TWO
TWO Options Overview
IV is low with bearish flow. Conditions favor option buyers.
REWARDS
RISK ANALYSIS
TWO Gamma Walls
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 0.3% — cheap vs history
IV/HV 0.65x — IV ≤ HV
Sector percentile 0% — below sector median
Front/Back 1.00x — flat
Put/Call IV 1.16x — elevated
ATM IV 4.1% — normal range
Effective IV 53.3% (ATM 4.1% + spread 24.6% + bias) — good value
Total drag 35.30% (spread 24.61% + slippage 10.69%) — high friction
Vega efficiency 0.00 (vega 0.000 / spread 24.61%) — spread drag
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: -55% (strong bearish) — Raw: -55%
|OI skew| 73.2% — put-heavy
Vol skew -38.6%, OI skew -73.2% — aligned
0-DTE 0%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: +100%, ATM: -56%, OTM: +0% — strong bullish (ITM/ATM divergent)
Sector P/C percentile 90% — very bearish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 1.2x avg — normal
Vol/OI 1.7% — normal turnover
1 day(s) elevated — may be one-day event
OI change -2.6% (5d) — unwinding
Sector activity percentile 43% — neutral vs sector
Large trade volume 48% — institutional presence
Aggressive execution 50% — patient
Conviction -55 (bearish) — strong conviction
Liquidity
Can I trade efficiently?
Evaluates
Spread 24.6% — wide
OI 37,505 — adequate
Volume 625/day — adequate
$1.23 to cross — expensive
0 liquid strikes — limited options
Sector spread percentile 53% — neutral vs sector
Depth 980.4000000000001 contracts (bid:677.7 ask:302.7) — deep
Avg slippage 10.69% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope +0.0% — flat/unclear
IV percentile 0% — buyer opportunity
IV kink 0.0pts — no clear event
θ/ν ratio 1.00 — favors mixed
1 liquid expirations — limited
safe window: No earnings detected
Spread ratio 1.00x — stable
Flow -55% @ 77% consistency — STRONG directional (bearish)
Score 78 (ITM 20% + inst 48%) — HIGH institutional
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.