Options/ALDX

ALDXAldeyra Therapeutics, Inc.

Options Analysis Report•PHARMACEUTICAL PREPARATIONS

Market Cap $90M|NASDAQ

● 2026-08-31$1.49

BULLISH

Analysis: 2026-08-28 EOD data

1Y -74.2%YTD -68.2%7D -2.3%

Options Vol

30D

Implied Move

±28.7%

IV Rank

ALDX Options Overview

IV is elevated with bullish flow. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

Learn

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ALDX Gamma Walls

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Value

Is IV priced right?

3.3

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks2/9 checks passed

IV Rank

≤35%

IV Rank 95.9% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 2.10x — IV premium over HV

Sector Relative≤50%

Sector percentile 88% — above sector median

Term Structure

<1.1x

Front/Back 1.00x — flat

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 100.0% — crisis-level IV

Spread-Adjusted Value

<80%

Effective IV 212.7% (ATM 100.0% + spread 56.4% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 76.50% (spread 56.37% + slippage 20.13%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 0.00 (vega 0.000 / spread 56.37%) — spread drag

Sentiment

Bullish or bearish?

5.2

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bearish - Strong signal (Conviction: -37%, Raw: -43%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -37% (strong bearish) — Raw: -43%

OI Skew Magnitude

≥15%

|OI skew| 78.2% — call-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +44.0%, OI skew +78.2% — 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: -33%, ATM: +0%, OTM: -100% — bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 38% — bullish vs sector

Activity

Unusual activity?

2.3

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed

Volume Surge

≥1.5x

Volume 0.0x avg — normal

Turnover Rate

≥15%

Vol/OI 0.2% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +2.9% (5d) — building

Sector Relative≥60%

Sector activity percentile 9% — quiet vs sector

Trade Quality

≥30%

Large trade volume 0% — mostly retail

Execution Urgency

≥60%

Aggressive execution 14% — patient

Flow Conviction

≥30

Conviction -37 (bearish) — moderate

Liquidity

Can I trade efficiently?

2.5

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks2/8 checks passed

Tradeable Spread

≤5.0%

Spread 56.4% — wide

Adequate OI

≥10,000

OI 14,370 — adequate

Active Volume

≥500

Volume 25/day — thin

Reasonable Cost

≤$0.50

$2.82 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 95% — much wider than sector

Order Book Depth

≥100 contracts

Depth 602.8 contracts (bid:573.3 ask:29.5) — deep

Execution Quality

<1.0%

Avg slippage 20.13% — poor

Timing

Is now a good time?

5.7

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks4/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +0.0% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 96% — seller opportunity

Event Detection

≥10pts kink

IV kink 0.0pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 1.00 — favors mixed

Expiration Distribution

≥3 expirations

1 liquid expirations — limited

Event Risk

≥60% (safe)

safe window: No events detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow -37% @ 69% consistency — moderate (bearish)

Smart Money Timing

≥40 composite score

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

Directional Strategy Fit

Option Buyers

Long Calls5.1

bullishIV expensive, mixed flow

Long Puts4.1

bearishIV expensive, mixed flow

Premium Sellers

Cash-Secured Put5.2

bullishIV rich premium, mixed flow

Covered Call5.0

bearishIV rich premium, mixed flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Aug 31, 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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