PEP Implied Volatility
PEP $135.21 · Updated Oct 26, 4:00 PM ET
PEP at-the-money implied volatility is 25.5% for Oct 30, 2026 (4 days out). For Nov 27, 2026 it is 20.3%. 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 | 25.5% |
| Nov 6, 2026 | 11 | 135 | 24.5% |
| Nov 13, 2026 | 18 | 135 | 21.0% |
| Nov 20, 2026 | 25 | 135 | 22.1% |
| Nov 27, 2026 | 32 | 135 | 20.3% |
| Dec 4, 2026 | 39 | 135 | 21.7% |
| Dec 18, 2026 | 53 | 135 | 22.1% |
| Jan 15, 2027 | 81 | 135 | 21.8% |
| Mar 19, 2027 | 144 | 135 | 23.4% |
| Apr 16, 2027 | 172 | 135 | 24.0% |
SKEW, OCT 30, 2026
| Strike | Call IV | Put IV |
|---|---|---|
| 127 | 52.7% | 33.5% |
| 128 | 34.8% | 29.6% |
| 129 | 27.6% | 28.7% |
| 130 | 46.5% | 26.6% |
| 131 | 30.8% | 25.1% |
| 132 | 21.2% | 26.1% |
| 133 | 22.2% | 27.4% |
| 134 | 26.8% | 25.6% |
| 135 | 24.5% | 26.6% |
| 136 | 23.7% | 21.9% |
| 137 | 24.3% | 25.2% |
| 138 | 24.6% | 30.2% |
| 139 | 24.4% | 35.6% |
| 140 | 24.7% | 0.0% |
| 141 | 25.3% | 43.9% |
| 142 | 24.4% | 31.9% |
| 143 | 24.5% | 35.5% |
How this is calculated: Implied Volatility methodology