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REGNRegeneron Pharmaceuticals Inc

Options Analysis Report•PHARMACEUTICAL PREPARATIONS
Market Cap $81.8B|NASDAQ
● 2026-08-31$794.19
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +37.4%YTD +2.3%7D -4.1%
1,216
30D
±7.0%
0%

REGN Options Overview

Mixed signals. No clear edge detected.

REWARDS

RISK ANALYSIS

5.3VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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REGN Gamma Walls

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Value

Is IV priced right?

8.1
ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed
≤35%

IV Rank 42.4% — elevated vs history

<1.05x

IV/HV 1.18x — IV premium over HV

Sector Relative≤50%

Sector percentile 32% — below sector median

<1.1x

Front/Back 0.75x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 27.9% — normal range

<80%

Effective IV 60.9% (ATM 27.9% + spread 16.5% + bias) — good value

<3.0%

Total drag 22.95% (spread 16.49% + slippage 6.46%) — high friction

≥5.0

Vega efficiency 89.27 (vega 147.204 / spread 16.49%) — efficient

Sentiment

Bullish or bearish?

5.2
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksBearish - Moderate signal (Conviction: -18%, Raw: -21%)
|net sentiment| ≥25%

Conviction-weighted: -18% (bearish) — Raw: -21%

≥15%

|OI skew| 11.8% — balanced

Same sign, |vol skew| ≥10%

Vol skew +8.6%, OI skew +11.8% — weak (same direction)

≥2/3 conditions

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

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: +17%, ATM: -15%, OTM: -40% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 67% — bearish vs sector

Activity

Unusual activity?

3.1
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed
≥1.5x

Volume 0.8x avg — normal

≥15%

Vol/OI 3.2% — normal turnover

≥2 days

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

≥5%

OI change +2.9% (5d) — building

Sector Relative≥60%

Sector activity percentile 58% — neutral vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 18% — patient

≥30

Conviction -18 (bearish) — mixed

Liquidity

Can I trade efficiently?

3.3
IlliquidLiquid

Evaluates

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

Risk Checks3/8 checks passed
≤5.0%

Spread 16.5% — wide

≥10,000

OI 37,423 — adequate

≥500

Volume 1,216/day — adequate

≤$0.50

$0.82 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 36% — tighter than sector

≥100 contracts

Depth 17.4 contracts (bid:7.7 ask:9.7) — thin

<1.0%

Avg slippage 6.46% — poor

Timing

Is now a good time?

6.8
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope -24.8% — contango

<30 or >70

IV percentile 42% — neutral

≥10pts kink

IV kink -4.4pts — no clear event

<0.5 or >2.0

θ/ν ratio 460.44 — favors income trades

≥3 expirations

5 liquid expirations — flexible

≥60% (safe)

safe window: No events detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -18% @ 59% consistency — unclear

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls6.1
bullishIV cheap, mixed flow
Long Puts6.0
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put4.0
bullishIV too cheap, mixed flow
Covered Call3.9
bearishIV too cheap, 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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