IV is elevated with bearish flow and unusual activity. No clear edge detected.
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 77.3% — elevated vs history
IV/HV 0.90x — IV ≤ HV
Sector percentile 86% — above sector median
Front/Back 1.27x — backwardation
Put/Call IV 1.16x — elevated
ATM IV 62.2% — normal range
Effective IV 85.8% (ATM 62.2% + spread 11.8% + bias) — expensive
Total drag 19.38% (spread 11.79% + slippage 7.59%) — high friction
Vega efficiency 67.95 (vega 80.117 / spread 11.79%) — efficient
Bullish or bearish?
Analyzes
Conviction-weighted: -5% (neutral) — Raw: -2%
|OI skew| 47.9% — put-heavy
Vol skew -69.0%, OI skew -47.9% — aligned
0-DTE 46%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: +17%, ATM: +5%, OTM: -4% — bullish (ITM/ATM aligned)
Sector P/C percentile 97% — very bearish vs sector
Unusual activity?
Detects volume surges,
Volume 1.1x avg — normal
Vol/OI 15.1% — high turnover
Top 3 strikes = 50% — dispersed
1 day(s) elevated — may be one-day event
OI change +14.2% (5d) — building
Sector activity percentile 92% — very active vs sector
Large trade volume 42% — institutional presence
Aggressive execution 37% — patient
Conviction -5 (bearish) — mixed
Can I trade efficiently?
Evaluates
Spread 11.8% — wide
OI 403,987 — deep
Volume 61,081/day — active
$0.59 to cross — expensive
7 liquid strikes — good coverage
Sector spread percentile 88% — much wider than sector
Depth 258.1 contracts (bid:130.2 ask:127.9) — adequate
Avg slippage 7.59% — poor
Is now a good time?
Considers earnings proximity,
Slope +26.8% — backwardation
IV percentile 77% — seller opportunity
IV kink 10.5pts — event priced
θ/ν ratio 135.47 — favors income trades
5 liquid expirations — flexible
acceptable: No earnings detected; FOMC in 5d
Spread ratio 1.00x — stable
Flow -5% @ 52% consistency — unclear
Score 72 (ITM 20% + inst 42%) — HIGH institutional
For educational purposes only. Not investment advice.