Options/C

CCitigroup Inc.

Options Analysis Report•NATIONAL COMMERCIAL BANKS

Market Cap $232.3B|NYSE

● 2026-09-11$138.50

NEUTRAL

Analysis: 2026-09-10 EOD data

1Y +40.2%YTD +16.7%7D +0.6%

Options Vol

25,958

30D

Implied Move

±8.3%

IV Rank

16%

C Options Overview

Mixed signals. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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C Gamma Walls

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C Hedge Radar

Neutral

Full Hedge Radar

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

Protection is priced in the cheap band (3.25) — downside puts carry 0.8 IV points more than at-the-money, and implied vol sits in the 16th percentile of its own past year, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (4.35): it is trading 4% above its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

3.25/ 10cheap

Basis: cross_sectional

Fragility

4.35/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

5.6

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 43.2% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.42x — IV premium over HV

Sector Relative≤50%

Sector percentile 69% — 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 31.2% — normal range

Spread-Adjusted Value

<80%

Effective IV 40.9% (ATM 31.2% + spread 4.8% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 7.47% (spread 4.85% + slippage 2.62%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 15.41 (vega 7.475 / spread 4.85%) — efficient

Sentiment

Bullish or bearish?

6.1

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBullish - Moderate signal (Conviction: +15%, Raw: +2%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +15% (bullish) — Raw: +2%

OI Skew Magnitude

≥15%

|OI skew| 14.4% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +33.9%, OI skew -14.4% — divergent (opposite)

Conviction Quality

≥2/3 conditions

0-DTE 28%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +30%, ATM: -14%, OTM: +7% — bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 33% — bullish vs sector

Activity

Unusual activity?

3.0

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 2.4% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +2.4% (5d) — building

Sector Relative≥60%

Sector activity percentile 53% — neutral vs sector

Trade Quality

≥30%

Large trade volume 25% — mixed

Execution Urgency

≥60%

Aggressive execution 36% — patient

Flow Conviction

≥30

Conviction +15 (bullish) — mixed

Liquidity

Can I trade efficiently?

6.2

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks5/8 checks passed

Tradeable Spread

≤5.0%

Spread 4.8% — acceptable

Adequate OI

≥10,000

OI 1,063,010 — deep

Active Volume

≥500

Volume 25,958/day — active

Reasonable Cost

≤$0.50

$0.24 to cross — cheap

Strike Coverage

≥5 strikes

2 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 70% — wider than sector

Order Book Depth

≥100 contracts

Depth 154.1 contracts (bid:75.6 ask:78.5) — adequate

Execution Quality

<1.0%

Avg slippage 2.62% — poor

Timing

Is now a good time?

5.4

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 43% — neutral

Event Detection

≥10pts kink

IV kink 0.2pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 50.95 — 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 +15% @ 58% consistency — unclear

Smart Money Timing

≥40 composite score

Score 55 (ITM 20% + inst 25%) — moderate institutional

Directional Strategy Fit

Option Buyers

Long Calls5.8

bullishIV fair, bullish flow

Long Puts5.0

bearishIV fair, bullish flow

Premium Sellers

Cash-Secured Put5.5

bullishIV fair, bullish flow

Covered Call4.7

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 C

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