailable: no unambiguous, price-consistent delta bracketC —60Δ C unavailable: no unambiguous, price-consistent delta bracketC —65Δ C unavailable: no unambiguous, price-consistent delta bracketC —70Δ C unavailable: no unambiguous, price-consistent delta bracketC —75Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICESNDL PRICE$0.03$0.03$0.07$0.08$0.10$0.11$0.13$0.14$0.16$0.17$0.23$0.32$0.41$0.49$0.58
PutsExpensive2.95×
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ1.80136.3%29.4%0.80388.8%48.2%
25Δ1.6498.0%17.9%0.90354.8%42.4%
30Δ0.99320.8%36.7%
35Δ1.09286.8%31.0%
40Δ1.18252.7%25.3%
45Δ1.28218.7%19.5%
50Δ1.37184.7%13.8%
55Δ1.47150.7%8.1%
60Δ1.56146.9%5.6%
65Δ1.66160.2%4.9%
70Δ1.76173.5%4.2%
75Δ1.86186.8%3.5%
80Δ1.95200.1%2.8%

20Δ

Calls
Pseudo strike
1.80
IV
136.3%
B/E move
29.4%
Puts
Pseudo strike
0.80
IV
388.8%
B/E move
48.2%

25Δ

Calls
Pseudo strike
1.64
IV
98.0%
B/E move
17.9%
Puts
Pseudo strike
0.90
IV
354.8%
B/E move
42.4%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
0.99
IV
320.8%
B/E move
36.7%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.09
IV
286.8%
B/E move
31.0%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.18
IV
252.7%
B/E move
25.3%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.28
IV
218.7%
B/E move
19.5%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.37
IV
184.7%
B/E move
13.8%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.47
IV
150.7%
B/E move
8.1%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.56
IV
146.9%
B/E move
5.6%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.66
IV
160.2%
B/E move
4.9%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.76
IV
173.5%
B/E move
4.2%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.86
IV
186.8%
B/E move
3.5%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
1.95
IV
200.1%
B/E move
2.8%

Options history

IV · four-Friday blend—
Daily EOD

No recorded observations

0 observations