AXPAmerican Express Company
AXP Options Overview
IV is low. No clear edge detected.
REWARDS
RISK ANALYSIS
AXP Gamma Walls
AXP Hedge Radar
Neither score is at an extreme today. Neither axis is a forecast — this is where AXP sits on protection cost vs. fragility today.
Protection is priced in the cheap band (2.91) — near-dated vol is priced 9% below far-dated, and downside puts carry 0.9 IV points more than at-the-money, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (5.92): it is trading 4% below its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 25.9% — cheap vs history
IV/HV 1.60x — IV premium over HV
Sector percentile 49% — below sector median
Front/Back 0.91x — contango
Put/Call IV 1.16x — elevated
ATM IV 27.3% — normal range
Effective IV 36.3% (ATM 27.3% + spread 4.5% + bias) — excellent value
Total drag 9.03% (spread 4.52% + slippage 4.51%) — high friction
Vega efficiency 76.12 (vega 34.406 / spread 4.52%) — efficient
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: -34% (strong bearish) — Raw: -37%
|OI skew| 22.9% — call-heavy
Vol skew +30.5%, OI skew +22.9% — aligned
0-DTE 34%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: +44%, ATM: -15%, OTM: -56% — bullish (ITM/ATM divergent)
Sector P/C percentile 37% — bullish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 1.5x avg — normal
Vol/OI 8.4% — normal turnover
1 day(s) elevated — may be one-day event
OI change -3.1% (5d) — unwinding
Sector activity percentile 91% — very active vs sector
Large trade volume 58% — heavy institutional
Aggressive execution 23% — patient
Conviction -34 (bearish) — moderate
Liquidity
Can I trade efficiently?
Evaluates
Spread 4.5% — acceptable
OI 255,862 — deep
Volume 21,429/day — active
$0.23 to cross — cheap
3 liquid strikes — limited options
Sector spread percentile 51% — neutral vs sector
Depth 100.7 contracts (bid:42.5 ask:58.2) — adequate
Avg slippage 4.51% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope -9.4% — contango
IV percentile 26% — buyer opportunity
IV kink -1.8pts — no clear event
θ/ν ratio 221.83 — favors income trades
5 liquid expirations — flexible
caution advised: FOMC in 5d; CPI in 0d (HIGH)
Spread ratio 1.00x — stable
Flow -34% @ 67% consistency — moderate (bearish)
Score 88 (ITM 20% + inst 58%) — HIGH institutional
Directional Strategy Fit
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.