PGYPagaya Technologies Ltd. Class A Ordinary Shares
Options Analysis Report•FINANCE SERVICES
Market Cap $1.1B|NASDAQ
● 2026-05-15$13.60
NEUTRAL
Analysis: 2026-05-14 EOD data
1Y -3.1%YTD -39.0%7D -10.5%
Options Vol
1,830
30D
Implied Move
±8.6%
IV Rank
40%
PGY Options Overview
Mixed signals. No clear edge detected.
REWARDS
RISK ANALYSIS
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Value
Is IV priced right?
6.1
ExpensiveCheap
Measures whether options are cheap, fair, or rich relative to historical and peer
IV
levels.Risk Checks6/9 checks passed
IV Rank
≤35%IV Rank 50.0% — elevated vs history
IV/HV Ratio
<1.05xIV/HV 1.00x — IV ≤ HV
Sector Relative≤50%
Sector percentile 50% — below sector median
Term Structure
<1.1xFront/Back 0.79x — contango
Skew Normal
<1.25xPut/Call IV 1.00x — normal
Absolute IV
<80%ATM IV 0.0% — normal range
Spread-Adjusted Value
<80%Effective IV 40.8% (ATM 0.0% + spread 20.4% + bias) — excellent value
Execution Efficiency
<3.0%Total drag 27.37% (spread 20.38% + slippage 6.99%) — high friction
Vega Efficiency
≥5.0Vega efficiency 0.00 (vega 0.000 / spread 20.38%) — spread drag
Sentiment
Bullish or bearish?
6.4
BearishBullish
Analyzes
put/call ratios
, open interest skew
, and flow direction to determine market bias.Risk ChecksBullish - Moderate signal (Conviction: +13%, Raw: +8%)
Flow Direction
|net sentiment| ≥25%Conviction-weighted: +13% (bullish) — Raw: +8%
OI Skew Magnitude
≥15%|OI skew| 0.1% — balanced
Volume-OI Alignment
Same sign, |vol skew| ≥10%Vol skew +28.2%, OI skew +0.1% — aligned
Conviction Quality
≥2/3 conditions0-DTE 19%, far-OTM 15%, avg DTE 30
OI Momentum
|change| ≥3%OI change +0.0% (5d) — stable
Smart Money Flow
|weighted flow| ≥20%ITM: +5%, ATM: +26%, OTM: +6% — bullish (ITM/ATM aligned)
Sector Relative≤40% or ≥60%
Sector P/C percentile 64% — bearish vs sector
Activity
Unusual activity?
2.0
QuietActive
Detects volume surges,
block trades
, and unusual options activity that may signal moves.Risk Checks0/9 checks passed
Volume Surge
≥1.5xVolume 0.3x avg — normal
Turnover Rate
≥15%Vol/OI 1.2% — normal turnover
Strike Concentration
≥60%Top 3 strikes = 50% — dispersed
Multi-Day Persistence
≥2 days1 day(s) elevated — may be one-day event
OI Build
≥5%OI change -1.1% (5d) — stable
Sector Relative≥60%
Sector activity percentile 19% — quiet vs sector
Trade Quality
≥30%Large trade volume 0% — mostly retail
Execution Urgency
≥60%Aggressive execution 37% — patient
Flow Conviction
≥30Conviction +13 (bullish) — mixed
Liquidity
Can I trade efficiently?
3.7
IlliquidLiquid
Evaluates
bid-ask spreads
, volume depth, and open interest for trade execution quality.Risk Checks4/8 checks passed
Tradeable Spread
≤5.0%Spread 20.4% — wide
Adequate OI
≥10,000OI 156,140 — deep
Active Volume
≥500Volume 1,830/day — adequate
Reasonable Cost
≤$0.50$1.02 to cross — expensive
Strike Coverage
≥5 strikes0 liquid strikes — limited options
Sector Relative≤40%
Sector spread percentile 0% — much tighter than sector
Order Book Depth
≥100 contractsDepth 1,031.8 contracts (bid:510.7 ask:521.1) — deep
Execution Quality
<1.0%Avg slippage 6.99% — poor
Timing
Is now a good time?
6.3
RiskyFavorable
Considers earnings proximity,
time decay
, and event calendar for optimal entry timing.Risk Checks4/9 checks passed
Term Structure Clarity
|slope| ≥5%Slope -21.0% — contango
IV Percentile Clarity
<30 or >70IV percentile 50% — neutral
Event Detection
≥10pts kinkIV kink -17.1pts — no clear event
Theta/Vega Clarity
<0.5 or >2.0θ/ν ratio 1.00 — favors mixed
Expiration Distribution
≥3 expirations3 liquid expirations — flexible
Event Risk
≥60% (safe)safe window: No earnings detected
Spread Momentum
<1.2 ratioSpread ratio 1.00x — stable
Flow Momentum
≥25% strength + ≥50% consistencyFlow +13% @ 56% consistency — unclear
Smart Money Timing
≥40 composite scoreScore 30 (ITM 20% + inst 0%) — retail dominated
Directional Strategy Fit
Option Buyers
Long Calls5.9
bullishIV cheap, bullish flow
Long Puts4.9
bearishIV cheap, bullish flow
Premium Sellers
Cash-Secured Put5.1
bullishIV too cheap, bullish flow
Covered Call4.1
bearishIV too cheap, bullish flow
For educational purposes only. Not investment advice.