Enphase Energy [ENPH]
Spot $35.05 (2026-07-29) · realised 252-day vol 80.0% · ATM Jan-2027 implied vol ~80% The memo issues no position verdict. What follows is the construction that would express the analysis if the book chose to act, plus the liquidity verification the Liquidity Criteria requires.
criteria.md: "Any proposed options structure requires the actual chain pulled first — open interest and
quoted size for the specific strikes and expiry."
Chain pulled live 2026-07-29 via Alpaca options snapshots, expiry 2027-01-15, 72 contracts.
| Contract | Open interest | Bid | Ask | Bid size | Ask size | IV | Delta |
|---|---|---|---|---|---|---|---|
| Put 40.0 | 2,394 | 9.82 | 10.62 | 391 | 43 | 0.787 | −0.480 |
| Put 35.0 | 5,757 | 6.83 | 7.53 | 567 | 101 | 0.800 | −0.381 |
| Put 30.0 | 5,197 | 3.86 | 4.77 | 1,032 | 98 | 0.774 | −0.279 |
| Put 25.0 | 2,221 | 2.19 | 2.60 | 810 | 66 | 0.791 | −0.178 |
| Put 22.5 | 1,425 | 1.55 | 2.18 | 957 | 1,132 | 0.838 | −0.139 |
| Put 20.0 | 981 | 0.97 | 1.48 | 658 | 534 | 0.844 | −0.099 |
| Call 40.0 | 2,973 | 5.57 | 6.42 | 1,029 | 365 | 0.801 | +0.523 |
| Call 50.0 | 5,977 | 3.75 | 4.06 | 2 | 143 | 0.835 | +0.377 |
Maximum open interest across the expiry: 7,333 (call 180.0). Total open interest across quoted strikes runs into the tens of thousands. Two-sided quoted size on the strikes below is in the hundreds to thousands of contracts.
Liquidity Criteria: PASS. This is not the HCA failure (18 contracts of maximum open interest across a whole expiry). Both an equity and an options expression are fillable.
Cash equity. IEX-only 63-day ADV is $14.25m on ~292k shares/day. IEX carries a minority of consolidated volume; calibrated against the First Solar memo (which reported $594m of consolidated 63-day ADV where this method computes $27.4m on IEX, a 21.7x ratio), consolidated ADV is approximately $309m/day. Any position this book would take is a small fraction of one day's volume. The IEX-only figure and the scaling basis are both stated because the multiplier is an estimate, not a measurement.
The analysis is negative and specific:
On a long-only absolute-return book, the correct action is no position. Quality Criteria (BINDING) fails
and Valuation Criteria (BINDING) fails; criteria.md is explicit that cheap cannot rescue a Quality failure.
The name is a candidate for the relative-value fork, where Short Mechanism Criteria scores PASS — but that
fork is not this book, and nothing acts on it here.
The construction below is therefore recorded for the RV fork and for the ledger, not proposed for the long-only book.
| Leg | Action | Strike | Expiry | Price | OI | Delta |
|---|---|---|---|---|---|---|
| Long | Buy | 35.0 put | 2027-01-15 | 7.53 (ask) | 5,757 | −0.381 |
| Short | Sell | 25.0 put | 2027-01-15 | 2.19 (bid) | 2,221 | −0.178 |
Why a spread and not outright puts. ATM implied vol is ~80% against realised 252-day vol of 80.0% — options are priced at realised, so there is no vol edge to buy and no vol edge to sell. At 80% vol an outright put decays hard. Selling the 25 strike recovers 29% of the premium and caps the position exactly where the bear case lands ($18.83 base bear, $11.54 deep bear — the $25 short strike gives up the deep-bear tail, which is a deliberate trade of the 15%-probability outcome for a 41% cheaper entry).
Why January 2027 and not sooner. The two events that resolve the thesis are (i) the first quarter with no safe-harbour revenue and (ii) the IQ SST full-system demonstration. Both fall inside the window: Q3-2026 results in late October 2026, Q4-2026 results in February 2027 (just after expiry — a real limitation), and the SST demonstration "later this year." A June-2027 expiry would capture Q4-2026 results but the Jan-2027 chain is where the open interest is.
Bid 3.86 / ask 4.77, OI 5,197, delta −0.279, IV 0.774 — the lowest implied vol on the chain, which is where a buyer should be if buying vol at all. Breakeven $25.23, −28.0% from spot. Cheaper in dollars, uncapped downside participation, keeps the deep-bear tail. Worse risk/reward if the base case rather than the bear case plays out.
Borrow, short interest and days-to-cover are not part of the Liquidity Criteria on this book
(criteria.md) and were not pulled. Realised vol of 80% on a name 51.5% below its 52-week high and 34.1% off
its low, with 12-1 momentum of +44.5%, is a poor cash-short profile: the momentum is positive and the
squeeze risk on any data-centre headline is real. The defined-risk structure is the right vehicle.
Inverse-volatility sizing is the framework's active protection and it works here as designed: realised vol of 80.0% is the second-highest in this cluster and sizes the name down automatically. At a 20% reference volatility, the inverse-vol scalar is 0.25x a unit position.
Because no position is recommended on this book, no size is set. If the RV fork were live, the put spread's maximum loss is the position size and the natural unit is a maximum loss of ~0.5% of book, which at $5.34 of debit is ~94 contracts per $1m of book.
| Trigger | Level / event | What it means |
|---|---|---|
| Price | $72.32 (52-week high) | The market has priced something the analysis does not contain |
| Price, softer | ~$45 (Jan-2027 put-spread stop) | 28% adverse; re-underwrite before adding |
| Thesis, hard | A named data-centre customer for IQ SST with a disclosed contract value | The one mechanism in the name that is not policy-dependent becomes evidenced. This inverts the Quality Criteria failure and the analysis must be rebuilt |
| Thesis, hard | A quarter with zero safe-harbour revenue in which underlying US revenue grows sequentially | The demand-durability premise is wrong |
| Thesis, hard | Legislation restoring §25D, or extending §45X past 2032 | The dated cliff moves and the terminal-margin argument changes |
| Accounting | Product gross margin (reported GM less the company-stated AMPTC pp contribution) turning up two quarters running | The margin deterioration is not structural |
No trade recommendation is issued, so no line is appended to trade_recommendations.jsonl. The Downside
Criteria scenario set in ENPH_Valuation.md §5 (bull 25% / base 45% / bear 30%, with the 15% deep-bear subset)
is the record that ledger_scorer.py should Brier-score if the book later takes a position, and is logged here
for that purpose.