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The Wendy’s Co WEN

CONSUMER CYCLICAL · RESTAURANTS
i

Market dataready · fetched 2026-10-21T17:00:23.753Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-10-23

Calculation methodology

Options historyIV: ThetaData daily EOD, 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 and implied move: recorded expiration-specific observations.

History data

PriceAlpaca · sip · 2026-10-21T17:00:10.341567036Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-10-21T17:00:23.149666+00:00

Share price$6.32
1D-2.9%
$6.20$6.28$6.37$6.46$6.545:30 AM6:30 AM9:00 AM1:00 PMWEN
Sold putSold call

The Wendy’s Co options

Live interpolated WEN call and put midpoint premiums by absolute delta.The Wendy’s Co$0.00$0.36$0.72$1.08$1.44$4.55$5.16$5.76$6.37$6.9820Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive WEN spot · $6.32WEN PRICE$0.04$0.05$0.07$0.10$0.12$0.15$0.17$0.20$0.23$0.25$0.28$0.30$0.33$0.29$0.39$0.48$0.58$0.67$0.77$0.86$0.96$1.05$1.14$1.24$1.33$0.33
PutsExpensive4.44×
CallsExpensive1.28×
SkewBearish+257.40 pp
Implied moveBearish±$1.03
TiltBearish63.1% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ6.9297.3%10.1%4.91399.8%26.9%
25Δ6.4746.1%3.1%5.14388.8%24.7%
30Δ6.4348.3%2.8%5.38377.8%22.6%
35Δ6.3950.5%2.6%5.61366.9%20.4%
40Δ6.3552.7%2.4%5.84355.9%18.2%
45Δ6.3154.9%2.2%6.07344.9%16.1%
50Δ6.2757.1%2.0%6.30334.0%13.9%
55Δ6.2359.3%1.8%6.53323.0%11.7%
60Δ6.1961.5%1.5%6.76312.0%9.6%
65Δ6.1563.8%1.3%7.00301.1%7.4%
70Δ6.1166.0%1.1%7.23290.1%5.2%
75Δ6.0768.2%0.9%7.46279.1%3.1%
80Δ6.0370.4%0.7%6.6168.8%0.6%

20Δ

Calls
Pseudo strike
6.92
IV
97.3%
B/E move
10.1%
Puts
Pseudo strike
4.91
IV
399.8%
B/E move
26.9%

25Δ

Calls
Pseudo strike
6.47
IV
46.1%
B/E move
3.1%
Puts
Pseudo strike
5.14
IV
388.8%
B/E move
24.7%

30Δ

Calls
Pseudo strike
6.43
IV
48.3%
B/E move
2.8%
Puts
Pseudo strike
5.38
IV
377.8%
B/E move
22.6%

35Δ

Calls
Pseudo strike
6.39
IV
50.5%
B/E move
2.6%
Puts
Pseudo strike
5.61
IV
366.9%
B/E move
20.4%

40Δ

Calls
Pseudo strike
6.35
IV
52.7%
B/E move
2.4%
Puts
Pseudo strike
5.84
IV
355.9%
B/E move
18.2%

45Δ

Calls
Pseudo strike
6.31
IV
54.9%
B/E move
2.2%
Puts
Pseudo strike
6.07
IV
344.9%
B/E move
16.1%

50Δ

Calls
Pseudo strike
6.27
IV
57.1%
B/E move
2.0%
Puts
Pseudo strike
6.30
IV
334.0%
B/E move
13.9%

55Δ

Calls
Pseudo strike
6.23
IV
59.3%
B/E move
1.8%
Puts
Pseudo strike
6.53
IV
323.0%
B/E move
11.7%

60Δ

Calls
Pseudo strike
6.19
IV
61.5%
B/E move
1.5%
Puts
Pseudo strike
6.76
IV
312.0%
B/E move
9.6%

65Δ

Calls
Pseudo strike
6.15
IV
63.8%
B/E move
1.3%
Puts
Pseudo strike
7.00
IV
301.1%
B/E move
7.4%

70Δ

Calls
Pseudo strike
6.11
IV
66.0%
B/E move
1.1%
Puts
Pseudo strike
7.23
IV
290.1%
B/E move
5.2%

75Δ

Calls
Pseudo strike
6.07
IV
68.2%
B/E move
0.9%
Puts
Pseudo strike
7.46
IV
279.1%
B/E move
3.1%

80Δ

Calls
Pseudo strike
6.03
IV
70.4%
B/E move
0.7%
Puts
Pseudo strike
6.61
IV
68.8%
B/E move
0.6%

Options history

No recorded observations