PGYPagaya Technologies Ltd. Class A Ordinary Shares
Options Analysis Report•FINANCE SERVICES
Market Cap $1.3B|NASDAQ
● 2026-06-09$15.28
BULLISH
Analysis: 2026-06-08 EOD data
1Y -11.7%YTD -31.4%7D -0.1%
Options Vol
3,687
30D
Implied Move
±23.7%
IV Rank
10%
PGY Options Overview
IV is elevated with bullish flow. Conditions favor premium sellers.
REWARDS
RISK ANALYSIS
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Value
Is IV priced right?
4.9
ExpensiveCheap
Measures whether options are cheap, fair, or rich relative to historical and peer
IV
levels.Risk Checks3/9 checks passed
IV Rank
≤35%IV Rank 89.7% — elevated vs history
IV/HV Ratio
<1.05xIV/HV 1.02x — IV ≤ HV
Sector Relative≤50%
Sector percentile 72% — above sector median
Term Structure
<1.1xFront/Back 0.96x — contango
Skew Normal
<1.25xPut/Call IV 1.16x — elevated
Absolute IV
<80%ATM IV 85.1% — crisis-level IV
Spread-Adjusted Value
<80%Effective IV 134.1% (ATM 85.1% + spread 24.5% + bias) — expensive
Execution Efficiency
<3.0%Total drag 32.86% (spread 24.49% + slippage 8.37%) — high friction
Vega Efficiency
≥5.0Vega efficiency 2.61 (vega 6.396 / spread 24.49%) — spread drag
Sentiment
Bullish or bearish?
7.0
BearishBullish
Analyzes
put/call ratios
, open interest skew
, and flow direction to determine market bias.Risk ChecksBullish - Moderate signal (Conviction: +20%, Raw: +2%)
Flow Direction
|net sentiment| ≥25%Conviction-weighted: +20% (bullish) — Raw: +2%
OI Skew Magnitude
≥15%|OI skew| 4.2% — balanced
Volume-OI Alignment
Same sign, |vol skew| ≥10%Vol skew +62.7%, OI skew +4.2% — aligned
Conviction Quality
≥2/3 conditions0-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: +44%, ATM: -4%, OTM: -1% — strong bullish (ITM/ATM divergent)
Sector Relative≤40% or ≥60%
Sector P/C percentile 37% — bullish vs sector
Activity
Unusual activity?
4.0
QuietActive
Detects volume surges,
block trades
, and unusual options activity that may signal moves.Risk Checks1/9 checks passed
Volume Surge
≥1.5xVolume 0.8x avg — normal
Turnover Rate
≥15%Vol/OI 2.5% — 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 +4.8% (5d) — building
Sector Relative≥60%
Sector activity percentile 45% — neutral vs sector
Trade Quality
≥30%Large trade volume 34% — institutional presence
Execution Urgency
≥60%Aggressive execution 30% — patient
Flow Conviction
≥30Conviction +20 (bullish) — mixed
Liquidity
Can I trade efficiently?
3.2
IlliquidLiquid
Evaluates
bid-ask spreads
, volume depth, and open interest for trade execution quality.Risk Checks3/8 checks passed
Tradeable Spread
≤5.0%Spread 24.5% — wide
Adequate OI
≥10,000OI 147,202 — deep
Active Volume
≥500Volume 3,687/day — adequate
Reasonable Cost
≤$0.50$1.22 to cross — expensive
Strike Coverage
≥5 strikes0 liquid strikes — limited options
Sector Relative≤40%
Sector spread percentile 84% — much wider than sector
Order Book Depth
≥100 contractsDepth 986.6 contracts (bid:541.1 ask:445.5) — deep
Execution Quality
<1.0%Avg slippage 8.37% — 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 -4.1% — flat/unclear
IV Percentile Clarity
<30 or >70IV percentile 90% — seller opportunity
Event Detection
≥10pts kinkIV kink 0.8pts — no clear event
Theta/Vega Clarity
<0.5 or >2.0θ/ν ratio 1254.20 — favors income trades
Expiration Distribution
≥3 expirations4 liquid expirations — flexible
Event Risk
≥60% (safe)caution advised: No earnings detected; CPI in 1d (HIGH)
Spread Momentum
<1.2 ratioSpread ratio 1.00x — stable
Flow Momentum
≥25% strength + ≥50% consistencyFlow +20% @ 60% consistency — unclear
Smart Money Timing
≥40 composite scoreScore 64 (ITM 20% + inst 34%) — HIGH institutional
Directional Strategy Fit
Option Buyers
Long Calls5.7
bullishIV fair, bullish flow
Long Puts4.3
bearishIV fair, bullish flow
Premium Sellers
Cash-Secured Put5.5
bullishIV fair, bullish flow
Covered Call4.3
bearishIV fair, bullish flow
For educational purposes only. Not investment advice.