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ESNTEssent Group LTD

Options Analysis Report•SURETY INSURANCE
Market Cap $6.2B|NYSE
● 2026-08-31$68.90
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +10.0%YTD +6.5%7D +0.6%
3
30D
±8.6%
5%

ESNT Options Overview

IV is low. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

4.2VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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ESNT Gamma Walls

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Value

Is IV priced right?

6.7
ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed
≤35%

IV Rank 27.8% — cheap vs history

<1.05x

IV/HV 1.03x — IV ≤ HV

Sector Relative≤50%

Sector percentile 46% — below sector median

<1.1x

Front/Back 1.33x — backwardation

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 22.3% — normal range

<80%

Effective IV 363.0% (ATM 22.3% + spread 170.4% + bias) — expensive

<3.0%

Total drag 196.30% (spread 170.37% + slippage 25.93%) — high friction

≥5.0

Vega efficiency 1.00 (vega 17.006 / spread 170.37%) — spread drag

Sentiment

Bullish or bearish?

3.0
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksVery Bearish - Moderate signal (Conviction: -100%, Raw: -100%)
|net sentiment| ≥25%

Conviction-weighted: -100% (strong bearish) — Raw: -100%

≥15%

|OI skew| 79.3% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +100.0%, OI skew +79.3% — 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: +0%, ATM: +0%, OTM: -100% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 50% — neutral vs sector

Activity

Unusual activity?

2.3
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 0.7% — normal turnover

≥2 days

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

≥5%

OI change +0.0% (5d) — stable

Sector Relative≥60%

Sector activity percentile 23% — below sector avg

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 0% — patient

≥30

Conviction -100 (bearish) — strong conviction

Liquidity

Can I trade efficiently?

1.8
IlliquidLiquid

Evaluates

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

Risk Checks0/8 checks passed
≤5.0%

Spread 170.4% — wide

≥10,000

OI 444 — thin

≥500

Volume 3/day — thin

≤$0.50

$8.52 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 59% — neutral vs sector

≥100 contracts

Depth 23.0 contracts (bid:10.0 ask:13.0) — thin

<1.0%

Avg slippage 25.93% — poor

Timing

Is now a good time?

7.4
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope +32.9% — backwardation

<30 or >70

IV percentile 28% — buyer opportunity

≥10pts kink

IV kink 9.7pts — no clear event

<0.5 or >2.0

θ/ν ratio 1118.84 — 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 -100% @ 100% consistency — STRONG directional (bearish)

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls4.8
bullishIV cheap, bearish flow
Long Puts6.2
bearishIV cheap, bearish flow
Premium Sellers
Cash-Secured Put3.5
bullishIV too cheap, bearish flow
Covered Call4.9
bearishIV too cheap, 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.

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