RDDT Put Options (as of Jul 9, 2026)

July 24 Expiry

July 31 Expiry

Key observations: - Highest OI on Jul 24: 135 strike (545), 170 strike (340), 200 strike (318), 155 strike (317) - Highest OI on Jul 31: 145 strike (588), 120 strike (304), 155 strike (208), 150 strike (166) - IV is elevated across both expiries, ranging from ~65–95% for near-the-money strikes, declining at deeper OTM puts and rising at deep ITM - Jul 31 puts carry slightly higher IV than Jul 24 at equivalent strikes, reflecting the extra week of event risk

Good observation. It's actually the opposite of what you'd typically expect — normally deep OTM puts carry a volatility skew premium (higher IV) due to crash risk / tail hedging demand.

Looking at RDDT specifically:

Jul 24 IV by Strike: - 120 strike (deep OTM, ~33% below spot): 83% - 150 strike (near ATM): 75% - 170–180 (ATM): 68% - 200 strike (ITM): 66%

Jul 31 IV by Strike: - 120 strike: 68% - 150 strike: 95% - 170 strike: 92% - 200 strike: 92%

On the Jul 24 chain, IV does rise into the deep OTM puts (83% at 120 vs 68% at 170) — that's the classic skew pattern. But on the Jul 31 chain, the 120 strike IV at 68% looks low relative to the 92–95% at the 145–150 area.

A few things likely at play here:

1. Liquidity / stale quotes: Many deep OTM strikes have zero bid (e.g., Jul 31 120 put shows no bid). When there's no bid, the IV calculation often uses the midpoint or ask, which can produce distorted or stale readings.

2. Wide spreads: The Jul 31 120 put has a bid of 0.00 and ask of 0.58 — that's an infinitely wide spread. The IV model doesn't have a reliable market price to anchor on.

3. Model sensitivity: At very low option prices (pennies), small quote changes produce outsized IV swings, making the computed IV less meaningful.

In short, for strikes where you see actual two-sided markets (e.g., the 135–200 range), the IV readings are more trustworthy. The deep OTM strikes with no bid are effectively illiquid — their IV shouldn't be taken at face value.

That's almost certainly the explanation. Let me trace the logic:

• Jul 24 expiry (Friday) — expiring before the expected earnings release on Jul 29/30. These options capture normal trading volatility but miss the binary event. IVs run ~65–75% near the money and show a classic skew.

• Jul 31 expiry (Friday) — expiring after earnings. This expiry captures the full earnings move. That's why near-the-money IVs are uniformly elevated at ~92–95% across the 140–200 range — the market is pricing in a very large post-earnings gap.

The fact that Jul 31 IVs are roughly 20–25 points higher than Jul 24 IVs at equivalent near-money strikes is the pure "event premium" for the RDDT earnings release. The deep OTM Jul 31 puts showing lower IV is still distorted by the zero-bid issue, but the broad message is clear: the options market expects a significant move on earnings, and that risk is concentrated entirely in the Jul 31 expiry.

RDDT Put IV Comparison Across Expiries (as of Jul 9, 2026)

August 7 Expiry — Has two-sided markets and decent OI but IVs are more scattered. Some strikes (120, 125, 135) print IVs in the 90–103% range, but the pattern is noisy. The 130 strike at 50% with a zero bid stands out as stale/disconnected.

August 21 Expiry — This is the cleanest comparison. IVs are remarkably flat across strikes at ~81–86%, with tight two-sided markets, strong OI, and good volume. This is what the post-earnings "steady state" looks like.

The picture now becomes very clear:

• Jul 24 (pre-earnings): ~65–75% — elevated by event proximity but doesn't capture the release
• Jul 31 (captures earnings): ~92–95% — the full event premium, roughly 20–25 IV points above Aug 21
• Aug 7 (post-earnings): ~87–90% — partially elevated, still some vol decay working through, quotes a bit noisier
• Aug 21 (well after earnings): ~81–86% — clean, flat skew, represents the "normalized" vol regime

The ~10–14 point IV gap from Aug 21 to Jul 31 is the pure earnings event premium. The Aug 21 chain also shows the healthiest liquidity profile — tight spreads, consistent IV across strikes, strong OI at 115 (1,233) and 130 (854). The 65 strike alone has 6,007 OI, likely a legacy tail-hedge position.

Here is the full Aug 21 expiry put option chain up to the 100 strike, from the data already retrieved:

RDDT Put Options — Aug 21, 2026 Expiry (as of Jul 9, 2026)

The 65 strike stands out with 6,007 OI — far and away the largest position on the board. This is a deep tail hedge (~62% below spot), likely a legacy institutional position. The 90 strike also shows solid OI at 471, with a relatively tight spread (0.06/0.17).

RDDT Put Options — Aug 21, 2026 Expiry (as of Jul 9, 2026)

Notable highlights: the 65 strike holds 6,007 OI (a legacy tail hedge), 115 has the second-highest OI at 1,233, and the 130–160 range shows the deepest two-sided liquidity with tight spreads and strong volume. IV is remarkably flat at 81–86% across nearly the entire chain — consistent with a post-earnings, normalized vol surface.

The option chain data is still as of Jul 9, 2026 — that's the most recent snapshot available in the local database. Unfortunately, there isn't a fresher intraday or daily update beyond that date for RDDT options.

The Jul 9 snapshot already showed us the key picture. Since today is Jul 16, 2026 and earnings are expected around Jul 29–30, the data is a week old but the structural story still holds:

• Jul 31 expiry (post-earnings) was pricing ~92–95% IV near the money
• Aug 21 expiry was showing the "normalized" post-event vol at ~81–86%
• The ~10–14 point IV gap between those expiries is the pure earnings event premium

The Jul 9 data is the latest available in the system.