Option Greeks measure how Sundial Growers Inc (SNDL) option prices respond to changes in the stock price (delta and gamma), the passage of time (theta), implied volatility (vega), and interest rates (rho). These charts plot each Greek by strike, so you can see where an expiration's price risk, time decay, and volatility exposure are concentrated. SNDL implied volatility is in the lower part of its one-year range, which keeps delta and gamma in a narrower range of strikes than usual.
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SNDL Option Greeks FAQ
What are option Greeks?
Option Greeks measure how an option's price responds to changes in the stock price (delta and gamma), time (theta), implied volatility (vega), and interest rates (rho).
How do I read the SNDL Greeks charts?
Gamma, theta, and vega are largest for strikes near the Sundial Growers stock price and shrink for strikes far above or below it. Theta grows as expiration gets closer, while vega is larger for expirations further out. Call delta runs from 0 to 1 and put delta from -1 to 0, near 0.50 and -0.50 at the money, and roughly estimates the chance that an option finishes in the money.
How does implied volatility affect SNDL's Greeks?
Sundial Growers IV rank is 23, so implied volatility is in the lower part of its one-year range. Higher implied volatility raises option premiums and daily time decay (theta), and spreads delta and gamma across a wider range of strikes. Over the past year, 30-day implied volatility ranged from 20.5% to 206.8%. See the SNDL implied volatility history for a longer view.
How much gamma and delta do SNDL options carry in total?
Across all open Sundial Growers options on Nov 4, 2026, net gamma exposure was $36.58K and net delta exposure was $1.12M per 1% move in the stock. The SNDL gamma exposure chart shows where that gamma sits by strike.
What is Sundial Growers Inc?
SNDL Inc is a private-sector liquor and cannabis retailer in Canada with retail banners that include Ace Liquor, Wine and Beyond, Liquor Depot, Value Buds, and Spiritleaf.