Options/BBWI

BBWIBath & Body Works, Inc.

Options Analysis Report•RETAIL-RETAIL STORES, NEC

Market Cap $3.9B|NYSE

● 2026-08-31$19.22

NEUTRAL

Analysis: 2026-08-28 EOD data

1Y -35.0%YTD -7.3%7D +0.3%

Options Vol

10,847

30D

Implied Move

±14.5%

IV Rank

BBWI Options Overview

IV is elevated with bullish flow and unusual activity. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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BBWI Gamma Walls

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BBWI Hedge Radar

No action needed

Full Hedge Radar

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

Protection is priced in the cheap band (2.05) — near-dated vol is priced 10% below far-dated, and downside puts carry 0.1 IV points more than at-the-money, measured against this name's own rolling 19-trading-day realized moves (485 overlapping windows). Fragility reads resilient (3.97): it is trading 6% above its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

2.05/ 10cheap

Basis: cross_sectional

Fragility

3.97/ 10resilient

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 74.7% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 0.77x — IV ≤ HV

Sector Relative≤50%

Sector percentile 76% — above sector median

Term Structure

<1.1x

Front/Back 0.90x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 48.6% — normal range

Spread-Adjusted Value

<80%

Effective IV 67.0% (ATM 48.6% + spread 9.2% + bias) — fair

Execution Efficiency

<3.0%

Total drag 16.72% (spread 9.18% + slippage 7.54%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 1.16 (vega 1.063 / spread 9.18%) — spread drag

Sentiment

Bullish or bearish?

5.6

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksNeutral - Weak signal (Conviction: +0%, Raw: -4%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +0% (neutral) — Raw: -4%

OI Skew Magnitude

≥15%

|OI skew| 16.2% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +69.4%, OI skew -16.2% — divergent (opposite)

Conviction Quality

≥2/3 conditions

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

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -26%, ATM: +22%, OTM: -26% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 16% — very bullish vs sector

Activity

Unusual activity?

5.8

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks4/8 checks passed

Volume Surge

≥1.5x

Volume 1.6x avg — elevated

Turnover Rate

≥15%

Vol/OI 10.8% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +104.1% (5d) — building

Sector Relative≥60%

Sector activity percentile 92% — very active vs sector

Trade Quality

≥30%

Large trade volume 38% — institutional presence

Execution Urgency

≥60%

Aggressive execution 32% — patient

Flow Conviction

≥30

Conviction +0 (bullish) — mixed

Liquidity

Can I trade efficiently?

4.3

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks4/8 checks passed

Tradeable Spread

≤5.0%

Spread 9.2% — wide

Adequate OI

≥10,000

OI 100,701 — deep

Active Volume

≥500

Volume 10,847/day — active

Reasonable Cost

≤$0.50

$0.46 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 87% — much wider than sector

Order Book Depth

≥100 contracts

Depth 612.3 contracts (bid:354.0 ask:258.3) — deep

Execution Quality

<1.0%

Avg slippage 7.54% — poor

Timing

Is now a good time?

7.1

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -9.7% — contango

IV Percentile Clarity

<30 or >70

IV percentile 75% — seller opportunity

Event Detection

≥10pts kink

IV kink -2.2pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 22.85 — favors income trades

Expiration Distribution

≥3 expirations

3 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 +0% @ 50% consistency — unclear

Smart Money Timing

≥40 composite score

Score 68 (ITM 20% + inst 38%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls5.9

bullishIV cheap, mixed flow

Long Puts5.4

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put5.0

bullishIV too cheap, mixed flow

Covered Call4.6

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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