
MCOMoody's Corporation
MCO Options Overview
IV is low with bearish flow. Conditions favor option buyers.
REWARDS
RISK ANALYSIS
MCO Gamma Walls
MCO Hedge Radar
Neither score is at an extreme today. Neither axis is a forecast — this is where MCO sits on protection cost vs. fragility today.
Protection is priced in the fair band (4.84) — the move being priced is 1.59x this name's own median 21-trading-day move, and downside puts carry 1.9 IV points more than at-the-money, measured against this name's own rolling 21-trading-day realized moves (483 overlapping windows). Fragility reads neutral (4.14): it is trading 3% above its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 26.5% — cheap vs history
IV/HV 1.36x — IV premium over HV
Sector percentile 52% — above sector median
Front/Back 0.86x — contango
Put/Call IV 1.16x — elevated
ATM IV 26.0% — normal range
Effective IV 83.3% (ATM 26.0% + spread 28.6% + bias) — expensive
Total drag 42.11% (spread 28.64% + slippage 13.47%) — high friction
Vega efficiency 25.07 (vega 71.796 / spread 28.64%) — efficient
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: -4% (neutral) — Raw: -22%
|OI skew| 3.7% — balanced
Vol skew -64.0%, OI skew -3.7% — aligned
0-DTE 0%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: -100%, ATM: -85%, OTM: -12% — strong bearish (ITM/ATM aligned)
Sector P/C percentile 91% — very bearish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 0.3x avg — normal
Vol/OI 2.0% — normal turnover
1 day(s) elevated — may be one-day event
OI change -40.1% (5d) — unwinding
Sector activity percentile 46% — neutral vs sector
Large trade volume 0% — mostly retail
Aggressive execution 4% — patient
Conviction -4 (bearish) — mixed
Liquidity
Can I trade efficiently?
Evaluates
Spread 28.6% — wide
OI 12,103 — adequate
Volume 239/day — thin
$1.43 to cross — expensive
0 liquid strikes — limited options
Sector spread percentile 52% — neutral vs sector
Depth 17.9 contracts (bid:8.2 ask:9.7) — thin
Avg slippage 13.47% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope -14.1% — contango
IV percentile 26% — buyer opportunity
IV kink -3.0pts — no clear event
θ/ν ratio 320.52 — favors income trades
4 liquid expirations — flexible
safe window: No events detected
Spread ratio 1.00x — stable
Flow -4% @ 52% consistency — unclear
Score 30 (ITM 20% + inst 0%) — retail dominated
Directional Strategy Fit
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.