JEFJefferies Financial Group Inc.
JEF Options Overview
bearish flow. No clear edge detected.
REWARDS
RISK ANALYSIS
JEF Gamma Walls
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 57.9% — elevated vs history
IV/HV 1.58x — IV premium over HV
Sector percentile 74% — above sector median
Front/Back 0.94x — contango
Put/Call IV 1.16x — elevated
ATM IV 39.3% — normal range
Effective IV 83.7% (ATM 39.3% + spread 22.2% + bias) — expensive
Total drag 31.67% (spread 22.22% + slippage 9.45%) — high friction
Vega efficiency 1.30 (vega 2.884 / spread 22.22%) — spread drag
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: -20% (bearish) — Raw: -16%
|OI skew| 43.0% — put-heavy
Vol skew -73.6%, OI skew -43.0% — aligned
0-DTE 0%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: -33%, ATM: +50%, OTM: -18% — neutral (ITM/ATM divergent)
Sector P/C percentile 97% — very bearish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 0.4x avg — normal
Vol/OI 0.8% — normal turnover
1 day(s) elevated — may be one-day event
OI change +2.5% (5d) — building
Sector activity percentile 23% — below sector avg
Large trade volume 66% — heavy institutional
Aggressive execution 30% — patient
Conviction -20 (bearish) — mixed
Liquidity
Can I trade efficiently?
Evaluates
Spread 22.2% — wide
OI 47,586 — adequate
Volume 364/day — thin
$1.11 to cross — expensive
0 liquid strikes — limited options
Sector spread percentile 80% — much wider than sector
Depth 67.9 contracts (bid:34.5 ask:33.4) — thin
Avg slippage 9.45% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope -5.8% — contango
IV percentile 58% — neutral
IV kink -4.0pts — no clear event
θ/ν ratio 55.14 — favors income trades
3 liquid expirations — flexible
caution advised: Earnings in 24d (low risk); FOMC in 5d; CPI in 0d (HIGH)
Spread ratio 1.00x — stable
Flow -20% @ 60% consistency — unclear
Score 96 (ITM 20% + inst 66%) — 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 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.