Options/CAT

CATCaterpillar Inc.

Options Analysis Report•CONSTRUCTION MACHINERY & EQUIP

Market Cap $370.0B|NYSE

● 2026-09-11$805.00

NEUTRAL

Analysis: 2026-09-10 EOD data

1Y +86.6%YTD +34.5%7D -1.1%

Options Vol

17,198

30D

Implied Move

±10.4%

IV Rank

15%

CAT Options Overview

Mixed signals. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

Learn

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CAT Gamma Walls

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CAT Hedge Radar

No action needed

Full Hedge Radar

Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where CAT sits on protection cost vs. fragility today.

Protection is priced in the cheap band (2.56) — near-dated vol is priced 9% below far-dated, and downside puts carry 0.8 IV points more than at-the-money, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads resilient (3.66): its realized-vol regime is contracting, and it is trading 1% below its hedge wall on a wall graded HIGH for reliability.

Protection cost

2.56/ 10cheap

Basis: cross_sectional

Fragility

3.66/ 10resilient

Basis: per_ticker

Value

Is IV priced right?

5.0

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 68.5% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.32x — IV premium over HV

Sector Relative≤50%

Sector percentile 78% — above sector median

Term Structure

<1.1x

Front/Back 0.91x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 39.1% — normal range

Spread-Adjusted Value

<80%

Effective IV 57.6% (ATM 39.1% + spread 9.2% + bias) — good value

Execution Efficiency

<3.0%

Total drag 19.50% (spread 9.24% + slippage 10.26%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 67.32 (vega 62.205 / spread 9.24%) — efficient

Sentiment

Bullish or bearish?

4.6

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksNeutral - Weak signal (Conviction: -5%, Raw: -10%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -5% (neutral) — Raw: -10%

OI Skew Magnitude

≥15%

|OI skew| 5.8% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -3.9%, OI skew -5.8% — weak (same direction)

Conviction Quality

≥2/3 conditions

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

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +9%, ATM: -12%, OTM: -11% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 59% — bearish vs sector

Activity

Unusual activity?

2.9

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed

Volume Surge

≥1.5x

Volume 0.6x avg — normal

Turnover Rate

≥15%

Vol/OI 5.9% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -3.0% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 72% — active vs sector

Trade Quality

≥30%

Large trade volume 4% — mostly retail

Execution Urgency

≥60%

Aggressive execution 14% — patient

Flow Conviction

≥30

Conviction -5 (bearish) — mixed

Liquidity

Can I trade efficiently?

4.5

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 9.2% — wide

Adequate OI

≥10,000

OI 292,483 — deep

Active Volume

≥500

Volume 17,198/day — active

Reasonable Cost

≤$0.50

$0.46 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 80% — much wider than sector

Order Book Depth

≥100 contracts

Depth 84.30000000000001 contracts (bid:36.2 ask:48.1) — thin

Execution Quality

<1.0%

Avg slippage 10.26% — poor

Timing

Is now a good time?

6.5

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks4/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -9.1% — contango

IV Percentile Clarity

<30 or >70

IV percentile 68% — neutral

Event Detection

≥10pts kink

IV kink -2.5pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 79.07 — 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 -5% @ 52% consistency — unclear

Smart Money Timing

≥40 composite score

Score 34 (ITM 20% + inst 4%) — retail dominated

Directional Strategy Fit

Option Buyers

Long Calls5.0

bullishIV fair, mixed flow

Long Puts5.3

bearishIV fair, mixed flow

Premium Sellers

Cash-Secured Put5.0

bullishIV fair, mixed flow

Covered Call5.3

bearishIV fair, 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 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 CAT

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