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ERIEErie Indemnity Co

Options Analysis Report•INSURANCE AGENTS, BROKERS & SERVICE
Market Cap $13.6B|NASDAQ
● 2026-08-31$260.40
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y -23.0%YTD -6.3%7D -3.1%
8
30D
±10.0%
12%

ERIE Options Overview

IV is elevated. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

3.9VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for premium sellers

Learn
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ERIE Gamma Walls

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Value

Is IV priced right?

4.5
ExpensiveCheap

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

levels.

Risk Checks3/9 checks passed
≤35%

IV Rank 75.5% — elevated vs history

<1.05x

IV/HV 1.07x — IV premium over HV

Sector Relative≤50%

Sector percentile 92% — above sector median

<1.1x

Front/Back 0.93x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 36.8% — normal range

<80%

Effective IV 216.4% (ATM 36.8% + spread 89.8% + bias) — expensive

<3.0%

Total drag 113.88% (spread 89.80% + slippage 24.08%) — high friction

≥5.0

Vega efficiency 2.76 (vega 24.828 / spread 89.80%) — spread drag

Sentiment

Bullish or bearish?

3.4
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksBearish - Moderate signal (Conviction: -28%, Raw: -25%)
|net sentiment| ≥25%

Conviction-weighted: -28% (bearish) — Raw: -25%

≥15%

|OI skew| 73.3% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew -25.0%, OI skew +73.3% — divergent (opposite)

≥2/3 conditions

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

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: +0%, ATM: +0%, OTM: -25% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 85% — very bearish vs sector

Activity

Unusual activity?

2.8
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed
≥1.5x

Volume 0.1x avg — normal

≥15%

Vol/OI 0.3% — normal turnover

≥2 days

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

≥5%

OI change +25.5% (5d) — building

Sector Relative≥60%

Sector activity percentile 12% — quiet vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 38% — patient

≥30

Conviction -28 (bearish) — mixed

Liquidity

Can I trade efficiently?

2.0
IlliquidLiquid

Evaluates

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

Risk Checks0/8 checks passed
≤5.0%

Spread 89.8% — wide

≥10,000

OI 2,451 — thin

≥500

Volume 8/day — thin

≤$0.50

$4.49 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 93% — much wider than sector

≥100 contracts

Depth 13.0 contracts (bid:6.2 ask:6.8) — thin

<1.0%

Avg slippage 24.08% — poor

Timing

Is now a good time?

7.0
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed
|slope| ≥5%

Slope -6.7% — contango

<30 or >70

IV percentile 76% — seller opportunity

≥10pts kink

IV kink -2.7pts — no clear event

<0.5 or >2.0

θ/ν ratio 112.75 — favors income trades

≥3 expirations

3 liquid expirations — flexible

≥60% (safe)

safe window: No events detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -28% @ 60% consistency — moderate (bearish)

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls4.1
bullishIV fair, bearish flow
Long Puts5.2
bearishIV fair, bearish flow
Premium Sellers
Cash-Secured Put4.3
bullishIV fair, bearish flow
Covered Call5.4
bearishIV fair, bearish 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.

More on ERIE

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