ONON Semiconductor Corp
ON Options Overview
IV is elevated. Conditions favor premium sellers.
REWARDS
RISK ANALYSIS
ON Gamma Walls
ON Hedge Radar
Neither score is at an extreme today. Neither axis is a forecast — this is where ON sits on protection cost vs. fragility today.
Protection is priced in the cheap band (3.61) — downside puts carry 0.4 IV points LESS than at-the-money, and options are pricing vol 60% above what the stock has actually been realizing, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (5.22): it is trading 7% below its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is contracting.
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 94.2% — elevated vs history
IV/HV 1.60x — IV premium over HV
Sector percentile 79% — above sector median
Front/Back 1.09x — backwardation
Put/Call IV 1.16x — elevated
ATM IV 56.8% — normal range
Effective IV 77.5% (ATM 56.8% + spread 10.3% + bias) — fair
Total drag 14.81% (spread 10.33% + slippage 4.48%) — high friction
Vega efficiency 7.47 (vega 7.716 / spread 10.33%) — efficient
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: -17% (bearish) — Raw: -20%
|OI skew| 16.5% — call-heavy
Vol skew +64.1%, OI skew +16.5% — aligned
0-DTE 23%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: +54%, ATM: -9%, OTM: -25% — strong bullish (ITM/ATM divergent)
Sector P/C percentile 6% — very bullish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 2.1x avg — hot
Vol/OI 10.4% — normal turnover
1 day(s) elevated — may be one-day event
OI change +4.0% (5d) — building
Sector activity percentile 79% — active vs sector
Large trade volume 39% — institutional presence
Aggressive execution 26% — patient
Conviction -17 (bearish) — mixed
Liquidity
Can I trade efficiently?
Evaluates
Spread 10.3% — wide
OI 312,321 — deep
Volume 32,361/day — active
$0.52 to cross — expensive
0 liquid strikes — limited options
Sector spread percentile 79% — wider than sector
Depth 170.5 contracts (bid:87.7 ask:82.8) — adequate
Avg slippage 4.48% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope +8.7% — backwardation
IV percentile 94% — seller opportunity
IV kink 6.9pts — no clear event
θ/ν ratio 90.14 — favors income trades
4 liquid expirations — flexible
caution advised: FOMC in 5d; CPI in 0d (HIGH)
Spread ratio 1.00x — stable
Flow -17% @ 59% consistency — unclear
Score 69 (ITM 20% + inst 39%) — 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.