Options/PEN

PENPenumbra, Inc.

Options Analysis Report•SURGICAL & MEDICAL INSTRUMENTS & APPARATUS

Market Cap $12.7B|NYSE

● 2026-08-31$321.68

NEUTRAL

Analysis: 2026-08-28 EOD data

1Y +19.4%YTD +4.0%7D -0.6%

Options Vol

30D

Implied Move

±8.6%

IV Rank

98%

PEN Options Overview

IV is elevated with bearish flow. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

Learn

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PEN Gamma Walls

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Value

Is IV priced right?

1.1

ExpensiveCheap

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

levels.

Risk Checks2/9 checks passed

IV Rank

≤35%

IV Rank 97.4% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 15.96x — IV premium over HV

Sector Relative≤50%

Sector percentile 94% — above sector median

Term Structure

<1.1x

Front/Back 0.41x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 114.9% — crisis-level IV

Spread-Adjusted Value

<80%

Effective IV 213.1% (ATM 114.9% + spread 49.1% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 70.88% (spread 49.08% + slippage 21.80%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 0.00 (vega 0.000 / spread 49.08%) — spread drag

Sentiment

Bullish or bearish?

6.3

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bullish - Strong signal (Conviction: +79%, Raw: +71%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +79% (strong bullish) — Raw: +71%

OI Skew Magnitude

≥15%

|OI skew| 36.5% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -85.7%, OI skew -36.5% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 0%, 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: +0%, OTM: +71% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 96% — very bearish vs sector

Activity

Unusual activity?

2.3

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed

Volume Surge

≥1.5x

Volume 0.1x avg — normal

Turnover Rate

≥15%

Vol/OI 0.2% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -6.4% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 11% — quiet vs sector

Trade Quality

≥30%

Large trade volume 0% — mostly retail

Execution Urgency

≥60%

Aggressive execution 29% — patient

Flow Conviction

≥30

Conviction +79 (bullish) — strong conviction

Liquidity

Can I trade efficiently?

2.0

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks1/8 checks passed

Tradeable Spread

≤5.0%

Spread 49.1% — wide

Adequate OI

≥10,000

OI 11,792 — adequate

Active Volume

≥500

Volume 28/day — thin

Reasonable Cost

≤$0.50

$2.45 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 97% — much wider than sector

Order Book Depth

≥100 contracts

Depth 2.5999999999999996 contracts (bid:1.4 ask:1.2) — thin

Execution Quality

<1.0%

Avg slippage 21.80% — poor

Timing

Is now a good time?

7.0

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -58.9% — contango

IV Percentile Clarity

<30 or >70

IV percentile 97% — seller opportunity

Event Detection

≥10pts kink

IV kink -83.4pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 1.00 — favors mixed

Expiration Distribution

≥3 expirations

3 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No events detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +79% @ 83% consistency — STRONG directional (bullish)

Smart Money Timing

≥40 composite score

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

Directional Strategy Fit

Option Buyers

Long Calls3.9

bullishIV expensive, bullish flow

Long Puts3.0

bearishIV expensive, bullish flow

Premium Sellers

Cash-Secured Put6.3

bullishIV rich premium, bullish flow

Covered Call5.4

bearishIV rich premium, bullish 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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