Options/PEP

PEPPepsiCo, Inc.

Options Analysis Report•BEVERAGES

Market Cap $186.5B|NASDAQ

● 2026-09-11$136.65

NEUTRAL

Analysis: 2026-09-10 EOD data

1Y -5.3%YTD -3.9%7D -0.7%

Options Vol

17,049

30D

Implied Move

±6.5%

IV Rank

16%

PEP Options Overview

IV is low. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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PEP Gamma Walls

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PEP Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where PEP sits on protection cost vs. fragility today.

Protection is priced in the cheap band (3.33) — near-dated vol is priced 24% below far-dated, and downside puts carry 0.8 IV points more than at-the-money, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (5.25): it is trading 1% below its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.

Protection cost

3.33/ 10cheap

Basis: cross_sectional

Fragility

5.25/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

7.4

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks6/9 checks passed

IV Rank

≤35%

IV Rank 10.6% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 1.31x — IV premium over HV

Sector Relative≤50%

Sector percentile 12% — below sector median

Term Structure

<1.1x

Front/Back 0.76x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 23.5% — normal range

Spread-Adjusted Value

<80%

Effective IV 34.4% (ATM 23.5% + spread 5.5% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 10.75% (spread 5.45% + slippage 5.30%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 4.01 (vega 2.186 / spread 5.45%) — spread drag

Sentiment

Bullish or bearish?

5.9

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBullish - Moderate signal (Conviction: +21%, Raw: +6%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +21% (bullish) — Raw: +6%

OI Skew Magnitude

≥15%

|OI skew| 34.3% — call-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +5.2%, OI skew +34.3% — weak (same direction)

Conviction Quality

≥2/3 conditions

0-DTE 18%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +81%, ATM: -10%, OTM: -20% — strong bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 54% — neutral vs sector

Activity

Unusual activity?

3.8

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed

Volume Surge

≥1.5x

Volume 0.9x avg — normal

Turnover Rate

≥15%

Vol/OI 4.3% — normal turnover

Multi-Day Persistence

≥2 days

1 day(s) elevated — may be one-day event

OI Build

≥5%

OI change +0.5% (5d) — stable

Sector Relative≥60%

Sector activity percentile 60% — active vs sector

Trade Quality

≥30%

Large trade volume 25% — mixed

Execution Urgency

≥60%

Aggressive execution 30% — patient

Flow Conviction

≥30

Conviction +21 (bullish) — mixed

Liquidity

Can I trade efficiently?

6.0

IlliquidLiquid

Evaluates

bid-ask spreads

, volume depth, and open interest for trade execution quality.

Risk Checks5/8 checks passed

Tradeable Spread

≤5.0%

Spread 5.5% — wide

Adequate OI

≥10,000

OI 394,601 — deep

Active Volume

≥500

Volume 17,049/day — active

Reasonable Cost

≤$0.50

$0.27 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 20% — much tighter than sector

Order Book Depth

≥100 contracts

Depth 187.5 contracts (bid:87.0 ask:100.5) — adequate

Execution Quality

<1.0%

Avg slippage 5.30% — poor

Timing

Is now a good time?

6.7

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -24.5% — contango

IV Percentile Clarity

<30 or >70

IV percentile 11% — buyer opportunity

Event Detection

≥10pts kink

IV kink -5.2pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 3.74 — favors income trades

Expiration Distribution

≥3 expirations

5 liquid expirations — flexible

Event Risk

≥60% (safe)

caution advised: Earnings in 27d (low risk); FOMC in 5d; CPI in 0d (HIGH)

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +21% @ 61% consistency — unclear

Smart Money Timing

≥40 composite score

Score 55 (ITM 20% + inst 25%) — moderate institutional

Directional Strategy Fit

Option Buyers

Long Calls6.6

bullishIV cheap, mixed flow

Long Puts5.9

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put5.1

bullishIV too cheap, mixed flow

Covered Call4.4

bearishIV too cheap, mixed flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Sep 7, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.

More on PEP

PEP gamma walls PEP option chain PEP max pain PEP expected move PEP IV rank PEP put/call ratio PEP options flow