CCitigroup Inc.
Options Analysis Report•NATIONAL COMMERCIAL BANKS
Market Cap $238.5B|NYSE
● 2026-06-12$139.83
NEUTRAL
Analysis: 2026-06-11 EOD data
1Y +79.1%YTD +17.8%7D +5.6%
Options Vol
48,775
30D
Implied Move
±9.3%
IV Rank
48%
C Options Overview
Mixed signals. Conditions favor option buyers.
REWARDS
RISK ANALYSIS
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Value
Is IV priced right?
5.6
ExpensiveCheap
Measures whether options are cheap, fair, or rich relative to historical and peer
IV
levels.Risk Checks5/9 checks passed
IV Rank
≤35%IV Rank 42.8% — elevated vs history
IV/HV Ratio
<1.05xIV/HV 1.15x — IV premium over HV
Sector Relative≤50%
Sector percentile 69% — above sector median
Term Structure
<1.1xFront/Back 1.02x — flat
Skew Normal
<1.25xPut/Call IV 1.16x — elevated
Absolute IV
<80%ATM IV 33.9% — normal range
Spread-Adjusted Value
<80%Effective IV 43.8% (ATM 33.9% + spread 4.9% + bias) — excellent value
Execution Efficiency
<3.0%Total drag 7.62% (spread 4.93% + slippage 2.69%) — high friction
Vega Efficiency
≥5.0Vega efficiency 109.73 (vega 54.099 / spread 4.93%) — efficient
Sentiment
Bullish or bearish?
5.8
BearishBullish
Analyzes
put/call ratios
, open interest skew
, and flow direction to determine market bias.Risk ChecksNeutral - Weak signal (Conviction: +9%, Raw: +10%)
Flow Direction
|net sentiment| ≥25%Conviction-weighted: +9% (neutral) — Raw: +10%
OI Skew Magnitude
≥15%|OI skew| 10.4% — balanced
Volume-OI Alignment
Same sign, |vol skew| ≥10%Vol skew +29.8%, OI skew -10.4% — divergent (opposite)
Conviction Quality
≥2/3 conditions0-DTE 34%, far-OTM 15%, avg DTE 30
OI Momentum
|change| ≥3%OI change +0.0% (5d) — stable
Smart Money Flow
|weighted flow| ≥20%ITM: +16%, ATM: +8%, OTM: +12% — bullish (ITM/ATM aligned)
Sector Relative≤40% or ≥60%
Sector P/C percentile 42% — bullish vs sector
Activity
Unusual activity?
3.9
QuietActive
Detects volume surges,
block trades
, and unusual options activity that may signal moves.Risk Checks2/9 checks passed
Volume Surge
≥1.5xVolume 0.9x avg — normal
Turnover Rate
≥15%Vol/OI 3.5% — normal 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 +5.1% (5d) — building
Sector Relative≥60%
Sector activity percentile 63% — active vs sector
Trade Quality
≥30%Large trade volume 17% — mixed
Execution Urgency
≥60%Aggressive execution 41% — patient
Flow Conviction
≥30Conviction +9 (bullish) — mixed
Liquidity
Can I trade efficiently?
6.3
IlliquidLiquid
Evaluates
bid-ask spreads
, volume depth, and open interest for trade execution quality.Risk Checks5/8 checks passed
Tradeable Spread
≤5.0%Spread 4.9% — acceptable
Adequate OI
≥10,000OI 1,379,560 — deep
Active Volume
≥500Volume 48,775/day — active
Reasonable Cost
≤$0.50$0.25 to cross — cheap
Strike Coverage
≥5 strikes2 liquid strikes — limited options
Sector Relative≤40%
Sector spread percentile 70% — wider than sector
Order Book Depth
≥100 contractsDepth 231.7 contracts (bid:124.0 ask:107.7) — adequate
Execution Quality
<1.0%Avg slippage 2.69% — poor
Timing
Is now a good time?
6.6
RiskyFavorable
Considers earnings proximity,
time decay
, and event calendar for optimal entry timing.Risk Checks5/9 checks passed
Term Structure Clarity
|slope| ≥5%Slope +2.4% — flat/unclear
IV Percentile Clarity
<30 or >70IV percentile 43% — neutral
Event Detection
≥10pts kinkIV kink 0.8pts — no clear event
Theta/Vega Clarity
<0.5 or >2.0θ/ν ratio 1878.42 — favors income trades
Expiration Distribution
≥3 expirations5 liquid expirations — flexible
Event Risk
≥60% (safe)acceptable: FOMC in 5d
Spread Momentum
<1.2 ratioSpread ratio 1.00x — stable
Flow Momentum
≥25% strength + ≥50% consistencyFlow +9% @ 54% consistency — unclear
Smart Money Timing
≥40 composite scoreScore 47 (ITM 20% + inst 17%) — moderate institutional
Directional Strategy Fit
Option Buyers
Long Calls5.9
bullishIV fair, mixed flow
Long Puts5.4
bearishIV fair, mixed flow
Premium Sellers
Cash-Secured Put5.6
bullishIV fair, mixed flow
Covered Call5.0
bearishIV fair, mixed flow
For educational purposes only. Not investment advice.