Phase Space AI

Trade Construction

Omada Health [OMDA]

Omada Health [OMDA] — Trade Construction & Risk Management

The memo issues no position verdict. What follows is the construction analysis a book would need if it decided to take the name — vehicle, size, entry, exit, and the actual fillability of every instrument named. Nothing here is a recommendation to trade.

1. Underlying liquidity — verified before anything else

Measure Value Source
63-day median consolidated $ADV $20,201,052 Alpaca SIP feed, 2026-04-28 → 2026-07-28
63-day median consolidated share volume 1,059,022 same
63-day median IEX-only $ADV $1,101,781 Alpaca IEX feed, same window
Realised volatility (252d) 57.0% daily closes
52-week range $10.96 – $26.76

Feed warning, recorded for the framework. The IEX-only figure is 18.3x below the consolidated tape. assets/own_multiple_history.py in this project requests feed=iex. Any sizing, ADV or participation test built on that path understates liquidity by more than an order of magnitude, and would reject investable names on a data artefact. The SIP feed is entitled on these credentials and returns correctly.

Sizing headroom. At 15% of consolidated ADV, a $3m position builds in one day. Liquidity is not a binding constraint at any size this book would take.

2. Options chain — pulled first, per Liquidity Criteria

A vehicle that cannot be filled is not a vehicle. The full chain was pulled from paper-api.alpaca.markets/v2/options/contracts and quoted via data.alpaca.markets/v1beta1/options/snapshots before any structure was considered.

Universe: 60 active contracts, expiries 2026-09-18 · 2026-10-16 · 2026-12-18 · 2027-01-15 · 2027-03-19, strikes $15–$32. Total open interest in that window: 15,270 contracts.

Open interest by expiry:

Expiry Total OI Largest single contract
2026-09-18 51 OMDA260918C00025000 — 50
2026-10-16 1,629 OMDA261016C00025000 — 1,123
2026-12-18 2,591 OMDA261218C00025000 — 1,276
2027-01-15 10,445 OMDA270115C00017500 — 4,993
2027-03-19 554 OMDA270319C00020000 — 501

Every contract with OI ≥ 50, with live quotes (2026-07-28):

Contract Type Strike OI Bid × size Ask × size Spread IV Delta
OMDA270115C00017500 call 17.5 4,993 3.96 × 316 6.66 × 143 51% 0.689 0.725
OMDA270115C00015000 call 15.0 4,933 5.38 × 342 8.27 × 11 42% 0.692 0.822
OMDA261218C00025000 call 25.0 1,276 1.78 × 86 2.27 × 14 24% 0.681 0.408
OMDA261016C00025000 call 25.0 1,123 0.98 × 82 1.48 × 145 41% 0.703 0.331
OMDA261218C00020000 call 20.0 864 3.44 × 84 4.06 × 40 17% 0.687 0.615
OMDA270319C00020000 call 20.0 501 3.62 × 279 6.15 × 206 52% 0.707 0.641
OMDA261016C00022500 call 22.5 315 1.47 × 186 2.63 × 228 57% 0.740 0.464
OMDA270115C00022500 call 22.5 251 1.93 × 286 4.37 × 258 78% 0.690 0.525
OMDA270115C00020000 call 20.0 165 2.82 × 299 5.32 × 142 61% 0.683 0.623
OMDA261218C00022500 call 22.5 125 1.37 × 255 4.84 × 229 112% 0.750 0.522
OMDA261218C00015000 call 15.0 109 6.31 × 50 7.12 × 45 12% 0.733 0.824
OMDA261218C00017500 call 17.5 104 3.86 × 126 6.53 × 86 51% 0.734 0.724
OMDA261016C00020000 call 20.0 70 1.63 × 124 3.62 × 17 76% 0.630 0.594
OMDA261218P00020000 put 20.0 50 2.43 × 13 4.58 × 70 61% 0.777 −0.378
OMDA260918C00025000 call 25.0 50 0.32 × 81 1.17 × 75 114% 0.696 0.263

What the chain rules out

What the chain permits

A long call at the January-2027 expiry, and a December-2026 call spread, are the only two structures with genuine two-sided size behind them.

Structure Contracts OI Mid Notes
Long Jan-27 $17.5 call OMDA270115C00017500 4,993 $5.31 Δ0.725, IV 68.9%. Deepest OI in the chain. Bid size 316.
Dec-26 $20/$25 call spread OMDA261218C00020000 / OMDA261218C00025000 864 / 1,276 $3.75 / $2.03 → net $1.72 Max value $5.00, max gain 2.9x. Both legs quoted 17% and 24% wide — the tightest pair in the chain.

Implied vs realised volatility. Chain IV clusters at 68–75%; realised 252-day volatility is 57.0%. Options are pricing roughly 12–18 vol points above what the stock has actually delivered. Long premium is expensive here. That is a direct argument for the spread over the outright call, or for expressing the view in common stock, which carries no vol premium and no spread cost at all.

Practical execution note. Every quoted spread above is wide enough that a mid-market fill cannot be assumed. Any of these is a limit-order-only, work-the-order instrument. Marking a position at mid would overstate it materially.

3. Position sizing

Inverse-volatility sizing is the framework's active downside protection (criteria.md, Downside Criteria — "a fat-left-tail name is almost always a high-volatility name and is sized down automatically").

4. Entry, exit, and thesis invalidation

Entry. Momentum is +11.8% (12-1) — middling, not a timing signal in either direction. Spot at $20.41 sits at the 49th percentile of the name's own EV/Sales history and the 62nd percentile of its 52-week price range. There is no multiple-based entry edge; the multiple is at its own median.

Exit / target. The 12-month multiple anchor is UNIDENTIFIED (OMDA_Valuation.md §5) — 286 trading days of history spanning a 1.69x–6.57x EV/Sales range. No point target is issued. On the company's own guidance path, holding today's 3.54x multiple gives roughly $24.94 (+22.2%); the p25→p75 multiple band gives $20.00 → $31.93.

Named thesis invalidation triggers — each is observable in a filing or a press release, and each maps to a specific claim in OMDA_Research.md:

  1. Combined Partner A + Partner B revenue share rises above ~72% (from 66%). Increasing dependence on a counterparty already at two-thirds is the risk compounding, not the business scaling.
  2. A quarter with sequential revenue growth below +2%. Q1'26 printed +2.9% against +14.6% a year earlier. A second such quarter converts a step-down into a trend.
  3. FY2026 revenue guidance cut below $322m, or FY2027 initial guidance below +18%. Guidance was raised on 2026-05-07; a reversal is the cleanest possible refutation.
  4. Services gross margin falls below 75% (79.2% in Q1'26). This is the unit-economics proof for the INFLECTION archetype; if it breaks, the archetype is wrong.
  5. Any disclosure of a material performance-guarantee clawback, currently unquantified.
  6. Operating margin fails to exceed Q4'25's +4.3% in any subsequent Q4. Q4'25 was the first operating-profitable quarter on file; if it does not repeat, it was seasonal, not structural.

Stop discipline. Volatility is not the risk; permanent impairment is. The stop is a thesis stop, not a price stop — triggers 1, 3 and 4 above. The downside case (OMDA_Research.md §9) is −33% to −45% to $11.14–13.66, inside the name's own 52-week low of $10.96, and it is a de-rating case rather than a solvency case: zero debt and $211.8m of cash.

5. Vehicle recommendation logic

Vehicle Verdict Reason
Common stock The only vehicle without a structural penalty No vol premium (IV 12–18 pts over realised), no bid-ask drag, no expiry. Inverse-vol sized at ~0.37x unit weight.
Jan-27 long call Fillable but expensive 4,993 OI and 316 bid size are real, but paying 68.9% IV against 57% realised is a 12-point vol tax on a name whose 12-month multiple anchor is undefined.
Dec-26 $20/$25 call spread Fillable, cheaper Sells the same rich vol it buys. Both legs are the tightest quotes in the chain (17% / 24%). Max 2.9x.
Any put structure Uninvestable One put in the whole window has OI ≥ 50.
Collar / risk-reversal Uninvestable Requires the put side.
Calendar spread Uninvestable Only one liquid expiry.

No trade is recommended. The construction above exists so that the book can act on this analysis without re-deriving the fillability constraints — and so that any structure it does choose has already been checked against a real chain rather than a default template.