IntraAlpha
Create free account Start free

Tyson Foods, Inc. TSN

CONSUMER DEFENSIVE · FARM PRODUCTS
i

Market dataready · fetched 2026-11-04T07:26:15.494Z

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 · 2026-11-04T00:00:00.001316923Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-04T07:26:14.937791+00:00

Share price$56.96
1D+0.4%
AH$56.15$56.40$56.66$56.91$57.165:30 AM6:30 AM9:00 AM1:00 PM2:00 PMTSN
Sold putSold callAH

Tyson Foods, Inc. options

Live interpolated TSN call and put midpoint premiums by absolute delta.Tyson Foods, Inc.$0.31$1.85$3.40$4.94$6.48$50.98$53.84$56.71$59.58$62.4420Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive TSN spot · $56.96TSN PRICE$0.47$0.62$0.80$0.99$1.19$1.38$1.65$1.97$2.29$2.62$2.95$3.57$4.19$0.59$0.75$0.92$1.16$1.42$1.67$1.93$2.29$2.74$3.18$3.63$4.72$6.04
PutsExpensive1.57×
CallsExpensive1.26×
SkewBearish+4.12 pp
Implied moveBearish±$3.58
TiltBearish11.4% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ61.1035.8%8.1%53.0842.0%7.8%
25Δ60.2235.7%6.8%53.9640.4%6.6%
30Δ59.5535.6%6.0%54.8338.7%5.3%
35Δ58.9635.5%5.3%55.4738.3%4.6%
40Δ58.3735.4%4.6%56.0638.3%4.1%
45Δ57.7735.4%3.9%56.6538.2%3.5%
50Δ57.2035.5%3.3%57.2338.2%2.9%
55Δ56.6535.7%2.9%57.8638.4%2.4%
60Δ56.0936.0%2.5%58.5138.8%2.1%
65Δ55.5336.3%2.1%59.1739.2%1.7%
70Δ54.9736.5%1.7%59.8239.6%1.3%
75Δ54.1837.2%1.4%61.0543.5%1.1%
80Δ53.4037.9%1.1%62.4948.6%0.9%

20Δ

Calls
Pseudo strike
61.10
IV
35.8%
B/E move
8.1%
Puts
Pseudo strike
53.08
IV
42.0%
B/E move
7.8%

25Δ

Calls
Pseudo strike
60.22
IV
35.7%
B/E move
6.8%
Puts
Pseudo strike
53.96
IV
40.4%
B/E move
6.6%

30Δ

Calls
Pseudo strike
59.55
IV
35.6%
B/E move
6.0%
Puts
Pseudo strike
54.83
IV
38.7%
B/E move
5.3%

35Δ

Calls
Pseudo strike
58.96
IV
35.5%
B/E move
5.3%
Puts
Pseudo strike
55.47
IV
38.3%
B/E move
4.6%

40Δ

Calls
Pseudo strike
58.37
IV
35.4%
B/E move
4.6%
Puts
Pseudo strike
56.06
IV
38.3%
B/E move
4.1%

45Δ

Calls
Pseudo strike
57.77
IV
35.4%
B/E move
3.9%
Puts
Pseudo strike
56.65
IV
38.2%
B/E move
3.5%

50Δ

Calls
Pseudo strike
57.20
IV
35.5%
B/E move
3.3%
Puts
Pseudo strike
57.23
IV
38.2%
B/E move
2.9%

55Δ

Calls
Pseudo strike
56.65
IV
35.7%
B/E move
2.9%
Puts
Pseudo strike
57.86
IV
38.4%
B/E move
2.4%

60Δ

Calls
Pseudo strike
56.09
IV
36.0%
B/E move
2.5%
Puts
Pseudo strike
58.51
IV
38.8%
B/E move
2.1%

65Δ

Calls
Pseudo strike
55.53
IV
36.3%
B/E move
2.1%
Puts
Pseudo strike
59.17
IV
39.2%
B/E move
1.7%

70Δ

Calls
Pseudo strike
54.97
IV
36.5%
B/E move
1.7%
Puts
Pseudo strike
59.82
IV
39.6%
B/E move
1.3%

75Δ

Calls
Pseudo strike
54.18
IV
37.2%
B/E move
1.4%
Puts
Pseudo strike
61.05
IV
43.5%
B/E move
1.1%

80Δ

Calls
Pseudo strike
53.40
IV
37.9%
B/E move
1.1%
Puts
Pseudo strike
62.49
IV
48.6%
B/E move
0.9%

Options history

IV · four-Friday blend28.12%
Daily EOD
TSN27.1%28.5%29.9%2026-10-19: 27.77%2026-10-20: 27.78%2026-10-21: 27.70%2026-10-22: 27.98%2026-10-23: 27.39%2026-10-26: 27.28%2026-10-27: 28.28%2026-10-28: 29.74%2026-10-29: 28.25%2026-10-30: 28.12%Oct 19Oct 23Oct 30
10 observations2026-10-19 — 2026-10-30
Table
DateIV (%)
27.77%
27.78%
27.70%
27.98%
27.39%
27.28%
28.28%
29.74%
28.25%
28.12%