Options/AJG

AJGArthur J. Gallagher & Co.

Options Analysis Report•INSURANCE AGENTS, BROKERS & SERVICE

Market Cap $62.4B|NYSE

● 2026-09-11$243.31

BULLISH

Analysis: 2026-09-10 EOD data

1Y -19.1%YTD -5.0%7D -7.4%

Options Vol

309

30D

Implied Move

±8.6%

IV Rank

20%

AJG Options Overview

bullish flow. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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AJG Gamma Walls

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AJG Hedge Radar

No action needed

Full Hedge Radar

Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where AJG sits on protection cost vs. fragility today.

Protection is priced in the cheap band (2.83) — near-dated vol is priced 8% below far-dated, and downside puts carry 0.8 IV points more than at-the-money, measured against this name's own rolling 15-trading-day realized moves (489 overlapping windows). Fragility reads resilient (2.5): it is trading 15% above its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.

Protection cost

2.83/ 10cheap

Basis: cross_sectional

Fragility

2.50/ 10resilient

Basis: per_ticker

Value

Is IV priced right?

6.4

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 45.8% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.00x — IV ≤ HV

Sector Relative≤50%

Sector percentile 71% — above sector median

Term Structure

<1.1x

Front/Back 0.99x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 32.0% — normal range

Spread-Adjusted Value

<80%

Effective IV 62.1% (ATM 32.0% + spread 15.1% + bias) — good value

Execution Efficiency

<3.0%

Total drag 20.25% (spread 15.05% + slippage 5.20%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 37.03 (vega 55.725 / spread 15.05%) — efficient

Sentiment

Bullish or bearish?

7.1

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBullish - Strong signal (Conviction: +18%, Raw: -9%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +18% (bullish) — Raw: -9%

OI Skew Magnitude

≥15%

|OI skew| 26.9% — call-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +72.8%, OI skew +26.9% — aligned

Conviction Quality

≥2/3 conditions

0-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: +0%, ATM: -36%, OTM: -7% — bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 12% — very bullish vs sector

Activity

Unusual activity?

2.8

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed

Volume Surge

≥1.5x

Volume 0.7x avg — normal

Turnover Rate

≥15%

Vol/OI 2.1% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +4.4% (5d) — building

Sector Relative≥60%

Sector activity percentile 42% — neutral vs sector

Trade Quality

≥30%

Large trade volume 0% — mostly retail

Execution Urgency

≥60%

Aggressive execution 25% — patient

Flow Conviction

≥30

Conviction +18 (bullish) — mixed

Liquidity

Can I trade efficiently?

2.6

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks1/8 checks passed

Tradeable Spread

≤5.0%

Spread 15.1% — wide

Adequate OI

≥10,000

OI 14,889 — adequate

Active Volume

≥500

Volume 309/day — thin

Reasonable Cost

≤$0.50

$0.75 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 72% — wider than sector

Order Book Depth

≥100 contracts

Depth 33.7 contracts (bid:16.3 ask:17.4) — thin

Execution Quality

<1.0%

Avg slippage 5.20% — poor

Timing

Is now a good time?

5.2

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks3/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -0.6% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 46% — neutral

Event Detection

≥10pts kink

IV kink -0.3pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 672.20 — favors income trades

Expiration Distribution

≥3 expirations

4 liquid expirations — flexible

Event Risk

≥60% (safe)

caution advised: FOMC in 5d; CPI in 0d (HIGH)

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +18% @ 59% consistency — unclear

Smart Money Timing

≥40 composite score

Score 30 (ITM 20% + inst 0%) — retail dominated

Directional Strategy Fit

Option Buyers

Long Calls6.8

bullishIV cheap, bullish flow

Long Puts4.4

bearishIV cheap, bullish flow

Premium Sellers

Cash-Secured Put4.9

bullishIV too cheap, bullish flow

Covered Call3.4

bearishIV too cheap, bullish 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.

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