Options/IMO

IMOImperial Oil Limited

Options Analysis Report•PETROLEUM REFINING

Market Cap $63.3B|XASE

● 2026-09-11$130.81

NEUTRAL

Analysis: 2026-09-10 EOD data

1Y +42.4%YTD +46.8%7D +1.7%

Options Vol

30D

Implied Move

±8.6%

IV Rank

IMO Options Overview

Mixed signals. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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IMO Gamma Walls

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Value

Is IV priced right?

7.7

ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed

IV Rank

≤35%

IV Rank 44.8% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.30x — IV premium over HV

Sector Relative≤50%

Sector percentile 26% — below 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 32.2% — normal range

Spread-Adjusted Value

<80%

Effective IV 58.7% (ATM 32.2% + spread 13.2% + bias) — good value

Execution Efficiency

<3.0%

Total drag 17.64% (spread 13.24% + slippage 4.40%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 17.14 (vega 22.700 / spread 13.24%) — efficient

Sentiment

Bullish or bearish?

4.2

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bearish - Moderate signal (Conviction: -43%, Raw: -38%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -43% (strong bearish) — Raw: -38%

OI Skew Magnitude

≥15%

|OI skew| 7.7% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +50.0%, OI skew -7.7% — divergent (opposite)

Conviction Quality

≥2/3 conditions

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

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -33%, ATM: -53%, OTM: +0% — strong bearish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 46% — neutral vs sector

Activity

Unusual activity?

4.0

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks3/8 checks passed

Volume Surge

≥1.5x

Volume 0.5x avg — normal

Turnover Rate

≥15%

Vol/OI 3.7% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +5.2% (5d) — building

Sector Relative≥60%

Sector activity percentile 68% — active vs sector

Trade Quality

≥30%

Large trade volume 0% — mostly retail

Execution Urgency

≥60%

Aggressive execution 13% — patient

Flow Conviction

≥30

Conviction -43 (bearish) — moderate

Liquidity

Can I trade efficiently?

2.6

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks0/8 checks passed

Tradeable Spread

≤5.0%

Spread 13.2% — wide

Adequate OI

≥10,000

OI 1,187 — thin

Active Volume

≥500

Volume 44/day — thin

Reasonable Cost

≤$0.50

$0.66 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 52% — neutral vs sector

Order Book Depth

≥100 contracts

Depth 30.299999999999997 contracts (bid:8.9 ask:21.4) — thin

Execution Quality

<1.0%

Avg slippage 4.40% — poor

Timing

Is now a good time?

6.1

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks4/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -1.2% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 45% — neutral

Event Detection

≥10pts kink

IV kink 0.2pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 382.80 — 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 -43% @ 71% consistency — STRONG directional (bearish)

Smart Money Timing

≥40 composite score

Score 30 (ITM 20% + inst 0%) — retail dominated

Directional Strategy Fit

Option Buyers

Long Calls5.5

bullishIV cheap, mixed flow

Long Puts6.0

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put3.6

bullishIV too cheap, mixed flow

Covered Call4.2

bearishIV too cheap, 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.

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