Kiniksa Pharmaceuticals [KNSA]
As of 2026-07-29 · spot $78.145 · this memo issues NO position verdict
The memo scores Criteria and describes what a position would have to look like if the book allocated to it. It does not recommend one.
| Measure | Value | Basis |
|---|---|---|
| 60-day median dollar volume | $1.66m/day | IEX feed only — measured |
| Last trade | $78.145, 134 shares | IEX, 2026-07-29 14:01 UTC |
| Last quote | bid $78.68 (100) / ask $89.93 (100) | IEX, 2026-07-29 14:04 UTC — thin and wide on this venue |
| 252-day realised volatility | 48.3% | computed from IEX daily closes |
| 12-1 momentum | +122.2% | computed |
| Free float | Reduced by ~28.8m Class A1/B1 shares (36.9% of the total) held in restricted, conversion-limited classes | 10-Q |
⚠️ Measurement limitation, stated rather than papered over. This account has no SIP entitlement — the consolidated-tape endpoint returns HTTP 403. All volume figures above are IEX-only. IEX historically prints a low-single-digit percentage of US consolidated volume, so true consolidated dollar volume is materially higher than $1.66m/day. That is an inference, not a measurement, and no consolidated figure is asserted here. The book should re-measure against a consolidated tape before sizing.
What can be said without inference: the stock gapped +24.8% on 2026-07-28 (from $63.60 to $79.38) on the Q2 print, and IEX volume that day was 7.3x the prior 5-day average. It trades.
Full chain pulled 2026-07-29: 232 listed contracts across six expiries, 2026-08-21 through 2027-01-15.
| Expiry | Contracts | Total open interest | Strike range |
|---|---|---|---|
| 2026-08-21 | 38 | 745 | $30–$120 |
| 2026-09-18 | 36 | 12 | $35–$120 |
| 2026-10-16 | 42 | 596 | $22–$120 |
| 2026-11-20 | 44 | 546 | $20–$120 |
| 2026-12-18 | 44 | 459 | $20–$120 |
| 2027-01-15 | 28 | 240 | $30–$95 |
| Whole listed chain | 232 | 2,598 |
criteria.md (18 contracts across an entire March-2027 chain) is only one order of magnitude away.| Contract | Bid × size | Ask × size | Mid | Spread as % of mid | IV | Delta |
|---|---|---|---|---|---|---|
| 2027-01-15 $85 call | 7.13 × 8 | 11.68 × 1 | 9.40 | 48% | 0.52 | 0.512 |
| 2027-01-15 $70 call | 15.34 × 15 | 18.81 × 30 | 17.07 | 20% | 0.55 | 0.715 |
| 2026-12-18 $80 call | 6.92 × 11 | 11.98 × 1 | 9.45 | 54% | 0.47 | 0.566 |
| 2026-10-16 $65 call | 15.10 × 19 | 16.34 × 10 | 15.72 | 8% | 0.40 | 0.883 |
| 2027-01-15 $50 put | 0.12 × 17 | 5.10 × 12 | 2.61 | 191% | 0.72 | −0.111 |
| 2026-11-20 $45 put | 0.00 | 4.96 × 22 | — | — | — | — |
| 2026-12-18 $45 put | 0.00 | 5.00 × 1 | — | — | — | — |
Every listed put in the top-40-by-open-interest sample shows a zero bid. A protective put cannot be exited. An upside call spread at the strikes a thesis would want (roughly $85/$105 for the 12-month target) shows 48% spreads and 1-contract offers.
Conclusion: no options structure on KNSA is fillable at any size a book of this type would use. A vehicle that cannot be filled is not a vehicle. Options are excluded on evidence, not on preference. Common stock only.
Liquidity Criteria: PASS for common stock (with the SIP measurement caveat), FAIL for options.
(Descriptive. The memo issues no verdict; the book decides whether to allocate at all.)
Common stock only. No options overlay, no defined-risk spread, no collar — none can be filled (§1.2).
Inverse-volatility sizing is the framework's active protection and it does real work here: 252-day realised volatility is 48.3%, roughly 2.5x a typical large-cap holding. Under inverse-vol sizing KNSA takes roughly 40% of the notional of a 20%-vol name at the same risk contribution. On top of that:
Momentum Criteria is MEASURED — it governs when, never whether. 12-1 momentum is +122.2%, which is strongly positive cross-sectionally, so momentum is not an argument against entry. But the stock is one day past a +24.8% gap and sits at the 100th percentile of its own EV/Sales history.
The disciplined entry note: the base-case target ($94) assumes the multiple returns to its pre-print level (5.88x) on a larger revenue base, not that it holds the gap (6.63x). Entry into the gap therefore buys the bull case, not the base case. Scaling in — or waiting for the post-gap consolidation to establish whether 5.9x or 6.6x is the new clearing level — is the construction that matches the target's own arithmetic.
The mechanism is a disclosed quarterly metric, which means the thesis has an unusually clean invalidation test:
| Invalidation | Trigger | Where it prints |
|---|---|---|
| Penetration pace breaks | Penetration of the 14,000 rises by less than +1.0pp per半-year (i.e. <+2pp/yr) in two consecutive disclosures | Q4 and Q2 press releases |
| Persistency reverses | Average total duration of therapy falls below ~34 months | Quarterly press release |
| Prescriber growth stalls | Quarterly prescriber additions fall below +200 (run rate has been +350–450) | Quarterly press release |
| Guidance cut | Any downward revision to FY ARCALYST guidance (the last five revisions were all up) | Quarterly press release |
| PASTORALE fails | Phase 3 miss or a formal delay beyond the 2028/2029 window | 8-K |
| Gross-to-net breaks | Current-year provisions rise above ~12% of gross sales (currently ~7.6%) | 10-Q Note 3 |
| Inventory | Inventory exceeds 4.5 quarters of COGS without a stated tech-transfer reason, or any write-down | 10-Q Note 4 |
The base-case target of $94 is invalidated on the multiple, not on the fundamentals. If the name settles back to its post-profitability p75 of 4.67x rather than its pre-print 5.88x, the 12-month outcome is roughly flat ($76) even if every operating metric prints as modelled. That is the honest statement of where the target's risk sits.
KNSA is Pharma / rare disease, single asset, US-only, 100% one product. It is uncorrelated with the Genomics/Dx and MedTech clusters that dominate the existing coverage list (TXG, TWST, NTRA, GH, ISRG, EW, SYK, COO, WGS, CAI, BLLN), which is a diversification argument. But the single-product concentration means the name carries idiosyncratic, event-driven left tail (PASTORALE, a competitor readout, a payer action) that position-level vol sizing captures only partially. The book should treat it as a higher-than-vol-implied tail and size accordingly.
| Criteria | Type | Result | Basis |
|---|---|---|---|
| Quality | BINDING | PASS | INFLECTION archetype. Gross margin 89.8% (LEVEL). Operating margin +0.85% → +11.9%, +11.1pp (CHANGE). Revenue +58.9% (LEVEL >18%). Accruals: OCF/NI 2.03x |
| Valuation (implied path) | BINDING | PASS | Required 5-yr CAGR 13.7% base / 24.0% at screen parameters vs demonstrated 58.9%. Margin +34.9pp (conservative pairing). Clears in all 20 sensitivity cells |
| Liquidity | BINDING | PASS (equity) / FAIL (options) | Options chain total OI 2,598; max single-contract OI 461; every sampled put shows a zero bid. Equity liquidity measurable only on IEX — flagged |
| Downside | MEASURED | LOGGED | Primary: penetration plateau + exhausted persistency lever before KPL-387. −30% to −40% drawdown via multiple compression, not revenue loss. P = 25%. Not a going-concern case |
| Momentum | MEASURED | +122.2% (12-1) | Strongly positive. Governs timing only |
| Catalyst | MEASURED | PASS | Six dated or company-guided events inside 18 months — see KNSA_Catalyst_Calendar.md |
| Consensus | MEASURED | INDETERMINATE | Alpha Vantage quota exhausted (verified). Blocks nothing |
| Short Mechanism | MEASURED | FAIL as a short | Growth not decelerating (58.9% TTM); margin runway not exhausted (11.9% vs ~25% structural ceiling) |
| Peer Spread | MEASURED | INDETERMINATE | No revenue-generating same-indication peer exists. Nearest is Cardiol Therapeutics (pre-revenue) |
| Sub-sector | MEASURED | Pharma / rare disease | SIC 2834 |
No INDETERMINATE result above was converted to FAIL. (Calibration item D1.)