Options/WEN

WENThe Wendy's Company

Options Analysis Report•RETAIL-EATING & DRINKING PLACES

Market Cap $1.4B|NASDAQ

● 2026-09-11$7.44

VERY BULLISH

Analysis: 2026-09-10 EOD data

1Y -24.8%YTD -8.9%7D -7.3%

Options Vol

15,873

30D

Implied Move

±13.2%

IV Rank

13%

WEN Options Overview

IV is elevated with bullish flow and unusual activity. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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WEN Gamma Walls

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WEN Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where WEN sits on protection cost vs. fragility today.

Protection is priced in the cheap band (2.15) — downside puts carry 0.4 IV points LESS than at-the-money, and near-dated vol is priced 12% below far-dated, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (5.13): it is trading 1% below its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

2.15/ 10cheap

Basis: cross_sectional

Fragility

5.13/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

6.2

ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed

IV Rank

≤35%

IV Rank 70.2% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 0.72x — IV ≤ HV

Sector Relative≤50%

Sector percentile 67% — above sector median

Term Structure

<1.1x

Front/Back 0.88x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 48.5% — normal range

Spread-Adjusted Value

<80%

Effective IV 78.2% (ATM 48.5% + spread 14.8% + bias) — fair

Execution Efficiency

<3.0%

Total drag 23.16% (spread 14.84% + slippage 8.32%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 0.49 (vega 0.729 / spread 14.84%) — spread drag

Sentiment

Bullish or bearish?

8.5

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bullish - Strong signal (Conviction: +58%, Raw: +25%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +58% (strong bullish) — Raw: +25%

OI Skew Magnitude

≥15%

|OI skew| 66.9% — call-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +87.2%, OI skew +66.9% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 3%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -40%, ATM: +33%, OTM: +27% — bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 4% — very bullish vs sector

Activity

Unusual activity?

4.4

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks3/8 checks passed

Volume Surge

≥1.5x

Volume 0.9x avg — normal

Turnover Rate

≥15%

Vol/OI 4.5% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -0.6% (5d) — stable

Sector Relative≥60%

Sector activity percentile 68% — active vs sector

Trade Quality

≥30%

Large trade volume 78% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 30% — patient

Flow Conviction

≥30

Conviction +58 (bullish) — strong conviction

Liquidity

Can I trade efficiently?

3.6

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 14.8% — wide

Adequate OI

≥10,000

OI 353,684 — deep

Active Volume

≥500

Volume 15,873/day — active

Reasonable Cost

≤$0.50

$0.74 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 82% — much wider than sector

Order Book Depth

≥100 contracts

Depth 718.0 contracts (bid:464.9 ask:253.1) — deep

Execution Quality

<1.0%

Avg slippage 8.32% — poor

Timing

Is now a good time?

7.4

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -11.7% — contango

IV Percentile Clarity

<30 or >70

IV percentile 70% — seller opportunity

Event Detection

≥10pts kink

IV kink -4.8pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 88.87 — favors income trades

Expiration Distribution

≥3 expirations

3 liquid expirations — flexible

Event Risk

≥60% (safe)

caution advised: FOMC in 5d; CPI in 0d (HIGH)

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +58% @ 79% consistency — STRONG directional (bullish)

Smart Money Timing

≥40 composite score

Score 108 (ITM 20% + inst 78%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls7.6

bullishIV cheap, bullish flow

Long Puts4.3

bearishIV cheap, bullish flow

Premium Sellers

Cash-Secured Put6.0

bullishIV too cheap, bullish flow

Covered Call3.5

bearishIV too cheap, bullish flow

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.

More on WEN

WEN gamma walls WEN option chain WEN max pain WEN expected move WEN IV rank WEN put/call ratio WEN options flow