WABWabtec Inc.
WAB Options Overview
IV is low with bullish flow. Conditions favor option buyers.
REWARDS
RISK ANALYSIS
WAB Gamma Walls
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 16.4% — cheap vs history
IV/HV 1.40x — IV premium over HV
Sector percentile 13% — below sector median
Front/Back 0.89x — contango
Put/Call IV 1.16x — elevated
ATM IV 23.8% — normal range
Effective IV 63.0% (ATM 23.8% + spread 19.6% + bias) — good value
Total drag 29.27% (spread 19.58% + slippage 9.69%) — high friction
Vega efficiency 41.69 (vega 81.624 / spread 19.58%) — efficient
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: +100% (strong bullish) — Raw: +100%
|OI skew| 17.6% — call-heavy
Vol skew +16.7%, OI skew +17.6% — aligned
0-DTE 0%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: +0%, ATM: +0%, OTM: +100% — neutral (ITM/ATM divergent)
Sector P/C percentile 47% — neutral vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 0.1x avg — normal
Vol/OI 0.5% — normal turnover
1 day(s) elevated — may be one-day event
OI change -23.2% (5d) — unwinding
Sector activity percentile 4% — quiet vs sector
Large trade volume 0% — mostly retail
Aggressive execution 10% — patient
Conviction +100 (bullish) — strong conviction
Liquidity
Can I trade efficiently?
Evaluates
Spread 19.6% — wide
OI 2,416 — thin
Volume 12/day — thin
$0.98 to cross — expensive
0 liquid strikes — limited options
Sector spread percentile 19% — much tighter than sector
Depth 17.4 contracts (bid:8.1 ask:9.3) — thin
Avg slippage 9.69% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope -11.2% — contango
IV percentile 16% — buyer opportunity
IV kink -1.7pts — no clear event
θ/ν ratio 1132.09 — favors income trades
3 liquid expirations — flexible
safe window: No events detected
Spread ratio 1.00x — stable
Flow +100% @ 100% consistency — STRONG directional (bullish)
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.