NUNu Holdings Ltd.
NU Options Overview
bullish flow. Conditions favor premium sellers.
REWARDS
RISK ANALYSIS
NU Gamma Walls
NU Hedge Radar
Neither score is at an extreme today. Neither axis is a forecast — this is where NU sits on protection cost vs. fragility today.
Protection is priced in the cheap band (2.71) — downside puts carry 4.3 IV points LESS than at-the-money, and near-dated vol is priced 6% below far-dated, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (4.88): it is trading 10% above its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is expanding.
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 67.4% — elevated vs history
IV/HV 0.90x — IV ≤ HV
Sector percentile 80% — above sector median
Front/Back 0.94x — contango
Put/Call IV 1.16x — elevated
ATM IV 46.3% — normal range
Effective IV 73.6% (ATM 46.3% + spread 13.6% + bias) — fair
Total drag 19.16% (spread 13.64% + slippage 5.52%) — high friction
Vega efficiency 0.88 (vega 1.205 / spread 13.64%) — spread drag
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: -33% (strong bearish) — Raw: -16%
|OI skew| 27.3% — call-heavy
Vol skew +72.3%, OI skew +27.3% — aligned
0-DTE 24%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: -83%, ATM: -25%, OTM: +19% — strong bearish (ITM/ATM aligned)
Sector P/C percentile 8% — very bullish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 0.5x avg — normal
Vol/OI 2.6% — normal turnover
1 day(s) elevated — may be one-day event
OI change +13.6% (5d) — building
Sector activity percentile 52% — neutral vs sector
Large trade volume 51% — heavy institutional
Aggressive execution 39% — patient
Conviction -33 (bearish) — moderate
Liquidity
Can I trade efficiently?
Evaluates
Spread 13.6% — wide
OI 2,029,561 — deep
Volume 52,199/day — active
$0.68 to cross — expensive
0 liquid strikes — limited options
Sector spread percentile 85% — much wider than sector
Depth 1,073.4 contracts (bid:533.5 ask:539.9) — deep
Avg slippage 5.52% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope -6.5% — contango
IV percentile 67% — neutral
IV kink -3.2pts — no clear event
θ/ν ratio 56.83 — favors income trades
5 liquid expirations — flexible
caution advised: FOMC in 5d; CPI in 0d (HIGH)
Spread ratio 1.00x — stable
Flow -33% @ 66% consistency — moderate (bearish)
Score 81 (ITM 20% + inst 51%) — 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.