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NMFCNEW MOUNTAIN FINANCE CORPORATION

Options Analysis Report
Market Cap $712M|NASDAQ
● 2026-08-31$7.54
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y -28.5%YTD -18.2%7D -1.3%
7
30D
±8.6%
2%

NMFC Options Overview

Mixed signals. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

4.7VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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NMFC Gamma Walls

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Value

Is IV priced right?

5.9
ExpensiveCheap

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

levels.

Risk Checks3/9 checks passed
≤35%

IV Rank 43.7% — elevated vs history

<1.05x

IV/HV 0.94x — IV ≤ HV

Sector Relative≤50%

Sector percentile 64% — above sector median

<1.1x

Front/Back 1.21x — backwardation

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 29.2% — normal range

<80%

Effective IV 162.5% (ATM 29.2% + spread 66.7% + bias) — expensive

<3.0%

Total drag 90.23% (spread 66.67% + slippage 23.56%) — high friction

≥5.0

Vega efficiency 0.27 (vega 1.795 / spread 66.67%) — spread drag

Sentiment

Bullish or bearish?

5.8
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksVery Bullish - Moderate signal (Conviction: +43%, Raw: +43%)
|net sentiment| ≥25%

Conviction-weighted: +43% (strong bullish) — Raw: +43%

≥15%

|OI skew| 78.2% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew -100.0%, OI skew +78.2% — divergent (opposite)

≥2/3 conditions

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

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: +0%, ATM: +43%, OTM: +0% — bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 27% — 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 0.2% — normal turnover

≥2 days

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

≥5%

OI change +2.7% (5d) — building

Sector Relative≥60%

Sector activity percentile 8% — quiet vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 33% — patient

≥30

Conviction +43 (bullish) — moderate

Liquidity

Can I trade efficiently?

2.2
IlliquidLiquid

Evaluates

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

Risk Checks0/8 checks passed
≤5.0%

Spread 66.7% — wide

≥10,000

OI 3,701 — thin

≥500

Volume 7/day — thin

≤$0.50

$3.33 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 73% — wider than sector

≥100 contracts

Depth 70.0 contracts (bid:38.0 ask:32.0) — thin

<1.0%

Avg slippage 23.56% — poor

Timing

Is now a good time?

7.2
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks5/9 checks passed
|slope| ≥5%

Slope +20.5% — backwardation

<30 or >70

IV percentile 44% — neutral

≥10pts kink

IV kink 8.1pts — no clear event

<0.5 or >2.0

θ/ν ratio 1380.92 — favors income trades

≥3 expirations

2 liquid expirations — limited

≥60% (safe)

safe window: No events detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow +43% @ 71% consistency — STRONG directional (bullish)

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls5.5
bullishIV fair, mixed flow
Long Puts4.9
bearishIV fair, mixed flow
Premium Sellers
Cash-Secured Put4.8
bullishIV fair, mixed flow
Covered Call4.2
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.

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