Options/BBWI

BBWIBath & Body Works, Inc.

Options Analysis Report•RETAIL-RETAIL STORES, NEC

Market Cap $3.5B|NYSE

● 2026-09-11$17.45

BULLISH

Analysis: 2026-09-10 EOD data

1Y -37.4%YTD -15.9%7D -10.6%

Options Vol

8,296

30D

Implied Move

±14.8%

IV Rank

14%

BBWI Options Overview

IV is elevated with bullish flow and unusual activity. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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BBWI Gamma Walls

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BBWI Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where BBWI sits on protection cost vs. fragility today.

Protection is priced in the cheap band (2.55) — near-dated vol is priced 4% below far-dated, and downside puts carry 1.5 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 (5.05): it is trading 0% below its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

2.55/ 10cheap

Basis: cross_sectional

Fragility

5.05/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

6.0

ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed

IV Rank

≤35%

IV Rank 77.2% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 0.88x — IV ≤ HV

Sector Relative≤50%

Sector percentile 81% — above sector median

Term Structure

<1.1x

Front/Back 0.96x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 55.1% — normal range

Spread-Adjusted Value

<80%

Effective IV 80.9% (ATM 55.1% + spread 12.9% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 17.66% (spread 12.90% + slippage 4.76%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 5.88 (vega 7.586 / spread 12.90%) — acceptable

Sentiment

Bullish or bearish?

9.1

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bullish - Strong signal (Conviction: +79%, Raw: +75%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +79% (strong bullish) — Raw: +75%

OI Skew Magnitude

≥15%

|OI skew| 11.8% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +24.6%, OI skew +11.8% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 20%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +55%, ATM: +86%, OTM: +50% — strong bullish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 33% — bullish vs sector

Activity

Unusual activity?

5.4

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks3/8 checks passed

Volume Surge

≥1.5x

Volume 1.1x avg — normal

Turnover Rate

≥15%

Vol/OI 12.4% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -3.4% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 89% — very active vs sector

Trade Quality

≥30%

Large trade volume 60% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 23% — patient

Flow Conviction

≥30

Conviction +79 (bullish) — strong conviction

Liquidity

Can I trade efficiently?

3.5

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 12.9% — wide

Adequate OI

≥10,000

OI 66,871 — deep

Active Volume

≥500

Volume 8,296/day — active

Reasonable Cost

≤$0.50

$0.65 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 89% — much wider than sector

Order Book Depth

≥100 contracts

Depth 594.0 contracts (bid:400.8 ask:193.2) — deep

Execution Quality

<1.0%

Avg slippage 4.76% — poor

Timing

Is now a good time?

7.8

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -4.2% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 77% — seller opportunity

Event Detection

≥10pts kink

IV kink 50.4pts — event priced

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 1685.80 — favors income trades

Expiration Distribution

≥3 expirations

5 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 +79% @ 89% consistency — STRONG directional (bullish)

Smart Money Timing

≥40 composite score

Score 90 (ITM 20% + inst 60%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls7.8

bullishIV fair, bullish flow

Long Puts4.1

bearishIV fair, bullish flow

Premium Sellers

Cash-Secured Put6.3

bullishIV fair, bullish flow

Covered Call3.4

bearishIV fair, 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.

More on BBWI

BBWI gamma walls BBWI option chain BBWI max pain BBWI expected move BBWI IV rank BBWI put/call ratio BBWI options flow