Options/WRBY

WRBYWarby Parker Inc.

Options Analysis Report•OPHTHALMIC GOODS

Market Cap $3.0B|NYSE

● 2026-09-11$24.30

NEUTRAL

Analysis: 2026-09-10 EOD data

1Y -11.8%YTD +7.4%7D -0.2%

Options Vol

1,590

30D

Implied Move

±18.6%

IV Rank

15%

WRBY Options Overview

IV is elevated. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

Learn

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WRBY Gamma Walls

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WRBY Hedge Radar

Neutral

Full Hedge Radar

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

Protection is priced in the cheap band (2.74) — near-dated vol is priced 16% below far-dated, and implied vol sits in the 13th percentile of its own past year, measured against this name's own rolling 19-trading-day realized moves (485 overlapping windows). Fragility reads neutral (5.1): it is trading 1% below its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

2.74/ 10cheap

Basis: cross_sectional

Fragility

5.10/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

3.9

ExpensiveCheap

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

levels.

Risk Checks3/9 checks passed

IV Rank

≤35%

IV Rank 88.4% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.42x — IV premium over HV

Sector Relative≤50%

Sector percentile 70% — above sector median

Term Structure

<1.1x

Front/Back 0.86x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 73.0% — normal range

Spread-Adjusted Value

<80%

Effective IV 130.4% (ATM 73.0% + spread 28.7% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 39.21% (spread 28.70% + slippage 10.51%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 1.23 (vega 3.522 / spread 28.70%) — spread drag

Sentiment

Bullish or bearish?

5.0

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBullish - Moderate signal (Conviction: +17%, Raw: +19%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +17% (bullish) — Raw: +19%

OI Skew Magnitude

≥15%

|OI skew| 59.3% — call-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -39.5%, OI skew +59.3% — divergent (opposite)

Conviction Quality

≥2/3 conditions

0-DTE 5%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -75%, ATM: +87%, OTM: -15% — bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 87% — very bearish vs sector

Activity

Unusual activity?

3.2

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed

Volume Surge

≥1.5x

Volume 0.5x avg — normal

Turnover Rate

≥15%

Vol/OI 1.7% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -0.3% (5d) — stable

Sector Relative≥60%

Sector activity percentile 55% — neutral vs sector

Trade Quality

≥30%

Large trade volume 42% — institutional presence

Execution Urgency

≥60%

Aggressive execution 35% — patient

Flow Conviction

≥30

Conviction +17 (bullish) — mixed

Liquidity

Can I trade efficiently?

3.1

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 28.7% — wide

Adequate OI

≥10,000

OI 94,236 — deep

Active Volume

≥500

Volume 1,590/day — adequate

Reasonable Cost

≤$0.50

$1.43 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 88% — much wider than sector

Order Book Depth

≥100 contracts

Depth 170.4 contracts (bid:66.4 ask:104.0) — adequate

Execution Quality

<1.0%

Avg slippage 10.51% — poor

Timing

Is now a good time?

6.6

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -13.9% — contango

IV Percentile Clarity

<30 or >70

IV percentile 88% — seller opportunity

Event Detection

≥10pts kink

IV kink -5.9pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 144.92 — favors income trades

Expiration Distribution

≥3 expirations

4 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 +17% @ 59% consistency — unclear

Smart Money Timing

≥40 composite score

Score 72 (ITM 20% + inst 42%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls4.5

bullishIV expensive, mixed flow

Long Puts4.5

bearishIV expensive, mixed flow

Premium Sellers

Cash-Secured Put5.2

bullishIV rich premium, mixed flow

Covered Call5.2

bearishIV rich premium, 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 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 WRBY

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