IV is low. Conditions favor option buyers.
Neither score is at an extreme today. Neither axis is a forecast — this is where DIA sits on protection cost vs. fragility today.
Protection is priced in the cheap band (2.21) — near-dated vol is priced 15% below far-dated, and implied vol sits in the 13th percentile of its own past year, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (5.36): it is trading 1% below its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 3.9% — cheap vs history
IV/HV 0.97x — IV ≤ HV
Sector percentile 7% — below sector median
Front/Back 0.85x — contango
Put/Call IV 1.16x — elevated
ATM IV 14.0% — normal range
Effective IV 35.8% (ATM 14.0% + spread 10.9% + bias) — excellent value
Total drag 14.70% (spread 10.89% + slippage 3.81%) — high friction
Vega efficiency 29.94 (vega 32.610 / spread 10.89%) — efficient
Bullish or bearish?
Analyzes
Conviction-weighted: -1% (neutral) — Raw: -4%
|OI skew| 20.7% — put-heavy
Vol skew -6.0%, OI skew -20.7% — weak (same direction)
0-DTE 44%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: +12%, ATM: +1%, OTM: -18% — neutral (ITM/ATM aligned)
Sector P/C percentile 87% — very bearish vs sector
Unusual activity?
Detects volume surges,
Volume 1.1x avg — normal
Vol/OI 9.9% — normal turnover
1 day(s) elevated — may be one-day event
OI change +2.6% (5d) — building
Sector activity percentile 82% — very active vs sector
Large trade volume 26% — mixed
Aggressive execution 30% — patient
Conviction -1 (bearish) — mixed
Can I trade efficiently?
Evaluates
Spread 10.9% — wide
OI 648,586 — deep
Volume 64,295/day — active
$0.54 to cross — expensive
2 liquid strikes — limited options
Sector spread percentile 29% — tighter than sector
Depth 129.5 contracts (bid:61.1 ask:68.4) — adequate
Avg slippage 3.81% — poor
Is now a good time?
Considers earnings proximity,
Slope -14.9% — contango
IV percentile 4% — buyer opportunity
IV kink -0.7pts — no clear event
θ/ν ratio 183.20 — favors income trades
5 liquid expirations — flexible
safe window: No earnings detected
Spread ratio 1.00x — stable
Flow -1% @ 51% consistency — unclear
Score 56 (ITM 20% + inst 26%) — moderate institutional
For educational purposes only. Not investment advice.