DAY
DAY Options Overview
IV is low with unusual activity. Conditions favor option buyers.
REWARDS
RISK ANALYSIS
DAY Gamma Walls
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 3.0% — cheap vs history
IV/HV 2.36x — IV premium over HV
Sector percentile 0% — below sector median
Front/Back 2.16x — backwardation
Put/Call IV 1.16x — elevated
ATM IV 13.5% — normal range
Effective IV 15.0% (ATM 13.5% + spread 0.8% + bias) — excellent value
Total drag 0.77% (spread 0.77% + slippage 0.00%) — minimal drag
Vega efficiency 0.00 (vega 0.000 / spread 0.77%) — spread drag
Sentiment
Bullish or bearish?
Analyzes
P/C 1.26 — balanced (buy/sell unknown)
|OI skew| 58.7% — put-heavy
Vol skew -11.6%, OI skew -58.7% — aligned
0-DTE 0%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
Sector P/C percentile 85% — very bearish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 5.3x avg — hot
Vol/OI 59.7% — high turnover
Top 3 strikes = 50% — dispersed
2 day(s) elevated — sustained
OI change -14.9% (5d) — unwinding
Sector activity percentile 100% — very active vs sector
Large trade volume 0% — mostly retail
Aggressive execution 0% — patient
Conviction +0 (neutral) — mixed
Liquidity
Can I trade efficiently?
Evaluates
Spread 0.8% — tight
OI 47,825 — adequate
Volume 28,557/day — active
$0.04 to cross — cheap
10 liquid strikes — good coverage
Sector spread percentile 43% — neutral vs sector
Depth 0 contracts (bid:0 ask:0) — thin
Avg slippage 0.00% — excellent
Timing
Is now a good time?
Considers earnings proximity,
Slope +116.2% — backwardation
IV percentile 3% — buyer opportunity
IV kink 4.3pts — no clear event
θ/ν ratio 1.00 — favors mixed
3 liquid expirations — flexible
caution advised: No earnings detected; CPI in 2d (HIGH)
Spread ratio 1.00x — stable
Flow +0% @ 50% consistency — unclear
Score 60 (ITM 20% + inst 30%) — HIGH 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 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.