PEP Implied Volatility
PEP $135.46 · Updated Oct 26, 4:00 PM ET
PEP at-the-money implied volatility is 29.1% for Oct 30, 2026 (4 days out). For Nov 27, 2026 it is 26.6%. Near-term volatility is priced above longer-dated volatility, an inverted term structure that usually accompanies an event or stress.
TERM STRUCTURE (ATM IV)
| Expiration | DTE | ATM strike | ATM IV |
|---|---|---|---|
| Oct 30, 2026 | 4 | 135 | 29.1% |
| Nov 6, 2026 | 11 | 135 | 28.2% |
| Nov 13, 2026 | 18 | 135 | 25.6% |
| Nov 20, 2026 | 25 | 135 | 24.4% |
| Nov 27, 2026 | 32 | 135 | 26.6% |
| Dec 4, 2026 | 39 | 135 | 31.0% |
| Dec 18, 2026 | 53 | 135 | 24.7% |
| Jan 15, 2027 | 81 | 135 | 23.0% |
| Mar 19, 2027 | 144 | 135 | 26.7% |
| Apr 16, 2027 | 172 | 135 | 28.1% |
SKEW, OCT 30, 2026
| Strike | Call IV | Put IV |
|---|---|---|
| 127 | 57.2% | 36.1% |
| 128 | 86.8% | 33.2% |
| 129 | 81.5% | 29.6% |
| 130 | 74.1% | 27.4% |
| 131 | 68.5% | 27.1% |
| 132 | 64.6% | 27.1% |
| 133 | 34.3% | 30.4% |
| 134 | 35.8% | 28.9% |
| 135 | 28.1% | 30.1% |
| 136 | 26.2% | 25.8% |
| 137 | 27.1% | 26.7% |
| 138 | 27.1% | 43.4% |
| 139 | 26.2% | 49.5% |
| 140 | 26.9% | 56.3% |
| 141 | 28.4% | 69.0% |
| 142 | 28.5% | 64.9% |
| 143 | 27.9% | 83.0% |
How this is calculated: Implied Volatility methodology