ERIEErie Indemnity Co
Options Analysis Report•INSURANCE AGENTS, BROKERS & SERVICE
Market Cap $12.8B|NASDAQ
● 2026-04-17$244.81
BULLISH
Analysis: 2026-04-16 EOD data
1Y -38.0%YTD -11.9%7D -3.5%
Options Vol
19
30D
Implied Move
±12.3%
IV Rank
10%
ERIE Options Overview
bullish flow. No clear edge detected.
REWARDS
RISK ANALYSIS
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Value
Is IV priced right?
5.3
ExpensiveCheap
Measures whether options are cheap, fair, or rich relative to historical and peer
IV
levels.Risk Checks4/9 checks passed
IV Rank
≤35%IV Rank 65.4% — elevated vs history
IV/HV Ratio
<1.05xIV/HV 1.15x — IV premium over HV
Sector Relative≤50%
Sector percentile 82% — above sector median
Term Structure
<1.1xFront/Back 1.21x — backwardation
Skew Normal
<1.25xPut/Call IV 1.16x — elevated
Absolute IV
<80%ATM IV 40.1% — normal range
Spread-Adjusted Value
<80%Effective IV 65.7% (ATM 40.1% + spread 12.8% + bias) — fair
Execution Efficiency
<3.0%Total drag 26.59% (spread 12.81% + slippage 13.78%) — high friction
Vega Efficiency
≥5.0Vega efficiency 59.82 (vega 76.635 / spread 12.81%) — efficient
Sentiment
Bullish or bearish?
4.6
BearishBullish
Analyzes
put/call ratios
, open interest skew
, and flow direction to determine market bias.Risk ChecksVery Bearish - Strong signal (Conviction: -56%, Raw: -53%)
Flow Direction
|net sentiment| ≥25%Conviction-weighted: -56% (strong bearish) — Raw: -53%
OI Skew Magnitude
≥15%|OI skew| 74.1% — call-heavy
Volume-OI Alignment
Same sign, |vol skew| ≥10%Vol skew +89.5%, OI skew +74.1% — aligned
Conviction Quality
≥2/3 conditions0-DTE 10%, far-OTM 15%, avg DTE 30
OI Momentum
|change| ≥3%OI change +0.0% (5d) — stable
Smart Money Flow
|weighted flow| ≥20%ITM: +0%, ATM: -100%, OTM: -60% — strong bearish (ITM/ATM divergent)
Sector Relative≤40% or ≥60%
Sector P/C percentile 3% — very bullish vs sector
Activity
Unusual activity?
2.5
QuietActive
Detects volume surges,
block trades
, and unusual options activity that may signal moves.Risk Checks1/9 checks passed
Volume Surge
≥1.5xVolume 0.3x avg — normal
Turnover Rate
≥15%Vol/OI 0.5% — 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 +1.3% (5d) — stable
Sector Relative≥60%
Sector activity percentile 3% — quiet vs sector
Trade Quality
≥30%Large trade volume 0% — mostly retail
Execution Urgency
≥60%Aggressive execution 35% — patient
Flow Conviction
≥30Conviction -56 (bearish) — strong conviction
Liquidity
Can I trade efficiently?
2.4
IlliquidLiquid
Evaluates
bid-ask spreads
, volume depth, and open interest for trade execution quality.Risk Checks0/8 checks passed
Tradeable Spread
≤5.0%Spread 12.8% — wide
Adequate OI
≥10,000OI 3,578 — thin
Active Volume
≥500Volume 19/day — thin
Reasonable Cost
≤$0.50$0.64 to cross — expensive
Strike Coverage
≥5 strikes0 liquid strikes — limited options
Sector Relative≤40%
Sector spread percentile 82% — much wider than sector
Order Book Depth
≥100 contractsDepth 16.700000000000003 contracts (bid:7.4 ask:9.3) — thin
Execution Quality
<1.0%Avg slippage 13.78% — poor
Timing
Is now a good time?
7.0
RiskyFavorable
Considers earnings proximity,
time decay
, and event calendar for optimal entry timing.Risk Checks5/9 checks passed
Term Structure Clarity
|slope| ≥5%Slope +21.5% — backwardation
IV Percentile Clarity
<30 or >70IV percentile 65% — neutral
Event Detection
≥10pts kinkIV kink 6.5pts — no clear event
Theta/Vega Clarity
<0.5 or >2.0θ/ν ratio 1212.58 — favors income trades
Expiration Distribution
≥3 expirations3 liquid expirations — flexible
Event Risk
≥60% (safe)caution advised: Earnings in 6d (elevated risk)
Spread Momentum
<1.2 ratioSpread ratio 1.00x — stable
Flow Momentum
≥25% strength + ≥50% consistencyFlow -56% @ 77% consistency — STRONG directional (bearish)
Smart Money Timing
≥40 composite scoreScore 30 (ITM 20% + inst 0%) — retail dominated
Directional Strategy Fit
Option Buyers
Long Calls4.8
bullishIV fair, mixed flow
Long Puts5.1
bearishIV fair, mixed flow
Premium Sellers
Cash-Secured Put4.5
bullishIV fair, mixed flow
Covered Call4.8
bearishIV fair, mixed flow
For educational purposes only. Not investment advice.