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MRCYMercury Systems Inc.

Options Analysis Report•ELECTRONIC COMPONENTS & ACCESSORIES
Market Cap $5.3B|NASDAQ
● 2026-08-31$88.54
BULLISH
Analysis: 2026-08-28 EOD data
1Y +30.9%YTD +16.5%7D -1.2%
191
30D
±15.1%
34%

MRCY Options Overview

IV is elevated with bullish flow. No clear edge detected.

REWARDS

RISK ANALYSIS

4.5VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for premium sellers

Learn
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MRCY Gamma Walls

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Value

Is IV priced right?

4.8
ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed
≤35%

IV Rank 82.5% — elevated vs history

<1.05x

IV/HV 0.92x — IV ≤ HV

Sector Relative≤50%

Sector percentile 85% — above sector median

<1.1x

Front/Back 0.88x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 58.4% — normal range

<80%

Effective IV 112.4% (ATM 58.4% + spread 27.0% + bias) — expensive

<3.0%

Total drag 38.34% (spread 26.99% + slippage 11.35%) — high friction

≥5.0

Vega efficiency 9.35 (vega 25.241 / spread 26.99%) — efficient

Sentiment

Bullish or bearish?

6.2
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Strong signal (Conviction: -9%, Raw: +18%)
|net sentiment| ≥25%

Conviction-weighted: -9% (neutral) — Raw: +18%

≥15%

|OI skew| 60.2% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +84.3%, OI skew +60.2% — aligned

≥2/3 conditions

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

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: -100%, ATM: -79%, OTM: +31% — strong bearish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 12% — very bullish vs sector

Activity

Unusual activity?

2.3
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed
≥1.5x

Volume 0.1x avg — normal

≥15%

Vol/OI 1.0% — normal turnover

≥2 days

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

≥5%

OI change +16.0% (5d) — building

Sector Relative≥60%

Sector activity percentile 38% — below sector avg

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 33% — patient

≥30

Conviction -9 (bearish) — mixed

Liquidity

Can I trade efficiently?

2.6
IlliquidLiquid

Evaluates

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

Risk Checks1/8 checks passed
≤5.0%

Spread 27.0% — wide

≥10,000

OI 19,993 — adequate

≥500

Volume 191/day — thin

≤$0.50

$1.35 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 90% — much wider than sector

≥100 contracts

Depth 63.199999999999996 contracts (bid:35.3 ask:27.9) — thin

<1.0%

Avg slippage 11.35% — poor

Timing

Is now a good time?

6.5
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed
|slope| ≥5%

Slope -12.5% — contango

<30 or >70

IV percentile 82% — seller opportunity

≥10pts kink

IV kink -4.6pts — no clear event

<0.5 or >2.0

θ/ν ratio 595.32 — favors income trades

≥3 expirations

4 liquid expirations — flexible

≥60% (safe)

safe window: No events detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -9% @ 55% consistency — unclear

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls5.2
bullishIV fair, bullish flow
Long Puts4.4
bearishIV fair, bullish flow
Premium Sellers
Cash-Secured Put5.2
bullishIV fair, bullish flow
Covered Call4.4
bearishIV fair, bullish flow

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.

More on MRCY

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