Options/PM

PMPhilip Morris International Inc.

Options Analysis Report•CIGARETTES

Market Cap $299.1B|NYSE

● 2026-08-28$191.89

NEUTRAL

Analysis: 2026-08-27 EOD data

1Y +14.6%YTD +19.7%7D +1.9%

Options Vol

3,524

30D

Implied Move

±7.4%

IV Rank

15%

PM Options Overview

Mixed signals. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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PM Gamma Walls

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PM Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where PM sits on protection cost vs. fragility today.

Protection is priced in the cheap band (2.65) — near-dated vol is priced 10% below far-dated, and downside puts carry 0.5 IV points more than at-the-money, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (4.32): it is trading 4% above its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

2.65/ 10cheap

Basis: cross_sectional

Fragility

4.32/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

7.4

ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed

IV Rank

≤35%

IV Rank 37.1% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.26x — IV premium over HV

Sector Relative≤50%

Sector percentile 48% — below sector median

Term Structure

<1.1x

Front/Back 0.90x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 28.2% — normal range

Spread-Adjusted Value

<80%

Effective IV 48.9% (ATM 28.2% + spread 10.3% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 16.90% (spread 10.34% + slippage 6.56%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 14.13 (vega 14.614 / spread 10.34%) — efficient

Sentiment

Bullish or bearish?

4.4

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBearish - Moderate signal (Conviction: -20%, Raw: -15%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -20% (bearish) — Raw: -15%

OI Skew Magnitude

≥15%

|OI skew| 7.2% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -0.2%, OI skew -7.2% — weak (same direction)

Conviction Quality

≥2/3 conditions

0-DTE 17%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -50%, ATM: -41%, OTM: -5% — strong bearish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 60% — bearish vs sector

Activity

Unusual activity?

2.3

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed

Volume Surge

≥1.5x

Volume 0.7x avg — normal

Turnover Rate

≥15%

Vol/OI 2.5% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -8.9% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 29% — below sector avg

Trade Quality

≥30%

Large trade volume 3% — mostly retail

Execution Urgency

≥60%

Aggressive execution 40% — patient

Flow Conviction

≥30

Conviction -20 (bearish) — mixed

Liquidity

Can I trade efficiently?

4.1

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 10.3% — wide

Adequate OI

≥10,000

OI 143,201 — deep

Active Volume

≥500

Volume 3,524/day — adequate

Reasonable Cost

≤$0.50

$0.52 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 51% — neutral vs sector

Order Book Depth

≥100 contracts

Depth 133.3 contracts (bid:48.0 ask:85.3) — adequate

Execution Quality

<1.0%

Avg slippage 6.56% — poor

Timing

Is now a good time?

7.1

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks5/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -9.8% — contango

IV Percentile Clarity

<30 or >70

IV percentile 37% — neutral

Event Detection

≥10pts kink

IV kink -1.8pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 110.13 — favors income trades

Expiration Distribution

≥3 expirations

5 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 -20% @ 60% consistency — unclear

Smart Money Timing

≥40 composite score

Score 33 (ITM 20% + inst 3%) — retail dominated

Directional Strategy Fit

Option Buyers

Long Calls5.8

bullishIV cheap, mixed flow

Long Puts6.2

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put4.2

bullishIV too cheap, mixed flow

Covered Call4.6

bearishIV too cheap, mixed 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 PM

PM gamma walls PM max pain PM IV rank PM options flow