BAXBaxter International Inc.
BAX Options Overview
IV is elevated. Conditions favor premium sellers.
REWARDS
RISK ANALYSIS
BAX Gamma Walls
BAX Hedge Radar
Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where BAX sits on protection cost vs. fragility today.
Protection is priced in the cheap band (3.27) — near-dated vol is priced 22% below far-dated, and implied vol sits in the 4th percentile of its own past year, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads resilient (3.43): its realized-vol regime is contracting, and it is trading 0% above its hedge wall on a wall graded HIGH for reliability.
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 82.5% — elevated vs history
IV/HV 1.85x — IV premium over HV
Sector percentile 89% — above sector median
Front/Back 1.06x — backwardation
Put/Call IV 1.16x — elevated
ATM IV 45.4% — normal range
Effective IV 83.1% (ATM 45.4% + spread 18.8% + bias) — expensive
Total drag 22.62% (spread 18.84% + slippage 3.78%) — high friction
Vega efficiency 1.03 (vega 1.933 / spread 18.84%) — spread drag
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: -18% (bearish) — Raw: -17%
|OI skew| 28.9% — call-heavy
Vol skew -15.8%, OI skew +28.9% — divergent (opposite)
0-DTE 33%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: +4%, ATM: +5%, OTM: -38% — neutral (ITM/ATM aligned)
Sector P/C percentile 75% — very bearish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 0.5x avg — normal
Vol/OI 1.6% — normal turnover
1 day(s) elevated — may be one-day event
OI change -1.4% (5d) — stable
Sector activity percentile 24% — below sector avg
Large trade volume 19% — mixed
Aggressive execution 17% — patient
Conviction -18 (bearish) — mixed
Liquidity
Can I trade efficiently?
Evaluates
Spread 18.8% — wide
OI 101,802 — deep
Volume 1,587/day — adequate
$0.94 to cross — expensive
0 liquid strikes — limited options
Sector spread percentile 90% — much wider than sector
Depth 118.6 contracts (bid:50.5 ask:68.1) — adequate
Avg slippage 3.78% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope +6.0% — backwardation
IV percentile 82% — seller opportunity
IV kink 6.5pts — no clear event
θ/ν ratio 130.63 — favors income trades
3 liquid expirations — flexible
caution advised: FOMC in 5d; CPI in 0d (HIGH)
Spread ratio 1.00x — stable
Flow -18% @ 59% consistency — unclear
Score 49 (ITM 20% + inst 19%) — moderate 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.