PGYPagaya Technologies Ltd. Class A Ordinary Shares
PGY Options Overview
IV is elevated with bullish flow and unusual activity. Conditions favor premium sellers.
REWARDS
RISK ANALYSIS
PGY Gamma Walls
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 88.3% — elevated vs history
IV/HV 1.23x — IV premium over HV
Sector percentile 77% — above sector median
Front/Back 0.87x — contango
Put/Call IV 1.16x — elevated
ATM IV 72.8% — normal range
Effective IV 112.8% (ATM 72.8% + spread 20.0% + bias) — expensive
Total drag 28.13% (spread 20.01% + slippage 8.12%) — high friction
Vega efficiency 0.57 (vega 1.143 / spread 20.01%) — spread drag
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: +22% (bullish) — Raw: +42%
|OI skew| 57.8% — call-heavy
Vol skew +84.0%, OI skew +57.8% — aligned
0-DTE 0%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: -50%, ATM: -10%, OTM: +82% — strong bearish (ITM/ATM aligned)
Sector P/C percentile 12% — very bullish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 2.6x avg — hot
Vol/OI 9.4% — normal turnover
1 day(s) elevated — may be one-day event
OI change +0.9% (5d) — stable
Sector activity percentile 88% — very active vs sector
Large trade volume 73% — heavy institutional
Aggressive execution 41% — patient
Conviction +22 (bullish) — mixed
Liquidity
Can I trade efficiently?
Evaluates
Spread 20.0% — wide
OI 113,934 — deep
Volume 10,772/day — active
$1.00 to cross — expensive
0 liquid strikes — limited options
Sector spread percentile 86% — much wider than sector
Depth 589.5 contracts (bid:240.9 ask:348.6) — deep
Avg slippage 8.12% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope -12.9% — contango
IV percentile 88% — seller opportunity
IV kink -4.6pts — no clear event
θ/ν ratio 15.64 — favors income trades
4 liquid expirations — flexible
caution advised: FOMC in 5d; CPI in 0d (HIGH)
Spread ratio 1.00x — stable
Flow +22% @ 61% consistency — unclear
Score 103 (ITM 20% + inst 73%) — 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.