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J & J Snack Foods Corp. Common Stock JJSF

CONSUMER DEFENSIVE · PACKAGED FOODS
i

Market dataready · fetched 2026-11-03T15:44:31.091Z

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 · 2026-11-03T15:39:49.235047291Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-03T15:44:30.455739+00:00

Share price$87.37
1D-0.7%
$85.31$86.03$86.76$87.48$88.205:30 AM6:30 AM9:00 AM1:00 PMJJSF
Sold putSold call

J & J Snack Foods Corp. Common Stock options

Live interpolated JJSF call and put midpoint premiums by absolute delta.J & J Snack Foods Corp. Common Stock$0.86$3.82$6.78$9.74$12.70$-0.12$0.19$0.50$0.81$1.1220Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ 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 —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 PRICEJJSF PRICE$1.18$1.75$2.32$2.89$3.45$3.99$4.53$5.07$6.06$7.51$8.95$10.40$11.85
PutsExpensive1.89×
Calls——
Skew——
Implied move——
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ80.0153.0%9.8%
25Δ81.3654.9%8.9%
30Δ82.7056.8%8.0%
35Δ84.0458.7%7.1%
40Δ85.3859.4%6.2%
45Δ86.6957.4%5.3%
50Δ88.0155.4%4.5%
55Δ89.3353.4%3.6%
60Δ90.9052.7%2.9%
65Δ92.7353.5%2.5%
70Δ94.5654.3%2.0%
75Δ96.3955.1%1.6%
80Δ98.2355.8%1.1%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
80.01
IV
53.0%
B/E move
9.8%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
81.36
IV
54.9%
B/E move
8.9%

30Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
82.70
IV
56.8%
B/E move
8.0%

35Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
84.04
IV
58.7%
B/E move
7.1%

40Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
85.38
IV
59.4%
B/E move
6.2%

45Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
86.69
IV
57.4%
B/E move
5.3%

50Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
88.01
IV
55.4%
B/E move
4.5%

55Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
89.33
IV
53.4%
B/E move
3.6%

60Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
90.90
IV
52.7%
B/E move
2.9%

65Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
92.73
IV
53.5%
B/E move
2.5%

70Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
94.56
IV
54.3%
B/E move
2.0%

75Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
96.39
IV
55.1%
B/E move
1.6%

80Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
98.23
IV
55.8%
B/E move
1.1%

Options history

IV · four-Friday blend36.93%
Daily EOD
JJSF33.1%35.1%37.2%2026-10-19: 35.10%2026-10-20: 35.29%2026-10-21: 33.72%2026-10-22: 33.36%2026-10-23: 34.14%2026-10-26: 36.91%2026-10-27: 36.48%2026-10-28: 36.02%2026-10-29: 36.40%2026-10-30: 36.93%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
35.10%
35.29%
33.72%
33.36%
34.14%
36.91%
36.48%
36.02%
36.40%
36.93%