Options/FSLY

FSLYFastly, Inc. Class A Common Stock

Options Analysis Report•SERVICES-PREPACKAGED SOFTWARE

Market Cap $3.6B|NASDAQ

● 2026-09-11$22.71

NEUTRAL

Analysis: 2026-09-10 EOD data

1Y +187.8%YTD +122.9%7D +10.3%

Options Vol

9,666

30D

Implied Move

±26.8%

IV Rank

28%

FSLY Options Overview

IV is elevated. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

Learn

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FSLY Gamma Walls

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Value

Is IV priced right?

3.7

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks3/9 checks passed

IV Rank

≤35%

IV Rank 94.0% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.00x — IV ≤ HV

Sector Relative≤50%

Sector percentile 94% — above sector median

Term Structure

<1.1x

Front/Back 0.99x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 92.1% — crisis-level IV

Spread-Adjusted Value

<80%

Effective IV 127.4% (ATM 92.1% + spread 17.6% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 22.47% (spread 17.65% + slippage 4.82%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 1.26 (vega 2.223 / spread 17.65%) — spread drag

Sentiment

Bullish or bearish?

5.8

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBullish - Moderate signal (Conviction: +10%, Raw: +12%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +10% (bullish) — Raw: +12%

OI Skew Magnitude

≥15%

|OI skew| 9.0% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +9.9%, OI skew +9.0% — 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: +4%, ATM: +7%, OTM: +13% — neutral (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 61% — bearish vs sector

Activity

Unusual activity?

4.0

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed

Volume Surge

≥1.5x

Volume 0.9x avg — normal

Turnover Rate

≥15%

Vol/OI 4.2% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +14.0% (5d) — building

Sector Relative≥60%

Sector activity percentile 71% — active vs sector

Trade Quality

≥30%

Large trade volume 20% — mixed

Execution Urgency

≥60%

Aggressive execution 21% — patient

Flow Conviction

≥30

Conviction +10 (bullish) — mixed

Liquidity

Can I trade efficiently?

3.5

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 17.6% — wide

Adequate OI

≥10,000

OI 232,192 — deep

Active Volume

≥500

Volume 9,666/day — active

Reasonable Cost

≤$0.50

$0.88 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 96% — much wider than sector

Order Book Depth

≥100 contracts

Depth 570.9 contracts (bid:334.3 ask:236.6) — deep

Execution Quality

<1.0%

Avg slippage 4.82% — poor

Timing

Is now a good time?

5.8

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks5/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -0.7% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 94% — seller opportunity

Event Detection

≥10pts kink

IV kink -0.3pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 43.09 — favors income trades

Expiration Distribution

≥3 expirations

4 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 +10% @ 55% consistency — unclear

Smart Money Timing

≥40 composite score

Score 50 (ITM 20% + inst 20%) — moderate institutional

Directional Strategy Fit

Option Buyers

Long Calls4.8

bullishIV expensive, mixed flow

Long Puts4.2

bearishIV expensive, mixed flow

Premium Sellers

Cash-Secured Put5.5

bullishIV rich premium, mixed flow

Covered Call4.9

bearishIV rich premium, 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 FSLY

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