Financials

Citigroup (C) options and signal

Figures as of 28 Sep 2026

C is Citigroup, a Financials name the model ranks every trading day. The options figures are from the close on 28 Sep 2026. The model's figures are from 25 Sep 2026, one trading day behind the latest, as the Free plan shows them. Every model figure is paper trading.

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At a glance

Figure	Value	Date
IV rank	80 of 100	28 Sep
At the money IV	36.4%	28 Sep
Priced move to 30 Oct	10.4% down, 11.2% up	28 Sep
Call wall and put wall	140 and 120	28 Sep
Signal and the desk's view	No signal, view bullish	25 Sep
Last close	131.31	28 Sep
Next report	13 Oct 2026	28 Sep

Options Snapshot

C's IV rank is 80 of 100 on 28 Sep 2026.

Figure	Value
IV rank	80 of 100
At the money IV	36.4%, near month, 32 days
Put/call ratio, open interest	1.32
Call open interest, strikes captured near the price	227,000 contracts
Put open interest, strikes captured near the price	299,000 contracts
Cost to trade at the money	Fair, 22.2% of the option's mid price

IV rank is where the at the money IV sits among C's own weekly readings, 0 the lowest and 100 the highest.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Priced Range

On 28 Sep 2026, C options priced a move of 10.4 percent down and 11.2 percent up by 30 Oct 2026.

Expiry	Days	Down	Up	Range
2 Oct 2026	4	3.2%	3.2%	127.09 to 135.57
9 Oct 2026	11	5.4%	5.1%	124.26 to 138.05
23 Oct 2026	25	9.2%	11.5%	119.21 to 146.41
30 Oct 2026	32	10.4%	11.2%	117.61 to 146.01
20 Nov 2026	53	12.1%	11.7%	115.41 to 146.71
18 Dec 2026	81	14.5%	14.5%	112.31 to 150.41
19 Mar 2027	172	20.3%	22.8%	104.61 to 161.21

The range is one standard deviation either side of the close of 131.31, as the option prices imply it.

A priced move restates option prices at the close and says nothing certain about where the price goes.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Gamma Map

On 28 Sep 2026, C's call wall is the 140 strike and its put wall is the 120 strike.

Figure	Value
Call wall, most open call gamma	140
Put wall, most open put gamma	120
Net dollar gamma, calls minus puts	minus $19.02 million
Total dollar gamma, both sides	$141.7 million
Close	131.31

Dollar gamma is stated for a one percent move in the price.

Net is calls minus puts under the standard convention, not a record of who holds the contracts.

Net gamma changes sign at 2 strikes, so no single flip strike is named.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Volatility History

On 28 Sep 2026, C's at the money IV is 36.4 percent against 20 day realized volatility of 23.0 percent.

Figure	Value
At the money IV	36.4%
Realized volatility, 20 trading days	23.0%
Realized volatility, 60 trading days	28.2%
IV against its own weekly record	High, in the top fifth
Weekly readings on record	865, from 8 Jan 2010
Weeks the price moved more than the one week priced move	31.7% of 252 weeks

Realized volatility is worked out from the daily closes the desk holds, not from the option chain.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Volatility Weather

On 28 Sep 2026, C's at the money IV runs from 31.2 percent at 4 days to 33.4 percent at 172 days.

Days to expiry	At the money IV
4	31.2%
11	30.1%
18	40.5%
25	36.0%
39	36.5%
53	31.9%
81	31.3%
172	33.4%

Far expiries price more volatility than near ones, an upward sloping term structure.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Volatility Smile

On 28 Sep 2026, at the 32 day expiry, C's IV ten percent below the price sits 2.9 points above at the money IV.

Strike area	Implied volatility	Against at the money
10% below the price	39.3%	+2.9 points
At the money	36.4%	0.0 points
10% above the price	37.3%	+0.9 points

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Volatility Surface

On 28 Sep 2026, C's surface spans 10 expiries out to 172 days, with IV from 29.3 to 49.7 percent near the price.

Figure	Value
Expiries captured	10
Nearest expiry	2 Oct 2026, 4 days
Farthest expiry	19 Mar 2027, 172 days
Points within 10% of the price, 7 days out or more	142
Lowest IV among them	29.3%
Highest IV among them	49.7%

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Expiry Ladder

On 28 Sep 2026, C has 10 captured expiries, from 2 Oct 2026 to 19 Mar 2027.

Expiry	Days	At the money IV	Call open interest	Put open interest
2 Oct 2026	4	31.2%	11,888	15,606
9 Oct 2026	11	30.1%	4,418	4,017
16 Oct 2026	18	40.5%	48,630	73,515
23 Oct 2026	25	36.0%	4,041	21,258
30 Oct 2026	32	36.4%	1,447	2,001
6 Nov 2026	39	36.5%	53	63
20 Nov 2026	53	31.9%	26,865	25,103
18 Dec 2026	81	31.3%	31,445	31,484
15 Jan 2027	109	31.9%	75,995	100,431
19 Mar 2027	172	33.4%	22,635	25,750

Open interest is summed over the strikes captured near the price on each expiry.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Strike Table

On 28 Sep 2026, C's largest open interest sits at the 120 strike, with 65,409 contracts across the captured expiries.

Strike	Call open interest	Put open interest	Total
120	8,712	56,697	65,409
125	5,541	35,498	41,039
130	11,861	23,413	35,274
100	7,073	25,740	32,813
140	25,233	7,377	32,610
115	6,868	23,989	30,857

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Since Yesterday

From 25 Sep 2026 to 28 Sep 2026, C's at the money IV moved from 36.7 percent to 36.4 percent.

Figure	25 Sep	28 Sep	Change
At the money IV	36.7%	36.4%	-0.3 points
Open interest, strikes captured near the price	491,485	526,645	+35,160
Put/call ratio, open interest	1.21	1.32	+0.10

Open interest changes cannot identify buyers or sellers.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Changed Hands

On 28 Sep 2026, 40,559 C option contracts traded, 1.0 times its own recent average.

Figure	Value
Calls traded	25,668
Puts traded	14,891
Against its recent average	1.0 times
Busier than	7 of its last 20 trading days
Open interest, whole chain	864,193 contracts
Volume to open interest	0.05
Unusual volume flag	Yes, 4 contracts traded well above open interest
Largest flagged contract	The 135 call expiring 2 Oct, 2,565 traded against 923 open

Traded volume and open interest are shown side by side and never combined. Open interest changes cannot identify buyers or sellers.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Positioning Replay

The replay holds 33 trading days of C's option positioning, from 11 Aug 2026 to 28 Sep 2026.

Date	Close	Net dollar gamma	Top call strike	Top put strike
11 Aug 2026	135.77	$36.2 million	140	130
21 Sep 2026	135.05	$2.87 million	140	125
28 Sep 2026	131.31	minus $19.02 million	140	120

Each frame restates one nightly capture. Net is calls minus puts, a convention, not who holds the contracts.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Read-out

On 25 Sep 2026 the desk's view of C was bullish, paper trading.

Figure	Value
Side	Bullish at 45 trading days, no signal
Level above the close	135.73, the swing high of 21 Sep 2026
Level below the close	130.62, the swing low of 24 Sep 2026, a close past it runs against the view
The chart	Sits against the view
Strategy family	Cash-secured put (sell a put below the price)
Price target	None. The desk has no price model.

The levels are prices the shares turned at on the chart, with the date of each.

Paper trading. The model's figures from 25 Sep 2026, one trading day behind, as the Free plan shows them.

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Rank by Timeframe

On 25 Sep 2026 C sat at the 83rd percentile of the model's 45 trading day ranking, paper trading.

Timeframe	Percentile	Side
10 trading days	42 of 100	Neutral
20 trading days	86 of 100	Bullish
45 trading days	83 of 100	Bullish

100 is the top of the ranking. A name in the middle three fifths is neutral.

Paper trading. The model's figures from 25 Sep 2026, one trading day behind, as the Free plan shows them.

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Timeframe Agreement

On 25 Sep 2026, 2 of 3 timeframes put C on the bullish side, paper trading.

Group	Timeframes	Side	On that side
Near	10 day, 20 day	Bullish	1 of 2
Long	45 day	Bullish	1 of 1

Paper trading. The model's figures from 25 Sep 2026, one trading day behind, as the Free plan shows them.

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Signal History

On 25 Sep 2026 C had carried no signal for at least 18 trading days, paper trading.

Trading day	Signal	45 day percentile
25 Sep 2026	None	83 of 100
24 Sep 2026	None	91 of 100
23 Sep 2026	None	95 of 100
22 Sep 2026	None	97 of 100
21 Sep 2026	None	84 of 100
18 Sep 2026	None	92 of 100
17 Sep 2026	None	88 of 100
16 Sep 2026	None	91 of 100

Paper trading. The model's figures from 25 Sep 2026, one trading day behind, as the Free plan shows them.

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Sector Split

On 25 Sep 2026, 63 of 135 Financials names were bullish and 32 were bearish, paper trading.

Sector	Names	Bullish	Bearish	Neutral
Financials	135	63	32	40

Paper trading. The model's figures from 25 Sep 2026, one trading day behind, as the Free plan shows them.

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Price Chart

C closed at 131.31 on 28 Sep 2026.

Figure	Value
Last close	131.31
Change over 5 trading days	-2.8%
Change over 21 trading days	-1.0%
Change over 63 trading days	-7.8%
Change over 252 trading days	+28.6%
52 week high	147.96
52 week low	93.66
20 day moving average	134.66
50 day moving average	134.13
200 day moving average	125.53
RSI, 14 days	43

Worked out from the desk's own daily bars, adjusted for share splits.

From the daily bars through 28 Sep 2026. Current on every plan.

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Earnings Radar

C reports next on 13 Oct 2026, a date confirmed by the company.

Figure	Value
Next report	13 Oct 2026, before the open
Date	Confirmed by the company
Move after the report of 14 Jul 2026	-5.3%
Move after the report of 14 Apr 2026	+2.6%
Move after the report of 14 Jan 2026	-3.3%
Move after the report of 14 Oct 2025	+3.9%

Earnings calendar as of 28 Sep 2026. Current on every plan.

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Company Events

C filed 1 current report in the 14 days to 28 Sep 2026, the latest on 24 Sep 2026.

Filed	Report	What it covers
24 Sep 2026	Current report	Exhibits only

Filings as of 28 Sep 2026. Current on every plan.

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Short Volume

On 25 Sep 2026, 22.9 percent of C's reported volume at the covered venues was marked short.

Figure	Value
Short sale share, 25 Sep	22.9%
Five day average	21.6%
52 week median	33.6%

Short sale volume counts trades marked short at the covered venues, mostly off exchange. It is not the same as short interest.

Short volume as of 25 Sep 2026. Current on every plan.

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Seasonality

In the 36 Septembers on record, C's average change was minus 1.2 percent, and it rose in 50.0 percent of them.

Month	Average change	Middle change	Share of years up	Years
September	-1.2%	+0.1%	50.0%	36
October	+2.3%	+1.8%	63.9%	36
November	+2.2%	+2.0%	63.9%	36

Each figure is a month end to month end change in past years. A past month says nothing certain about the next one.

Monthly history through 28 Sep 2026. Current on every plan.

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Headlines

The desk's news feeds carried 7 headlines naming C in the 3 days to 28 Sep 2026.

Figure	Value
Headlines in the window	7
Latest	28 Sep 2026

The titles are in the Headlines window, with the time each was published.

Headlines as of 28 Sep 2026. Current on every plan.

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Questions

What is C's IV rank?: C's IV rank is 80 of 100 on 28 Sep 2026.
What move are C options pricing?: On 28 Sep 2026, C options priced a move of 10.4 percent down and 11.2 percent up by 30 Oct 2026.
Where are C's call wall and put wall?: On 28 Sep 2026, C's call wall is the 140 strike and its put wall is the 120 strike.
What was the desk's latest view of C on the Free plan?: On 25 Sep 2026 the desk's view of C was bullish, paper trading.
When does C report earnings next?: C reports next on 13 Oct 2026, a date confirmed by the company.

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