Options/ASML

ASMLASML Holding NV

Options Analysis Report

Market Cap $666.4B|NASDAQ

● 2026-08-28$1735.01

NEUTRAL

Analysis: 2026-08-27 EOD data

1Y +127.3%YTD +49.1%7D -1.6%

Options Vol

14,230

30D

Implied Move

±11.4%

IV Rank

12%

ASML Options Overview

unusual activity. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

Learn

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ASML Gamma Walls

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ASML Hedge Radar

No action needed

Full Hedge Radar

Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where ASML sits on protection cost vs. fragility today.

Protection is priced in the cheap band (3.04) — near-dated vol is priced 11% below far-dated, and downside puts carry 0.9 IV points more than at-the-money, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads resilient (3.72): its realized-vol regime is contracting, and it is trading 1% below its hedge wall on a wall graded HIGH for reliability.

Protection cost

3.04/ 10cheap

Basis: cross_sectional

Fragility

3.72/ 10resilient

Basis: per_ticker

Value

Is IV priced right?

7.2

ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed

IV Rank

≤35%

IV Rank 65.0% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.28x — IV premium over HV

Sector Relative≤50%

Sector percentile 21% — below sector median

Term Structure

<1.1x

Front/Back 0.89x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 42.4% — normal range

Spread-Adjusted Value

<80%

Effective IV 55.6% (ATM 42.4% + spread 6.6% + bias) — good value

Execution Efficiency

<3.0%

Total drag 10.83% (spread 6.61% + slippage 4.22%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 253.96 (vega 167.866 / spread 6.61%) — efficient

Sentiment

Bullish or bearish?

5.0

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksNeutral - Weak signal (Conviction: +10%, Raw: +7%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +10% (neutral) — Raw: +7%

OI Skew Magnitude

≥15%

|OI skew| 8.4% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +1.9%, OI skew -8.4% — divergent (opposite)

Conviction Quality

≥2/3 conditions

0-DTE 27%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +12%, ATM: -7%, OTM: +10% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 74% — 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 0.8x avg — normal

Turnover Rate

≥15%

Vol/OI 8.2% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -15.0% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 76% — active vs sector

Trade Quality

≥30%

Large trade volume 15% — mostly retail

Execution Urgency

≥60%

Aggressive execution 12% — patient

Flow Conviction

≥30

Conviction +10 (bullish) — mixed

Liquidity

Can I trade efficiently?

4.9

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 6.6% — wide

Adequate OI

≥10,000

OI 173,971 — deep

Active Volume

≥500

Volume 14,230/day — active

Reasonable Cost

≤$0.50

$0.33 to cross — cheap

Strike Coverage

≥5 strikes

1 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 52% — neutral vs sector

Order Book Depth

≥100 contracts

Depth 26.6 contracts (bid:12.4 ask:14.2) — thin

Execution Quality

<1.0%

Avg slippage 4.22% — poor

Timing

Is now a good time?

7.5

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -11.3% — contango

IV Percentile Clarity

<30 or >70

IV percentile 65% — neutral

Event Detection

≥10pts kink

IV kink -2.9pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 102.30 — favors income trades

Expiration Distribution

≥3 expirations

5 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No events detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +10% @ 55% consistency — unclear

Smart Money Timing

≥40 composite score

Score 45 (ITM 20% + inst 15%) — moderate institutional

Directional Strategy Fit

Option Buyers

Long Calls6.1

bullishIV cheap, mixed flow

Long Puts6.1

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put4.7

bullishIV too cheap, mixed flow

Covered Call4.7

bearishIV too cheap, mixed flow

For educational purposes only. Not investment advice.