WRBYWarby Parker Inc.
Options Analysis Report•OPHTHALMIC GOODS
Market Cap $3.5B|NYSE
● 2026-05-15$28.90
BULLISH
Analysis: 2026-05-14 EOD data
1Y +64.5%YTD +27.8%7D -2.2%
Options Vol
16,980
30D
Implied Move
±28.1%
IV Rank
64%
WRBY Options Overview
IV is elevated with bullish flow and unusual activity. Conditions favor premium sellers.
REWARDS
RISK ANALYSIS
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Value
Is IV priced right?
2.1
ExpensiveCheap
Measures whether options are cheap, fair, or rich relative to historical and peer
IV
levels.Risk Checks2/9 checks passed
IV Rank
≤35%IV Rank 92.4% — elevated vs history
IV/HV Ratio
<1.05xIV/HV 1.00x — IV ≤ HV
Sector Relative≤50%
Sector percentile 78% — above sector median
Term Structure
<1.1xFront/Back 1.65x — backwardation
Skew Normal
<1.25xPut/Call IV 1.16x — elevated
Absolute IV
<80%ATM IV 105.0% — crisis-level IV
Spread-Adjusted Value
<80%Effective IV 126.6% (ATM 105.0% + spread 10.8% + bias) — expensive
Execution Efficiency
<3.0%Total drag 15.02% (spread 10.80% + slippage 4.22%) — high friction
Vega Efficiency
≥5.0Vega efficiency 0.56 (vega 0.603 / spread 10.80%) — spread drag
Sentiment
Bullish or bearish?
6.6
BearishBullish
Analyzes
put/call ratios
, open interest skew
, and flow direction to determine market bias.Risk ChecksNeutral - Strong signal (Conviction: +3%, Raw: +8%)
Flow Direction
|net sentiment| ≥25%Conviction-weighted: +3% (neutral) — Raw: +8%
OI Skew Magnitude
≥15%|OI skew| 30.6% — call-heavy
Volume-OI Alignment
Same sign, |vol skew| ≥10%Vol skew +80.8%, OI skew +30.6% — aligned
Conviction Quality
≥2/3 conditions0-DTE 7%, far-OTM 15%, avg DTE 30
OI Momentum
|change| ≥3%OI change +0.0% (5d) — stable
Smart Money Flow
|weighted flow| ≥20%ITM: -56%, ATM: -14%, OTM: +10% — strong bearish (ITM/ATM aligned)
Sector Relative≤40% or ≥60%
Sector P/C percentile 23% — very bullish vs sector
Activity
Unusual activity?
6.6
QuietActive
Detects volume surges,
block trades
, and unusual options activity that may signal moves.Risk Checks4/9 checks passed
Volume Surge
≥1.5xVolume 3.0x avg — hot
Turnover Rate
≥15%Vol/OI 16.9% — high 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 +24.2% (5d) — building
Sector Relative≥60%
Sector activity percentile 94% — very active vs sector
Trade Quality
≥30%Large trade volume 15% — mostly retail
Execution Urgency
≥60%Aggressive execution 57% — patient
Flow Conviction
≥30Conviction +3 (bullish) — mixed
Liquidity
Can I trade efficiently?
4.1
IlliquidLiquid
Evaluates
bid-ask spreads
, volume depth, and open interest for trade execution quality.Risk Checks3/8 checks passed
Tradeable Spread
≤5.0%Spread 10.8% — wide
Adequate OI
≥10,000OI 100,294 — deep
Active Volume
≥500Volume 16,980/day — active
Reasonable Cost
≤$0.50$0.54 to cross — expensive
Strike Coverage
≥5 strikes0 liquid strikes — limited options
Sector Relative≤40%
Sector spread percentile 91% — much wider than sector
Order Book Depth
≥100 contractsDepth 183.5 contracts (bid:88.6 ask:94.9) — adequate
Execution Quality
<1.0%Avg slippage 4.22% — poor
Timing
Is now a good time?
7.6
RiskyFavorable
Considers earnings proximity,
time decay
, and event calendar for optimal entry timing.Risk Checks7/9 checks passed
Term Structure Clarity
|slope| ≥5%Slope +64.6% — backwardation
IV Percentile Clarity
<30 or >70IV percentile 92% — seller opportunity
Event Detection
≥10pts kinkIV kink 49.1pts — event priced
Theta/Vega Clarity
<0.5 or >2.0θ/ν ratio 1.95 — 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 +3% @ 52% consistency — unclear
Smart Money Timing
≥40 composite scoreScore 45 (ITM 20% + inst 15%) — moderate institutional
Directional Strategy Fit
Option Buyers
Long Calls4.8
bullishIV expensive, bullish flow
Long Puts3.7
bearishIV expensive, bullish flow
Premium Sellers
Cash-Secured Put7.0
bullishIV rich premium, bullish flow
Covered Call5.5
bearishIV rich premium, bullish flow
For educational purposes only. Not investment advice.