PEPPepsiCo, Inc.
Options Analysis Report•BEVERAGES
Market Cap $192.3B|NASDAQ
● 2026-06-09$140.68
NEUTRAL
Analysis: 2026-06-08 EOD data
1Y +8.2%YTD -1.1%7D -0.9%
Options Vol
18,705
30D
Implied Move
±7.3%
IV Rank
46%
PEP Options Overview
IV is low with unusual activity. Conditions favor option buyers.
REWARDS
RISK ANALYSIS
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Value
Is IV priced right?
7.5
ExpensiveCheap
Measures whether options are cheap, fair, or rich relative to historical and peer
IV
levels.Risk Checks7/9 checks passed
IV Rank
≤35%IV Rank 12.1% — cheap vs history
IV/HV Ratio
<1.05xIV/HV 1.18x — IV premium over HV
Sector Relative≤50%
Sector percentile 18% — below sector median
Term Structure
<1.1xFront/Back 1.05x — backwardation
Skew Normal
<1.25xPut/Call IV 1.16x — elevated
Absolute IV
<80%ATM IV 25.9% — normal range
Spread-Adjusted Value
<80%Effective IV 41.6% (ATM 25.9% + spread 7.9% + bias) — excellent value
Execution Efficiency
<3.0%Total drag 12.62% (spread 7.86% + slippage 4.76%) — high friction
Vega Efficiency
≥5.0Vega efficiency 50.60 (vega 39.772 / spread 7.86%) — efficient
Sentiment
Bullish or bearish?
5.4
BearishBullish
Analyzes
put/call ratios
, open interest skew
, and flow direction to determine market bias.Risk ChecksNeutral - Weak signal (Conviction: +3%, Raw: +4%)
Flow Direction
|net sentiment| ≥25%Conviction-weighted: +3% (neutral) — Raw: +4%
OI Skew Magnitude
≥15%|OI skew| 25.3% — call-heavy
Volume-OI Alignment
Same sign, |vol skew| ≥10%Vol skew +1.2%, OI skew +25.3% — weak (same direction)
Conviction Quality
≥2/3 conditions0-DTE 0%, far-OTM 15%, avg DTE 30
OI Momentum
|change| ≥3%OI change +0.0% (5d) — stable
Smart Money Flow
|weighted flow| ≥20%ITM: -12%, ATM: +2%, OTM: +6% — neutral (ITM/ATM divergent)
Sector Relative≤40% or ≥60%
Sector P/C percentile 71% — very bearish vs sector
Activity
Unusual activity?
3.1
QuietActive
Detects volume surges,
block trades
, and unusual options activity that may signal moves.Risk Checks1/9 checks passed
Volume Surge
≥1.5xVolume 0.7x avg — normal
Turnover Rate
≥15%Vol/OI 4.4% — normal turnover
Strike Concentration
≥60%Top 3 strikes = 50% — dispersed
Multi-Day Persistence
≥2 days1 day(s) elevated — may be one-day event
OI Build
≥5%OI change -1.2% (5d) — stable
Sector Relative≥60%
Sector activity percentile 66% — active vs sector
Trade Quality
≥30%Large trade volume 9% — mostly retail
Execution Urgency
≥60%Aggressive execution 43% — patient
Flow Conviction
≥30Conviction +3 (bullish) — mixed
Liquidity
Can I trade efficiently?
5.3
IlliquidLiquid
Evaluates
bid-ask spreads
, volume depth, and open interest for trade execution quality.Risk Checks5/8 checks passed
Tradeable Spread
≤5.0%Spread 7.9% — wide
Adequate OI
≥10,000OI 427,953 — deep
Active Volume
≥500Volume 18,705/day — active
Reasonable Cost
≤$0.50$0.39 to cross — cheap
Strike Coverage
≥5 strikes0 liquid strikes — limited options
Sector Relative≤40%
Sector spread percentile 20% — much tighter than sector
Order Book Depth
≥100 contractsDepth 117.30000000000001 contracts (bid:57.7 ask:59.6) — adequate
Execution Quality
<1.0%Avg slippage 4.76% — poor
Timing
Is now a good time?
6.5
RiskyFavorable
Considers earnings proximity,
time decay
, and event calendar for optimal entry timing.Risk Checks5/9 checks passed
Term Structure Clarity
|slope| ≥5%Slope +5.0% — backwardation
IV Percentile Clarity
<30 or >70IV percentile 12% — buyer opportunity
Event Detection
≥10pts kinkIV kink 0.6pts — no clear event
Theta/Vega Clarity
<0.5 or >2.0θ/ν ratio 1287.11 — favors income trades
Expiration Distribution
≥3 expirations5 liquid expirations — flexible
Event Risk
≥60% (safe)caution advised: Earnings in 30d (low risk); CPI in 1d (HIGH)
Spread Momentum
<1.2 ratioSpread ratio 1.00x — stable
Flow Momentum
≥25% strength + ≥50% consistencyFlow +3% @ 51% consistency — unclear
Smart Money Timing
≥40 composite scoreScore 39 (ITM 20% + inst 9%) — retail dominated
Directional Strategy Fit
Option Buyers
Long Calls6.3
bullishIV cheap, mixed flow
Long Puts6.0
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put4.7
bullishIV too cheap, mixed flow
Covered Call4.4
bearishIV too cheap, mixed flow
For educational purposes only. Not investment advice.