Primary read
Volatility
Volatility expansion watch
Ticker Options Intelligence
REPL options intelligence
Replimune Group Inc options pressure, expected move, strike concentration, and Sharemaestro trend context.
Conviction
54
Market data through 31 Jul 2026
Checked 3 Aug 2026 10:39 · complete available chain
Volatility expansion watch
Volatility pressure
REPL currently carries volatility options pressure with a 54/100 conviction score. The nearest-chain expected move is 44.2%, with volume/open-interest participation at 0.23.
Expected move
44.2%
Wider near-term move priced
Activity / OI
0.23
Current volume is quieter versus prior open interest
Put-call
5.95
Put-side skew
Trend fit
24
Options are not fully confirming trend
Weekly backdrop
+15.5%
RS 38.1
Expected move
44.2%
Put-call volume
5.95
Volume / OI
0.23
Reference IV
3.97
Max pain
9.00
Underlying
11.20
Nearest expiry
7 Aug 2026
Contracts
600
Research Brief
REPL has a volatility chain read with 54/100 evidence alignment.
The practical question is whether the underlying confirms the options concentration. The chain prices a reference range of 6.25–16.15; The largest call open-interest concentration is 22.00; the largest put concentration is 5.00. The most active strike by current volume is 5.00.
Priced range6.25–16.15
Call concentration22.00
Put concentration5.00
Max pain reference9.00
- A clear directional pressure reading develops and price begins to agree.
- Volatility falls and the chain remains directionally mixed.
- Options and the weekly trend are not yet giving the same message.
- Front-expiry volatility is rich, so the signal may be event-driven and vulnerable to volatility compression.
Priced Move
Where the chain says movement becomes exceptional
Options imply 6.25 to 16.15. Max pain at 9.00 sits inside that range, 19.6% below spot.
Spot
Max pain
6.2511.20 ± 4.9516.15
Confirmation level
A close beyond 16.15 or below 6.25 at the 7 Aug expiry would exceed the move currently priced by this chain.
Important limitation
The range is a pricing reference, not a forecast; volatility can reprice sharply after news or as expiry approaches.
Score Construction
Why conviction is 54/100
Pressure is 68/100 toward puts; conviction uses its strength, while the signal label carries its direction.
Directional pressure68 × 42%
+28.6
How strongly activity leans toward calls or puts.
Participation45 × 22%
+10.0
Volume relative to existing open interest and contract-level activity.
Trend agreement24 × 26%
+6.1
How closely the chain read agrees with the underlying trend backdrop.
Volatility96 × 10%
+9.6
The intensity of implied volatility and the priced move.
Positioning by Strike
Where open interest and current activity concentrate
The largest call open-interest concentration is 22.00; the largest put concentration is 5.00. The most active strike by current volume is 5.00. Open-interest concentrations show where positions exist; they are not proven support, resistance or dealer exposure.
Put open interestStrikeCall open interest
3585
1.00-91.1%
9
0
1.50-86.6%
0
3476
2.00-82.1%
7
0
2.50-77.7%
0
1896
3.00-73.2%
6
1700
4.00-64.3%
591
8
4.50-59.8%
39
13208
5.00-55.4%
198
2402
6.00-46.4%
354
3933
8.00-28.6%
501
311
9.00-19.6%
591
163
10.00-10.7%
594
162
11.00-1.8%
275
2
12.007.1%
1312
22
13.0016.1%
118
366
22.0096.4%
2689
1308
23.00105.4%
639
Nearest spot strike Max pain strikeBars show relative OI within this expiry
Gamma Profile by Strike
Positive gamma proxy
Call-side gamma sensitivity outweighs the put-side proxy across the retained chain. The largest bars mark levels where delta-hedging sensitivity may be most concentrated.
Net profile+$310,853Delta change / 1% move
Positive peak10.00+$158,039
Negative peak8.00-$44,249
Nearest balance11.50Interpolated sign change
StrikeNegativePositiveNet / 1% move
6.00-46.4%
-$12,772
6.50-42.0%
-$213
7.00-37.5%
-$1,745
7.50-33.0%
+$1,572
8.00-28.6%
-$44,249
8.50-24.1%
+$4,887
9.00-19.6%
-$9,680
9.50-15.2%
+$371
10.00-10.7%
+$158,039
10.50-6.3%
+$279
11.00-1.8%
-$12,774
11.502.7%
-$0
12.007.1%
+$26,547
12.5011.6%
+$490
13.0016.1%
+$3,790
13.5020.5%
+$30,535
14.0025.0%
+$17,950
14.5029.5%
+$450
15.0033.9%
+$124,649
15.5038.4%
-$2,490
16.0042.9%
+$23,265
Positive call-side proxy Negative put-side proxyHighlighted row is nearest spot strike
Scenario proxy = gamma × open interest × 100 shares × spot² × 1%. Calls are positive and puts negative by convention. Missing Greeks use a Black-Scholes estimate from stored IV with zero rate and dividend assumptions. Open interest does not reveal who is long or short, so this is not observed dealer positioning or a forecast.
Volatility Curve
Front-loaded volatility
Near-term options are materially richer than later expirations, consistent with concentrated event or immediate-risk pricing.
3.97
7 Aug
7d
2.39
14 Aug
14d
2.55
21 Aug
21d
2.38
28 Aug
28d
2.14
4 Sep
35d
2.04
11 Sep
42d
1.81
18 Sep
49d
1.52
20 Nov
112d
Volatility by Strike
Downside protection premium
Out-of-the-money puts carry higher implied volatility than comparable calls, indicating richer downside protection.
9
10
10
11
11
12
12
13
13
Put IV Call IV
Historical Replay
How matured reads behaved through expiry
1 stored transitions are available, but none had a directional bullish or bearish label.
Directional follow-through-
Moves contained by pricing100%
Average expiry move15.5%
30 Jul
Mixed · 36
15.5% through expiry
62.9% priced · v2.0
Eligible snapshots must have a dated market session, stored signal, and point-in-time market reference. Each observation uses one read per market session and the first stored weekly close on or immediately after expiry; its original calculation version is retained. It is an evidence audit, not an executable strategy or evidence of future performance.
Evidence Quality
High
Retained chain100%
Implied volatility100%
Two-sided quotes100%
Open interest100%
- Chain status
- Complete available chain
- Market date
- 31 Jul 2026
- Calculation
- v2.0
- Contracts
- 600 / 600
- No material coverage gap was detected in the retained chain.
Aggregate chain data supports concentration, participation and pricing analysis. It does not identify trade aggressor, opening versus closing activity, multi-leg intent or dealer inventory.
Options Intent Radar
Earnings/event positioning
Options activity is concentrated around a live event window, so the cleanest read is event positioning rather than pure direction.
Options are pricing movement more than direction; compare expected move with the stock's actual weekly change.
Earnings/event positioning matters because it connects the options headline to the actual evidence: $4.8M of estimated gross traded notional, puts · 0-7 days · otm, and a volatility flow versus price backdrop. Use it as a research priority signal, then validate the chart, liquidity, event calendar, and risk before acting.
Options pressure-68
1W price+15.5%
Call premium40%
Put premium60%
Notional split
C 40% / P 60%
Estimated gross traded notional uses volume × contract multiplier × midpoint, or last price when no valid midpoint is available.
Freshness
0.23
Volume divided by open interest across the visible chain.
Trend fit
24/100
Agreement between options pressure and Sharemaestro market context.
Event window
6 Aug
Matched earnings event is 3 days away.
Aggregate chain data does not identify trade aggressor or opening versus closing activity; call/put concentration is not proof of market direction.
Puts · 0-7 days · OTM
puts cluster with 34635 contracts traded, $1.6M estimated gross traded notional, and 34% of visible notional.
$1.6M
Puts · 8-21 days · OTM
puts cluster with 11627 contracts traded, $871,071 estimated gross traded notional, and 18% of visible notional.
$871,071
Calls · 91+ days · ITM
calls cluster with 1073 contracts traded, $495,125 estimated gross traded notional, and 10% of visible notional.
$495,125
Calls · 0-7 days · OTM
calls cluster with 3709 contracts traded, $441,825 estimated gross traded notional, and 9% of visible notional.
$441,825
Calls · 8-21 days · ITM
calls cluster with 440 contracts traded, $211,232 estimated gross traded notional, and 4% of visible notional.
$211,232
Setup Classification
Opportunity and risk frame
The tape is pricing or displaying unusually elevated activity.
Expected move or upcoming earnings makes the setup more event-sensitive.
Options positioning is not confirming the underlying trend context.
Activity Anomaly
Warming up
3 of 10 completed market sessions are available. More session history is needed before activity can be compared with a reliable normal.
Baseline: 3 completed sessions
Volume rank-
Volume/OI rank-
IV rank-
Market Context
Underlying confirmation
Close11.20
1W+15.5%
RS38.1
Fair value+16.7%
Options pressure-68
Speculation45
Volatility96
Trend fit24
Today Versus Normal
Stored-options context
30d avg - · 3/10 sessions
-
90d avg - · 3/30 sessions
-
180d avg - · 3/60 sessions
-
30d avg - · 3/10 sessions
-
90d avg - · 3/30 sessions
-
180d avg - · 3/60 sessions
-
30d avg - · 3/10 sessions
-
90d avg - · 3/30 sessions
-
180d avg - · 3/60 sessions
-
30d avg - · 3/10 sessions
-
90d avg - · 3/30 sessions
-
180d avg - · 3/60 sessions
-
Pressure Trail
Recent pressure and volatility
29 Jul 11:19
Volatility
Pressure 29
Move 60.8%
30 Jul 12:02
Volatility
Pressure -25
Move 65.4%
30 Jul 23:55
Mixed
Pressure -5
Move 62.9%
31 Jul 13:56
Volatility
Pressure -33
Move 55.7%
31 Jul 16:38
Volatility
Pressure -23
Move 11.3%
31 Jul 17:30
Volatility
Pressure -24
Move 9.7%
31 Jul 22:58
Volatility
Pressure -25
Move 20.1%
1 Aug 02:32
Volatility
Pressure -30
Move 20.1%
Strike Map
Where activity is clustering
Strike0.50
Calls · V 1 · OI 0
Puts · V 8 · OI 856
Strike1.00
Calls · V 13 · OI 9
Puts · V 351 · OI 3585
Strike1.50
Calls · V 0 · OI 0
Puts · V 2194 · OI 0
Strike2.00
Calls · V 2 · OI 7
Puts · V 5200 · OI 3476
Strike2.50
Calls · V 0 · OI 0
Puts · V 1256 · OI 0
Strike3.00
Calls · V 1 · OI 6
Puts · V 2184 · OI 1896
Strike3.50
Calls · V 0 · OI 8
Puts · V 1017 · OI 2
Strike4.00
Calls · V 0 · OI 591
Puts · V 322 · OI 1700
Term Structure
Expiration activity
Expiry7 Aug 2026
Contracts80
Avg IV3.97
Put-call7.21
Expiry14 Aug 2026
Contracts78
Avg IV2.39
Put-call6.40
Expiry21 Aug 2026
Contracts72
Avg IV2.55
Put-call11.74
Expiry28 Aug 2026
Contracts78
Avg IV2.38
Put-call6.68
Expiry4 Sep 2026
Contracts74
Avg IV2.14
Put-call13.38
Skew
Call/put IV balance
7 Aug 2026Put IV premium
Call IV2.75
Put IV4.62
Skew1.87
14 Aug 2026Put IV premium
Call IV3.39
Put IV4.00
Skew0.60
21 Aug 2026Put IV premium
Call IV1.66
Put IV2.80
Skew1.13
28 Aug 2026Put IV premium
Call IV2.57
Put IV3.58
Skew1.00
4 Sep 2026Put IV premium
Call IV0.47
Put IV3.20
Skew2.72
Contract Tape
Most active contracts
ContractREPL260807P00005000
SidePut
Expiry7 Aug 2026
Strike5.00
Volume13967
OI13208
IV6.05
ContractREPL260807P00002000
SidePut
Expiry7 Aug 2026
Strike2.00
Volume5200
OI3476
IV7.32
ContractREPL260807P00004500
SidePut
Expiry7 Aug 2026
Strike4.50
Volume2950
OI8
IV6.08
ContractREPL260821P00006000
SidePut
Expiry21 Aug 2026
Strike6.00
Volume2552
OI2274
IV3.32
ContractREPL260807C00013000
SideCall
Expiry7 Aug 2026
Strike13.00
Volume2426
OI118
IV3.17
ContractREPL260807P00001500
SidePut
Expiry7 Aug 2026
Strike1.50
Volume2194
OI-
IV6.16
ContractREPL260807P00003000
SidePut
Expiry7 Aug 2026
Strike3.00
Volume2184
OI1896
IV6.45
ContractREPL260807P00008000
SidePut
Expiry7 Aug 2026
Strike8.00
Volume2041
OI3933
IV4.35
Research Graph
Related research and context
Sharemaestro research
Related News
No recent ticker-specific news yet.
Market Watch
No recent market-watch posts yet.
Earnings
Plain English Guide
Options context
What usually looks constructive
What usually looks cautious
Options can move quickly and can lose value fast. Treat this as research context, not a buy or sell instruction.