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Warby Parker Inc. WRBY

HEALTHCARE · MEDICAL INSTRUMENTS & SUPPLIES
i

Market dataready · fetched 2026-11-07T16:16:29.107Z

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 · 2026-11-07T00:00:00.002293849Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-07T16:16:28.678391+00:00

Share price$25.48
1D-2.9%
AH$25.31$25.83$26.35$26.86$27.385:30 AM6:30 AM9:00 AM1:00 PM2:00 PMWRBY
Sold putSold callAH

Warby Parker Inc. options

Live interpolated WRBY call and put midpoint premiums by absolute delta.Warby Parker Inc.$0.27$1.39$2.51$3.63$4.75$19.97$23.28$26.60$29.91$33.2320Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ35Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive WRBY spot · $25.48WRBY PRICE$0.40$0.54$0.74$0.95$1.22$1.48$1.68$1.95$2.16$3.11$3.64$4.43$0.39$0.55$0.75$0.78$0.92$1.08$1.25$1.40$1.52$1.73$2.05$2.13$2.22
PutsCheap0.76×
Calls——
Skew——
Implied moveBullish±$2.73
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ29.25116.3%16.4%23.05101.0%11.1%
25Δ28.57118.3%14.2%23.50105.0%9.9%
30Δ28.16128.0%13.4%23.90111.3%9.1%
35Δ24.5194.5%6.9%
40Δ26.67109.3%8.4%24.9192.1%5.8%
45Δ26.28119.7%8.0%25.2990.7%5.0%
50Δ25.84125.5%7.2%25.6688.8%4.2%
55Δ25.30121.6%5.9%26.0185.8%3.4%
60Δ24.81123.1%5.0%26.3080.5%2.7%
65Δ24.33118.1%4.0%26.6678.9%2.2%
70Δ23.45153.2%4.2%27.0681.1%1.8%
75Δ22.70156.6%3.4%27.2773.7%1.3%
80Δ21.75167.5%2.7%27.4866.2%0.9%

20Δ

Calls
Pseudo strike
29.25
IV
116.3%
B/E move
16.4%
Puts
Pseudo strike
23.05
IV
101.0%
B/E move
11.1%

25Δ

Calls
Pseudo strike
28.57
IV
118.3%
B/E move
14.2%
Puts
Pseudo strike
23.50
IV
105.0%
B/E move
9.9%

30Δ

Calls
Pseudo strike
28.16
IV
128.0%
B/E move
13.4%
Puts
Pseudo strike
23.90
IV
111.3%
B/E move
9.1%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
24.51
IV
94.5%
B/E move
6.9%

40Δ

Calls
Pseudo strike
26.67
IV
109.3%
B/E move
8.4%
Puts
Pseudo strike
24.91
IV
92.1%
B/E move
5.8%

45Δ

Calls
Pseudo strike
26.28
IV
119.7%
B/E move
8.0%
Puts
Pseudo strike
25.29
IV
90.7%
B/E move
5.0%

50Δ

Calls
Pseudo strike
25.84
IV
125.5%
B/E move
7.2%
Puts
Pseudo strike
25.66
IV
88.8%
B/E move
4.2%

55Δ

Calls
Pseudo strike
25.30
IV
121.6%
B/E move
5.9%
Puts
Pseudo strike
26.01
IV
85.8%
B/E move
3.4%

60Δ

Calls
Pseudo strike
24.81
IV
123.1%
B/E move
5.0%
Puts
Pseudo strike
26.30
IV
80.5%
B/E move
2.7%

65Δ

Calls
Pseudo strike
24.33
IV
118.1%
B/E move
4.0%
Puts
Pseudo strike
26.66
IV
78.9%
B/E move
2.2%

70Δ

Calls
Pseudo strike
23.45
IV
153.2%
B/E move
4.2%
Puts
Pseudo strike
27.06
IV
81.1%
B/E move
1.8%

75Δ

Calls
Pseudo strike
22.70
IV
156.6%
B/E move
3.4%
Puts
Pseudo strike
27.27
IV
73.7%
B/E move
1.3%

80Δ

Calls
Pseudo strike
21.75
IV
167.5%
B/E move
2.7%
Puts
Pseudo strike
27.48
IV
66.2%
B/E move
0.9%

Options history

IV · four-Friday blend112.65%
Daily close
WRBY55.4%89.4%123.4%2026-08-10: 73.52%2026-08-11: 69.90%2026-08-12: 70.69%2026-08-13: 78.32%2026-08-14: 60.06%2026-08-17: 65.15%2026-08-18: 61.78%2026-08-19: 66.28%2026-08-20: 73.79%2026-08-21: 64.65%2026-08-24: 68.61%2026-08-25: 66.43%2026-08-26: 68.27%2026-08-27: 70.72%2026-08-28: 62.38%2026-08-31: 62.74%2026-09-01: 68.20%2026-09-02: 65.17%2026-09-03: 66.99%2026-09-04: 62.44%2026-09-08: 66.86%2026-09-09: 68.68%2026-09-10: 75.24%2026-09-11: 60.92%2026-09-14: 68.64%2026-09-15: 71.44%2026-09-16: 72.18%2026-09-17: 77.99%2026-09-18: 65.74%2026-09-21: 66.91%2026-09-22: 65.62%2026-09-23: 74.17%2026-09-24: 73.34%2026-09-25: 70.63%2026-09-28: 73.14%2026-09-29: 80.10%2026-09-30: 75.95%2026-10-01: 78.98%2026-10-02: 67.36%2026-10-05: 72.78%2026-10-06: 73.01%2026-10-07: 74.11%2026-10-08: 76.07%2026-10-09: 73.11%2026-10-12: 76.22%2026-10-13: 80.59%2026-10-14: 84.75%2026-10-15: 84.88%2026-10-16: 84.19%2026-10-19: 88.74%2026-10-20: 89.20%2026-10-21: 88.76%2026-10-22: 96.15%2026-10-23: 92.47%2026-10-26: 100.98%2026-10-27: 104.14%2026-10-28: 102.53%2026-10-29: 118.66%2026-10-30: 112.65%Aug 10Sep 21Oct 30
59 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
73.52%
69.90%
70.69%
78.32%
60.06%
65.15%
61.78%
66.28%
73.79%
64.65%
68.61%
66.43%
68.27%
70.72%
62.38%
62.74%
68.20%
65.17%
66.99%
62.44%
66.86%
68.68%
75.24%
60.92%
68.64%
71.44%
72.18%
77.99%
65.74%
66.91%
65.62%
74.17%
73.34%
70.63%
73.14%
80.10%
75.95%
78.98%
67.36%
72.78%
73.01%
74.11%
76.07%
73.11%
76.22%
80.59%
84.75%
84.88%
84.19%
88.74%
89.20%
88.76%
96.15%
92.47%
100.98%
104.14%
102.53%
118.66%
112.65%