ELFe.l.f. Beauty, Inc.
ELF Options Overview
IV is elevated with unusual activity. Conditions favor premium sellers.
REWARDS
RISK ANALYSIS
ELF Gamma Walls
ELF Hedge Radar
Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where ELF sits on protection cost vs. fragility today.
Protection is priced in the cheap band (2.06) — downside puts carry 0.6 IV points more than at-the-money, and implied vol sits in the 4th percentile of its own past year, measured against this name's own rolling 21-trading-day realized moves (483 overlapping windows). Fragility reads resilient (2.5): it is trading 16% above its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 81.1% — elevated vs history
IV/HV 1.17x — IV premium over HV
Sector percentile 91% — above sector median
Front/Back 0.96x — contango
Put/Call IV 1.16x — elevated
ATM IV 60.2% — normal range
Effective IV 83.0% (ATM 60.2% + spread 11.4% + bias) — expensive
Total drag 15.17% (spread 11.39% + slippage 3.78%) — high friction
Vega efficiency 4.75 (vega 5.413 / spread 11.39%) — spread drag
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: -14% (bearish) — Raw: -14%
|OI skew| 18.3% — call-heavy
Vol skew -29.7%, OI skew +18.3% — divergent (opposite)
0-DTE 16%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: -18%, ATM: -2%, OTM: -25% — bearish (ITM/ATM aligned)
Sector P/C percentile 85% — very bearish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 0.8x avg — normal
Vol/OI 5.6% — normal turnover
1 day(s) elevated — may be one-day event
OI change -1.5% (5d) — stable
Sector activity percentile 83% — very active vs sector
Large trade volume 2% — mostly retail
Aggressive execution 16% — patient
Conviction -14 (bearish) — mixed
Liquidity
Can I trade efficiently?
Evaluates
Spread 11.4% — wide
OI 100,364 — deep
Volume 5,602/day — active
$0.57 to cross — expensive
0 liquid strikes — limited options
Sector spread percentile 95% — much wider than sector
Depth 71.6 contracts (bid:27.7 ask:43.9) — thin
Avg slippage 3.78% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope -4.4% — flat/unclear
IV percentile 81% — seller opportunity
IV kink -0.2pts — no clear event
θ/ν ratio 23.39 — favors income trades
5 liquid expirations — flexible
caution advised: FOMC in 5d; CPI in 0d (HIGH)
Spread ratio 1.00x — stable
Flow -14% @ 57% consistency — unclear
Score 32 (ITM 20% + inst 2%) — 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 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.