STTState Street Corporation
STT Options Overview
Mixed signals. No clear edge detected.
REWARDS
RISK ANALYSIS
STT Gamma Walls
STT Hedge Radar
Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where STT sits on protection cost vs. fragility today.
Protection is priced in the cheap band (3.15) — downside puts carry 0.3 IV points LESS than at-the-money, and near-dated vol is priced 6% below far-dated, measured against this name's own rolling 22-trading-day realized moves (482 overlapping windows). Fragility reads resilient (3.31): it is trading 7% above its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 47.4% — elevated vs history
IV/HV 1.54x — IV premium over HV
Sector percentile 76% — above sector median
Front/Back 0.81x — contango
Put/Call IV 1.16x — elevated
ATM IV 30.7% — normal range
Effective IV 68.1% (ATM 30.7% + spread 18.7% + bias) — fair
Total drag 24.48% (spread 18.72% + slippage 5.76%) — high friction
Vega efficiency 24.81 (vega 46.439 / spread 18.72%) — efficient
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: -29% (bearish) — Raw: -29%
|OI skew| 1.8% — balanced
Vol skew +15.3%, OI skew -1.8% — divergent (opposite)
0-DTE 0%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: +11%, ATM: +3%, OTM: -33% — neutral (ITM/ATM aligned)
Sector P/C percentile 32% — bullish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 0.4x avg — normal
Vol/OI 1.6% — normal turnover
1 day(s) elevated — may be one-day event
OI change -14.3% (5d) — unwinding
Sector activity percentile 31% — below sector avg
Large trade volume 0% — mostly retail
Aggressive execution 16% — patient
Conviction -29 (bearish) — mixed
Liquidity
Can I trade efficiently?
Evaluates
Spread 18.7% — wide
OI 30,424 — adequate
Volume 477/day — thin
$0.94 to cross — expensive
0 liquid strikes — limited options
Sector spread percentile 76% — wider than sector
Depth 53.7 contracts (bid:25.9 ask:27.8) — thin
Avg slippage 5.76% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope -18.9% — contango
IV percentile 47% — neutral
IV kink -5.1pts — no clear event
θ/ν ratio 835.23 — favors income trades
4 liquid expirations — flexible
safe window: No events detected
Spread ratio 1.00x — stable
Flow -29% @ 65% consistency — moderate (bearish)
Score 30 (ITM 20% + inst 0%) — retail dominated
Directional Strategy Fit
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.