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CPCanadian Pacific Kansas City Limited

Options Analysis Report•RAILROADS, LINE-HAUL OPERATING
Market Cap $82.7B|NYSE
● 2026-08-31$94.12
BULLISH
Analysis: 2026-08-28 EOD data
1Y +23.1%YTD +26.4%7D -0.6%
213
30D
±5.5%
5%

CP Options Overview

IV is low with bullish flow. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

5.6VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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CP Gamma Walls

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Value

Is IV priced right?

8.5
ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed
≤35%

IV Rank 26.1% — cheap vs history

<1.05x

IV/HV 1.22x — IV premium over HV

Sector Relative≤50%

Sector percentile 5% — below sector median

<1.1x

Front/Back 0.87x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 21.7% — normal range

<80%

Effective IV 86.7% (ATM 21.7% + spread 32.5% + bias) — expensive

<3.0%

Total drag 40.72% (spread 32.49% + slippage 8.23%) — high friction

≥5.0

Vega efficiency 6.84 (vega 22.235 / spread 32.49%) — acceptable

Sentiment

Bullish or bearish?

7.3
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksBullish - Strong signal (Conviction: +23%, Raw: +24%)
|net sentiment| ≥25%

Conviction-weighted: +23% (bullish) — Raw: +24%

≥15%

|OI skew| 52.6% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +85.9%, OI skew +52.6% — aligned

≥2/3 conditions

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

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: +100%, ATM: -1%, OTM: +48% — strong bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 11% — very bullish vs sector

Activity

Unusual activity?

2.1
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed
≥1.5x

Volume 0.3x avg — normal

≥15%

Vol/OI 0.7% — normal turnover

≥2 days

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

≥5%

OI change +0.8% (5d) — stable

Sector Relative≥60%

Sector activity percentile 32% — below sector avg

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 42% — patient

≥30

Conviction +23 (bullish) — mixed

Liquidity

Can I trade efficiently?

3.4
IlliquidLiquid

Evaluates

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

Risk Checks2/8 checks passed
≤5.0%

Spread 32.5% — wide

≥10,000

OI 31,095 — adequate

≥500

Volume 213/day — thin

≤$0.50

$1.62 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 41% — neutral vs sector

≥100 contracts

Depth 138.4 contracts (bid:45.5 ask:92.9) — adequate

<1.0%

Avg slippage 8.23% — poor

Timing

Is now a good time?

6.8
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed
|slope| ≥5%

Slope -12.7% — contango

<30 or >70

IV percentile 26% — buyer opportunity

≥10pts kink

IV kink -2.1pts — no clear event

<0.5 or >2.0

θ/ν ratio 983.84 — favors income trades

≥3 expirations

4 liquid expirations — flexible

≥60% (safe)

safe window: No events detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow +23% @ 62% consistency — unclear

≥40 composite score

Score 30 (ITM 20% + inst 0%) — retail dominated

Directional Strategy Fit

Option Buyers
Long Calls7.9
bullishIV cheap, bullish flow
Long Puts5.4
bearishIV cheap, bullish flow
Premium Sellers
Cash-Secured Put4.7
bullishIV too cheap, bullish flow
Covered Call3.1
bearishIV too cheap, bullish 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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