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PMPhilip Morris International Inc.

Options Analysis ReportCIGARETTES
Market Cap $299.1B|NYSE
2026-08-31$191.89
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +14.6%YTD +19.7%7D +0.2%
4,914
30D
±7.2%
10%

PM Options Overview

Mixed signals. No clear edge detected.

REWARDS

RISK ANALYSIS

5.4VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

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PM Gamma Walls

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PM 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 (2.43) — near-dated vol is priced 18% below far-dated, and downside puts carry 1.3 IV points more than at-the-money, measured against this name's own rolling 19-trading-day realized moves (485 overlapping windows). Fragility reads neutral (4.63): it is trading 2% above its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost
2.43/ 10cheap
Basis: cross_sectional
Fragility
4.63/ 10neutral
Basis: per_ticker

Value

Is IV priced right?

7.5
ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed
≤35%

IV Rank 35.9% — elevated vs history

<1.05x

IV/HV 1.20x — IV premium over HV

Sector Relative≤50%

Sector percentile 56% — above sector median

<1.1x

Front/Back 0.82x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 26.9% — normal range

<80%

Effective IV 45.9% (ATM 26.9% + spread 9.5% + bias) — excellent value

<3.0%

Total drag 13.97% (spread 9.48% + slippage 4.49%) — high friction

≥5.0

Vega efficiency 18.87 (vega 17.885 / spread 9.48%) — efficient

Sentiment

Bullish or bearish?

4.8
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Weak signal (Conviction: -8%, Raw: -6%)
|net sentiment| ≥25%

Conviction-weighted: -8% (neutral) — Raw: -6%

≥15%

|OI skew| 7.2% — balanced

Same sign, |vol skew| ≥10%

Vol skew +6.7%, OI skew -7.2% — divergent (opposite)

≥2/3 conditions

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

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: -57%, ATM: -4%, OTM: -5% — strong bearish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 83% — very bearish vs sector

Activity

Unusual activity?

3.3
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed
≥1.5x

Volume 1.0x avg — normal

≥15%

Vol/OI 3.4% — normal turnover

≥2 days

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

≥5%

OI change +8.6% (5d) — building

Sector Relative≥60%

Sector activity percentile 40% — below sector avg

≥30%

Large trade volume 15% — mixed

≥60%

Aggressive execution 37% — patient

≥30

Conviction -8 (bearish) — mixed

Liquidity

Can I trade efficiently?

4.2
IlliquidLiquid

Evaluates

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

Risk Checks4/8 checks passed
≤5.0%

Spread 9.5% — wide

≥10,000

OI 144,488 — deep

≥500

Volume 4,914/day — adequate

≤$0.50

$0.47 to cross — cheap

≥5 strikes

1 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 60% — wider than sector

≥100 contracts

Depth 110.6 contracts (bid:48.4 ask:62.2) — adequate

<1.0%

Avg slippage 4.49% — poor

Timing

Is now a good time?

7.0
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed
|slope| ≥5%

Slope -18.3% — contango

<30 or >70

IV percentile 36% — neutral

≥10pts kink

IV kink -3.5pts — no clear event

<0.5 or >2.0

θ/ν ratio 156.61 — favors income trades

≥3 expirations

5 liquid expirations — flexible

≥60% (safe)

safe window: No events detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -8% @ 54% consistency — unclear

≥40 composite score

Score 45 (ITM 20% + inst 15%) — moderate institutional

Directional Strategy Fit

Option Buyers
Long Calls6.0
bullishIV cheap, mixed flow
Long Puts6.1
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put4.3
bullishIV too cheap, mixed flow
Covered Call4.5
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.

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