Options/MRK

MRKMerck & Co., Inc.

Options Analysis Report•PHARMACEUTICAL PREPARATIONS

Market Cap $357.0B|NYSE

● 2026-09-11$144.71

NEUTRAL

Analysis: 2026-09-10 EOD data

1Y +69.9%YTD +35.9%7D -3.7%

Options Vol

20,684

30D

Implied Move

±8.3%

IV Rank

24%

MRK Options Overview

Mixed signals. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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MRK Gamma Walls

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MRK Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where MRK sits on protection cost vs. fragility today.

Protection is priced in the cheap band (1.88) — options are pricing vol 38% below what the stock has actually been realizing, and near-dated vol is priced 9% below far-dated, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (5.75): its realized-vol regime is expanding, and it is trading 5% above its hedge wall on a wall graded MEDIUM for reliability.

Protection cost

1.88/ 10cheap

Basis: cross_sectional

Fragility

5.75/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

7.4

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 43.0% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 0.62x — IV ≤ HV

Sector Relative≤50%

Sector percentile 38% — below sector median

Term Structure

<1.1x

Front/Back 0.91x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 30.9% — normal range

Spread-Adjusted Value

<80%

Effective IV 46.3% (ATM 30.9% + spread 7.7% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 15.28% (spread 7.71% + slippage 7.57%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 2.55 (vega 1.970 / spread 7.71%) — spread drag

Sentiment

Bullish or bearish?

6.3

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksNeutral - Moderate signal (Conviction: +3%, Raw: +3%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +3% (neutral) — Raw: +3%

OI Skew Magnitude

≥15%

|OI skew| 14.7% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +22.5%, OI skew +14.7% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 13%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +18%, ATM: -5%, OTM: +3% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 41% — bullish vs sector

Activity

Unusual activity?

2.8

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed

Volume Surge

≥1.5x

Volume 0.6x avg — normal

Turnover Rate

≥15%

Vol/OI 3.5% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +0.3% (5d) — stable

Sector Relative≥60%

Sector activity percentile 59% — neutral vs sector

Trade Quality

≥30%

Large trade volume 12% — mostly retail

Execution Urgency

≥60%

Aggressive execution 32% — patient

Flow Conviction

≥30

Conviction +3 (bullish) — mixed

Liquidity

Can I trade efficiently?

5.2

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks4/8 checks passed

Tradeable Spread

≤5.0%

Spread 7.7% — wide

Adequate OI

≥10,000

OI 590,788 — deep

Active Volume

≥500

Volume 20,684/day — active

Reasonable Cost

≤$0.50

$0.39 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 44% — neutral vs sector

Order Book Depth

≥100 contracts

Depth 195.0 contracts (bid:78.0 ask:117.0) — adequate

Execution Quality

<1.0%

Avg slippage 7.57% — poor

Timing

Is now a good time?

6.4

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks5/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -9.0% — contango

IV Percentile Clarity

<30 or >70

IV percentile 43% — neutral

Event Detection

≥10pts kink

IV kink -2.0pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 4.90 — favors income trades

Expiration Distribution

≥3 expirations

5 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 +3% @ 52% consistency — unclear

Smart Money Timing

≥40 composite score

Score 42 (ITM 20% + inst 12%) — moderate institutional

Directional Strategy Fit

Option Buyers

Long Calls6.5

bullishIV cheap, bullish flow

Long Puts5.6

bearishIV cheap, bullish flow

Premium Sellers

Cash-Secured Put5.0

bullishIV too cheap, bullish flow

Covered Call4.1

bearishIV too cheap, 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 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 MRK

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