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Options/MRNA
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MRNAModerna, Inc. Common Stock

Options Analysis Report•BIOLOGICAL PRODUCTS, (NO DIAGNOSTIC SUBSTANCES)
Market Cap $55.1B|NASDAQ
● 2026-08-28$137.99
NEUTRAL
Analysis: 2026-08-27 EOD data
1Y +472.8%YTD +347.1%7D -4.9%
182,082
30D
±21.0%
18%

MRNA Options Overview

IV is elevated. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

5.4VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for premium sellers

Learn
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MRNA Gamma Walls

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Value

Is IV priced right?

5.1
ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed
≤35%

IV Rank 99.6% — elevated vs history

<1.05x

IV/HV 0.20x — IV ≤ HV

Sector Relative≤50%

Sector percentile 98% — above sector median

<1.1x

Front/Back 0.99x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 77.7% — normal range

<80%

Effective IV 95.7% (ATM 77.7% + spread 9.0% + bias) — expensive

<3.0%

Total drag 16.31% (spread 8.99% + slippage 7.32%) — high friction

≥5.0

Vega efficiency 9.10 (vega 8.185 / spread 8.99%) — efficient

Sentiment

Bullish or bearish?

4.5
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Weak signal (Conviction: -5%, Raw: -5%)
|net sentiment| ≥25%

Conviction-weighted: -5% (neutral) — Raw: -5%

≥15%

|OI skew| 18.1% — put-heavy

Same sign, |vol skew| ≥10%

Vol skew -4.2%, OI skew -18.1% — weak (same direction)

≥2/3 conditions

0-DTE 49%, far-OTM 15%, avg DTE 30

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: +8%, ATM: -13%, OTM: -4% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 64% — bearish vs sector

Activity

Unusual activity?

4.9
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed
≥1.5x

Volume 1.1x avg — normal

≥15%

Vol/OI 18.4% — high turnover

≥2 days

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

≥5%

OI change -1.0% (5d) — stable

Sector Relative≥60%

Sector activity percentile 97% — very active vs sector

≥30%

Large trade volume 25% — mixed

≥60%

Aggressive execution 28% — patient

≥30

Conviction -5 (bearish) — mixed

Liquidity

Can I trade efficiently?

5.4
IlliquidLiquid

Evaluates

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

Risk Checks3/8 checks passed
≤5.0%

Spread 9.0% — wide

≥10,000

OI 988,833 — deep

≥500

Volume 182,082/day — active

≤$0.50

$0.45 to cross — cheap

≥5 strikes

2 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 98% — much wider than sector

≥100 contracts

Depth 88.19999999999999 contracts (bid:37.4 ask:50.8) — thin

<1.0%

Avg slippage 7.32% — poor

Timing

Is now a good time?

7.3
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope -0.6% — flat/unclear

<30 or >70

IV percentile 100% — seller opportunity

≥10pts kink

IV kink 2.4pts — no clear event

<0.5 or >2.0

θ/ν ratio 18.30 — favors income trades

≥3 expirations

5 liquid expirations — flexible

≥60% (safe)

safe window: No events detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -5% @ 53% consistency — unclear

≥40 composite score

Score 55 (ITM 20% + inst 25%) — moderate institutional

Directional Strategy Fit

Option Buyers
Long Calls5.3
bullishIV fair, mixed flow
Long Puts5.6
bearishIV fair, mixed flow
Premium Sellers
Cash-Secured Put5.2
bullishIV fair, mixed flow
Covered Call5.6
bearishIV fair, 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 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.