Options/CBOE

CBOECboe Global Markets, Inc.

Options Analysis Report•SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES

Market Cap $30.0B|BATS

● 2026-09-11$287.49

BULLISH

Analysis: 2026-09-10 EOD data

1Y +21.6%YTD +15.9%7D -3.6%

Options Vol

1,979

30D

Implied Move

±10.6%

IV Rank

16%

CBOE Options Overview

bullish flow. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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CBOE Gamma Walls

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Value

Is IV priced right?

5.4

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks5/9 checks passed

IV Rank

≤35%

IV Rank 66.5% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.07x — IV premium over HV

Sector Relative≤50%

Sector percentile 86% — above sector median

Term Structure

<1.1x

Front/Back 1.04x — flat

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 38.2% — normal range

Spread-Adjusted Value

<80%

Effective IV 73.3% (ATM 38.2% + spread 17.5% + bias) — fair

Execution Efficiency

<3.0%

Total drag 25.88% (spread 17.53% + slippage 8.35%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 15.84 (vega 27.759 / spread 17.53%) — efficient

Sentiment

Bullish or bearish?

7.5

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBullish - Strong signal (Conviction: +30%, Raw: +26%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +30% (bullish) — Raw: +26%

OI Skew Magnitude

≥15%

|OI skew| 23.3% — call-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +45.2%, OI skew +23.3% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 54%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -34%, ATM: +34%, OTM: +25% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 24% — very bullish vs sector

Activity

Unusual activity?

3.5

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed

Volume Surge

≥1.5x

Volume 0.8x avg — normal

Turnover Rate

≥15%

Vol/OI 3.8% — normal turnover

Multi-Day Persistence

≥2 days

1 day(s) elevated — may be one-day event

OI Build

≥5%

OI change -0.1% (5d) — stable

Sector Relative≥60%

Sector activity percentile 67% — active vs sector

Trade Quality

≥30%

Large trade volume 0% — mostly retail

Execution Urgency

≥60%

Aggressive execution 16% — patient

Flow Conviction

≥30

Conviction +30 (bullish) — mixed

Liquidity

Can I trade efficiently?

2.7

IlliquidLiquid

Evaluates

bid-ask spreads

, volume depth, and open interest for trade execution quality.

Risk Checks2/8 checks passed

Tradeable Spread

≤5.0%

Spread 17.5% — wide

Adequate OI

≥10,000

OI 51,743 — deep

Active Volume

≥500

Volume 1,979/day — adequate

Reasonable Cost

≤$0.50

$0.88 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 87% — much wider than sector

Order Book Depth

≥100 contracts

Depth 19.3 contracts (bid:9.9 ask:9.4) — thin

Execution Quality

<1.0%

Avg slippage 8.35% — poor

Timing

Is now a good time?

6.3

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks4/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +4.4% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 66% — neutral

Event Detection

≥10pts kink

IV kink 1.4pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 111.84 — favors income trades

Expiration Distribution

≥3 expirations

4 liquid expirations — flexible

Event Risk

≥60% (safe)

caution advised: FOMC in 5d; CPI in 0d (HIGH)

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +30% @ 65% consistency — moderate (bullish)

Smart Money Timing

≥40 composite score

Score 30 (ITM 20% + inst 0%) — retail dominated

Directional Strategy Fit

Option Buyers

Long Calls6.8

bullishIV fair, bullish flow

Long Puts4.1

bearishIV fair, bullish flow

Premium Sellers

Cash-Secured Put5.5

bullishIV fair, bullish flow

Covered Call3.7

bearishIV fair, bullish flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Sep 7, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.

More on CBOE

CBOE gamma walls CBOE option chain CBOE max pain CBOE expected move CBOE IV rank CBOE put/call ratio CBOE options flow