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Victorias Secret & Co. VSXY

i

Market dataready · fetched 2026-11-13T01:26:16.961Z

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 · 2026-11-13T00:13:24.47299691Z

FundamentalsSEC EDGAR · ready · as of 2026-08-01 · fetched 2026-11-13T01:16:36.562930+00:00

Share price$104.20
1D-1.5%
AH$103.45$104.40$105.35$106.31$107.265:30 AM6:30 AM9:00 AM1:00 PM2:00 PMVSXY
Sold putSold callAH

Victorias Secret & Co. options

Live interpolated VSXY call and put midpoint premiums by absolute delta.Victorias Secret & Co.$0.72$3.04$5.36$7.68$9.99$91.20$98.07$104.94$111.82$118.6920Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive VSXY spot · $104.20VSXY PRICE$0.97$1.27$1.63$2.04$2.46$2.88$3.39$4.09$4.79$5.48$6.21$7.47$8.73$1.08$1.41$1.76$2.28$2.81$3.33$3.86$4.62$5.49$6.35$7.21$8.25$9.33
PutsCheap0.86×
CallsCheap0.94×
SkewBearish+0.30 pp
Implied moveBearish±$7.24
TiltBearish5.8% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ112.7457.4%9.1%96.9958.9%8.0%
25Δ110.9456.9%7.7%98.5957.8%6.7%
30Δ109.4356.7%6.6%100.1356.9%5.6%
35Δ108.2356.8%5.8%101.2757.3%5.0%
40Δ107.0356.9%5.1%102.4157.8%4.4%
45Δ105.8356.9%4.3%103.5558.3%3.8%
50Δ104.6457.2%3.7%104.6958.7%3.2%
55Δ103.4757.9%3.2%105.9359.2%2.8%
60Δ102.2958.6%2.8%107.2259.7%2.4%
65Δ101.1259.3%2.3%108.5060.2%2.0%
70Δ99.9260.0%1.9%109.7960.7%1.6%
75Δ98.3161.0%1.5%111.1959.0%1.2%
80Δ96.6961.9%1.2%112.6056.9%0.9%

20Δ

Calls
Pseudo strike
112.74
IV
57.4%
B/E move
9.1%
Puts
Pseudo strike
96.99
IV
58.9%
B/E move
8.0%

25Δ

Calls
Pseudo strike
110.94
IV
56.9%
B/E move
7.7%
Puts
Pseudo strike
98.59
IV
57.8%
B/E move
6.7%

30Δ

Calls
Pseudo strike
109.43
IV
56.7%
B/E move
6.6%
Puts
Pseudo strike
100.13
IV
56.9%
B/E move
5.6%

35Δ

Calls
Pseudo strike
108.23
IV
56.8%
B/E move
5.8%
Puts
Pseudo strike
101.27
IV
57.3%
B/E move
5.0%

40Δ

Calls
Pseudo strike
107.03
IV
56.9%
B/E move
5.1%
Puts
Pseudo strike
102.41
IV
57.8%
B/E move
4.4%

45Δ

Calls
Pseudo strike
105.83
IV
56.9%
B/E move
4.3%
Puts
Pseudo strike
103.55
IV
58.3%
B/E move
3.8%

50Δ

Calls
Pseudo strike
104.64
IV
57.2%
B/E move
3.7%
Puts
Pseudo strike
104.69
IV
58.7%
B/E move
3.2%

55Δ

Calls
Pseudo strike
103.47
IV
57.9%
B/E move
3.2%
Puts
Pseudo strike
105.93
IV
59.2%
B/E move
2.8%

60Δ

Calls
Pseudo strike
102.29
IV
58.6%
B/E move
2.8%
Puts
Pseudo strike
107.22
IV
59.7%
B/E move
2.4%

65Δ

Calls
Pseudo strike
101.12
IV
59.3%
B/E move
2.3%
Puts
Pseudo strike
108.50
IV
60.2%
B/E move
2.0%

70Δ

Calls
Pseudo strike
99.92
IV
60.0%
B/E move
1.9%
Puts
Pseudo strike
109.79
IV
60.7%
B/E move
1.6%

75Δ

Calls
Pseudo strike
98.31
IV
61.0%
B/E move
1.5%
Puts
Pseudo strike
111.19
IV
59.0%
B/E move
1.2%

80Δ

Calls
Pseudo strike
96.69
IV
61.9%
B/E move
1.2%
Puts
Pseudo strike
112.60
IV
56.9%
B/E move
0.9%

Options history

IV · four-Friday blend64.22%
Daily EOD
VSXY61.5%63.0%64.4%2026-10-19: 61.72%2026-10-20: 62.18%2026-10-21: 62.69%2026-10-22: 63.23%2026-10-23: 63.45%2026-10-26: 63.67%2026-10-27: 63.29%2026-10-28: 62.61%2026-10-29: 63.05%2026-10-30: 64.22%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
61.72%
62.18%
62.69%
63.23%
63.45%
63.67%
63.29%
62.61%
63.05%
64.22%