CMCanadian Imperial Bank of Commerce
CM Options Overview
IV is low with bullish flow. Conditions favor option buyers.
REWARDS
RISK ANALYSIS
CM Gamma Walls
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 27.4% — cheap vs history
IV/HV 0.94x — IV ≤ HV
Sector percentile 45% — below sector median
Front/Back 0.91x — contango
Put/Call IV 1.16x — elevated
ATM IV 22.1% — normal range
Effective IV 85.3% (ATM 22.1% + spread 31.6% + bias) — expensive
Total drag 46.94% (spread 31.59% + slippage 15.35%) — high friction
Vega efficiency 5.24 (vega 16.569 / spread 31.59%) — acceptable
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: +56% (strong bullish) — Raw: +49%
|OI skew| 2.6% — balanced
Vol skew +62.8%, OI skew -2.6% — divergent (opposite)
0-DTE 0%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: +0%, ATM: +12%, OTM: +59% — neutral (ITM/ATM divergent)
Sector P/C percentile 11% — very bullish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 0.1x avg — normal
Vol/OI 0.4% — normal turnover
1 day(s) elevated — may be one-day event
OI change +7.5% (5d) — building
Sector activity percentile 15% — quiet vs sector
Large trade volume 0% — mostly retail
Aggressive execution 56% — patient
Conviction +56 (bullish) — strong conviction
Liquidity
Can I trade efficiently?
Evaluates
Spread 31.6% — wide
OI 21,221 — adequate
Volume 86/day — thin
$1.58 to cross — expensive
0 liquid strikes — limited options
Sector spread percentile 59% — neutral vs sector
Depth 80.3 contracts (bid:35.9 ask:44.4) — thin
Avg slippage 15.35% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope -9.4% — contango
IV percentile 27% — buyer opportunity
IV kink -1.7pts — no clear event
θ/ν ratio 483.05 — favors income trades
3 liquid expirations — flexible
safe window: No events detected
Spread ratio 1.00x — stable
Flow +56% @ 79% consistency — STRONG directional (bullish)
Score 30 (ITM 20% + inst 0%) — retail dominated
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 Aug 31, 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.