IntraAlpha
Create free account Start free

Wendy's Company (The) Common Stock WEN

CONSUMER CYCLICAL · RESTAURANTS
i

Market dataready · fetched 2026-11-10T22:22:08.907Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

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 · 2026-11-10T22:19:07.739945348Z

FundamentalsAlpha Vantage · ready · quarter 2026-09-30 · fetched 2026-11-10T22:21:08.868112+00:00

Share price$8.30
1D+0.4%
AH$8.13$8.19$8.26$8.33$8.395:30 AM6:30 AM9:00 AM1:00 PM2:00 PMWEN
Sold putSold callAH

Wendy's Company (The) Common Stock options

Live interpolated WEN call and put midpoint premiums by absolute delta.Wendy's Company (The) Common Stock$0.04$0.12$0.19$0.27$0.35$7.95$8.13$8.31$8.49$8.6720Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —30Δ C unavailable: no unambiguous, price-consistent delta bracketC —80Δ C/P unavailable: no unambiguous, price-consistent delta bracketC/P —OPTION PRICELive WEN spot · $8.30WEN PRICE$0.10$0.13$0.15$0.18$0.21$0.24$0.27$0.30$0.33$0.05$0.06$0.07$0.08$0.09$0.10$0.11$0.12$0.13$0.14$0.15$0.16
Puts——
Calls——
Skew——
Implied moveBullish±$0.29
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ7.9557.1%4.8%
25Δ8.0252.0%4.0%
30Δ8.0649.4%3.7%
35Δ8.4650.8%3.1%8.0946.9%3.4%
40Δ8.4151.0%2.8%8.1344.3%3.1%
45Δ8.3651.1%2.5%8.1641.8%2.8%
50Δ8.3051.3%2.3%8.2039.2%2.6%
55Δ8.2551.4%2.0%8.2336.6%2.3%
60Δ8.2051.6%1.7%8.2734.1%2.0%
65Δ8.1551.7%1.4%8.3031.5%1.7%
70Δ8.0951.9%1.1%8.3329.0%1.4%
75Δ8.0452.0%0.8%8.3726.4%1.1%
80Δ

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
7.95
IV
57.1%
B/E move
4.8%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
8.02
IV
52.0%
B/E move
4.0%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
8.06
IV
49.4%
B/E move
3.7%

35Δ

Calls
Pseudo strike
8.46
IV
50.8%
B/E move
3.1%
Puts
Pseudo strike
8.09
IV
46.9%
B/E move
3.4%

40Δ

Calls
Pseudo strike
8.41
IV
51.0%
B/E move
2.8%
Puts
Pseudo strike
8.13
IV
44.3%
B/E move
3.1%

45Δ

Calls
Pseudo strike
8.36
IV
51.1%
B/E move
2.5%
Puts
Pseudo strike
8.16
IV
41.8%
B/E move
2.8%

50Δ

Calls
Pseudo strike
8.30
IV
51.3%
B/E move
2.3%
Puts
Pseudo strike
8.20
IV
39.2%
B/E move
2.6%

55Δ

Calls
Pseudo strike
8.25
IV
51.4%
B/E move
2.0%
Puts
Pseudo strike
8.23
IV
36.6%
B/E move
2.3%

60Δ

Calls
Pseudo strike
8.20
IV
51.6%
B/E move
1.7%
Puts
Pseudo strike
8.27
IV
34.1%
B/E move
2.0%

65Δ

Calls
Pseudo strike
8.15
IV
51.7%
B/E move
1.4%
Puts
Pseudo strike
8.30
IV
31.5%
B/E move
1.7%

70Δ

Calls
Pseudo strike
8.09
IV
51.9%
B/E move
1.1%
Puts
Pseudo strike
8.33
IV
29.0%
B/E move
1.4%

75Δ

Calls
Pseudo strike
8.04
IV
52.0%
B/E move
0.8%
Puts
Pseudo strike
8.37
IV
26.4%
B/E move
1.1%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
IV
B/E move

Options history

IV · four-Friday blend127.43%
Daily close
WEN32.5%95.8%159.0%2026-08-12: 80.20%2026-08-13: 75.13%2026-08-14: 61.18%2026-08-17: 62.44%2026-08-18: 55.49%2026-08-19: 55.68%2026-08-21: 51.78%2026-08-24: 53.89%2026-08-25: 50.15%2026-08-26: 56.24%2026-09-04: 41.36%2026-09-11: 41.24%2026-09-15: 43.44%2026-09-17: 49.12%2026-09-18: 53.97%2026-09-21: 49.98%2026-09-25: 47.91%2026-09-29: 49.77%2026-10-02: 47.25%2026-10-05: 56.86%2026-10-09: 47.50%2026-10-16: 49.28%2026-10-20: 58.49%2026-10-23: 55.35%2026-10-28: 150.27%2026-10-30: 127.43%Aug 12Sep 15Oct 30
26 observations2026-08-12 — 2026-10-30
Table
DateIV (%)
80.20%
75.13%
61.18%
62.44%
55.49%
55.68%
51.78%
53.89%
50.15%
56.24%
41.36%
41.24%
43.44%
49.12%
53.97%
49.98%
47.91%
49.77%
47.25%
56.86%
47.50%
49.28%
58.49%
55.35%
150.27%
127.43%