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TRVThe Travelers Companies, Inc.

Options Analysis Report•FIRE, MARINE & CASUALTY INSURANCE
Market Cap $77.2B|NYSE
● 2026-08-31$369.90
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +35.3%YTD +29.7%7D -0.2%
225
30D
±5.9%
10%

TRV Options Overview

IV is low. No clear edge detected.

REWARDS

RISK ANALYSIS

5.0VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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TRV Gamma Walls

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Value

Is IV priced right?

7.2
ExpensiveCheap

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

levels.

Risk Checks7/9 checks passed
≤35%

IV Rank 20.0% — cheap vs history

<1.05x

IV/HV 1.40x — IV premium over HV

Sector Relative≤50%

Sector percentile 33% — below sector median

<1.1x

Front/Back 0.87x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 23.6% — normal range

<80%

Effective IV 77.2% (ATM 23.6% + spread 26.8% + bias) — fair

<3.0%

Total drag 39.61% (spread 26.79% + slippage 12.82%) — high friction

≥5.0

Vega efficiency 20.09 (vega 53.813 / spread 26.79%) — efficient

Sentiment

Bullish or bearish?

5.0
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Moderate signal (Conviction: -5%, Raw: +3%)
|net sentiment| ≥25%

Conviction-weighted: -5% (neutral) — Raw: +3%

≥15%

|OI skew| 23.2% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew -6.7%, OI skew +23.2% — 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: +0%, ATM: -100%, OTM: +5% — strong bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 77% — very bearish vs sector

Activity

Unusual activity?

2.6
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed
≥1.5x

Volume 0.3x avg — normal

≥15%

Vol/OI 1.6% — normal turnover

≥2 days

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

≥5%

OI change +5.1% (5d) — building

Sector Relative≥60%

Sector activity percentile 40% — neutral vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 34% — patient

≥30

Conviction -5 (bearish) — mixed

Liquidity

Can I trade efficiently?

3.2
IlliquidLiquid

Evaluates

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

Risk Checks2/8 checks passed
≤5.0%

Spread 26.8% — wide

≥10,000

OI 14,508 — adequate

≥500

Volume 225/day — thin

≤$0.50

$1.34 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 34% — tighter than sector

≥100 contracts

Depth 41.599999999999994 contracts (bid:19.4 ask:22.2) — thin

<1.0%

Avg slippage 12.82% — poor

Timing

Is now a good time?

6.9
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope -13.4% — contango

<30 or >70

IV percentile 20% — buyer opportunity

≥10pts kink

IV kink -3.1pts — no clear event

<0.5 or >2.0

θ/ν ratio 378.43 — favors income trades

≥3 expirations

3 liquid expirations — flexible

≥60% (safe)

safe window: No events detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -5% @ 53% consistency — unclear

≥40 composite score

Score 30 (ITM 20% + inst 0%) — retail dominated

Directional Strategy Fit

Option Buyers
Long Calls5.8
bullishIV cheap, mixed flow
Long Puts5.8
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put4.2
bullishIV too cheap, mixed flow
Covered Call4.3
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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