CBChubb Limited
Options Analysis Report•FIRE, MARINE & CASUALTY INSURANCE
Market Cap $128.5B|NYSE
● 2026-04-17$330.83
NEUTRAL
Analysis: 2026-04-16 EOD data
1Y +18.2%YTD +6.7%7D +0.9%
Options Vol
984
30D
Implied Move
±7.2%
IV Rank
46%
CB Options Overview
IV is low. Conditions favor option buyers.
REWARDS
RISK ANALYSIS
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Value
Is IV priced right?
6.8
ExpensiveCheap
Measures whether options are cheap, fair, or rich relative to historical and peer
IV
levels.Risk Checks7/9 checks passed
IV Rank
≤35%IV Rank 4.7% — cheap vs history
IV/HV Ratio
<1.05xIV/HV 1.52x — IV premium over HV
Sector Relative≤50%
Sector percentile 2% — below sector median
Term Structure
<1.1xFront/Back 1.09x — backwardation
Skew Normal
<1.25xPut/Call IV 1.16x — elevated
Absolute IV
<80%ATM IV 23.5% — normal range
Spread-Adjusted Value
<80%Effective IV 49.9% (ATM 23.5% + spread 13.2% + bias) — excellent value
Execution Efficiency
<3.0%Total drag 23.89% (spread 13.19% + slippage 10.70%) — high friction
Vega Efficiency
≥5.0Vega efficiency 58.12 (vega 76.658 / spread 13.19%) — efficient
Sentiment
Bullish or bearish?
5.0
BearishBullish
Analyzes
put/call ratios
, open interest skew
, and flow direction to determine market bias.Risk ChecksBearish - Moderate signal (Conviction: -19%, Raw: -26%)
Flow Direction
|net sentiment| ≥25%Conviction-weighted: -19% (bearish) — Raw: -26%
OI Skew Magnitude
≥15%|OI skew| 33.1% — call-heavy
Volume-OI Alignment
Same sign, |vol skew| ≥10%Vol skew +5.1%, OI skew +33.1% — weak (same direction)
Conviction Quality
≥2/3 conditions0-DTE 45%, far-OTM 15%, avg DTE 30
OI Momentum
|change| ≥3%OI change +0.0% (5d) — stable
Smart Money Flow
|weighted flow| ≥20%ITM: +100%, ATM: -45%, OTM: -6% — strong bullish (ITM/ATM divergent)
Sector Relative≤40% or ≥60%
Sector P/C percentile 58% — bearish vs sector
Activity
Unusual activity?
3.7
QuietActive
Detects volume surges,
block trades
, and unusual options activity that may signal moves.Risk Checks1/9 checks passed
Volume Surge
≥1.5xVolume 1.0x avg — normal
Turnover Rate
≥15%Vol/OI 3.2% — 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 32% — below sector avg
Trade Quality
≥30%Large trade volume 0% — mostly retail
Execution Urgency
≥60%Aggressive execution 48% — patient
Flow Conviction
≥30Conviction -19 (bearish) — mixed
Liquidity
Can I trade efficiently?
3.5
IlliquidLiquid
Evaluates
bid-ask spreads
, volume depth, and open interest for trade execution quality.Risk Checks3/8 checks passed
Tradeable Spread
≤5.0%Spread 13.2% — wide
Adequate OI
≥10,000OI 30,676 — adequate
Active Volume
≥500Volume 984/day — adequate
Reasonable Cost
≤$0.50$0.66 to cross — expensive
Strike Coverage
≥5 strikes0 liquid strikes — limited options
Sector Relative≤40%
Sector spread percentile 6% — much tighter than sector
Order Book Depth
≥100 contractsDepth 30.299999999999997 contracts (bid:12.4 ask:17.9) — thin
Execution Quality
<1.0%Avg slippage 10.70% — poor
Timing
Is now a good time?
6.4
RiskyFavorable
Considers earnings proximity,
time decay
, and event calendar for optimal entry timing.Risk Checks5/9 checks passed
Term Structure Clarity
|slope| ≥5%Slope +9.2% — backwardation
IV Percentile Clarity
<30 or >70IV percentile 5% — buyer opportunity
Event Detection
≥10pts kinkIV kink 2.6pts — no clear event
Theta/Vega Clarity
<0.5 or >2.0θ/ν ratio 945.23 — favors income trades
Expiration Distribution
≥3 expirations3 liquid expirations — flexible
Event Risk
≥60% (safe)caution advised: Earnings in 4d (elevated risk)
Spread Momentum
<1.2 ratioSpread ratio 1.00x — stable
Flow Momentum
≥25% strength + ≥50% consistencyFlow -19% @ 60% consistency — unclear
Smart Money Timing
≥40 composite scoreScore 30 (ITM 20% + inst 0%) — retail dominated
Directional Strategy Fit
Option Buyers
Long Calls5.6
bullishIV cheap, mixed flow
Long Puts5.6
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put4.4
bullishIV too cheap, mixed flow
Covered Call4.4
bearishIV too cheap, mixed flow
For educational purposes only. Not investment advice.