Options/DAT

DATProShares Big Data Refiners ETF

Options Analysis Report

AUM $6M|ARCX

● 2026-08-31$51.91

VERY BULLISH

Analysis: 2026-08-28 EOD data

1Y +13.1%YTD +16.5%7D +5.2%

Options Vol

30D

Implied Move

±8.5%

IV Rank

DAT Options Overview

bullish flow. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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DAT Gamma Walls

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Value

Is IV priced right?

6.7

ExpensiveCheap

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

levels.

Risk Checks4/9 checks passed

IV Rank

≤35%

IV Rank 43.3% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 0.80x — IV ≤ HV

Sector Relative≤50%

Sector percentile 63% — above sector median

Term Structure

<1.1x

Front/Back 1.02x — flat

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 28.9% — normal range

Spread-Adjusted Value

<80%

Effective IV 307.3% (ATM 28.9% + spread 139.2% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 167.20% (spread 139.20% + slippage 28.00%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 1.06 (vega 14.804 / spread 139.20%) — spread drag

Sentiment

Bullish or bearish?

9.6

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bullish - Moderate signal (Conviction: +100%, Raw: +100%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +100% (strong bullish) — Raw: +100%

OI Skew Magnitude

≥15%

|OI skew| 0.0% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +100.0%, OI skew +0.0% — divergent (opposite)

Conviction Quality

≥2/3 conditions

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

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +0%, ATM: +100%, OTM: +0% — strong bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 50% — neutral vs sector

Activity

Unusual activity?

3.3

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed

Volume Surge

≥1.5x

Volume 0.9x avg — normal

Turnover Rate

≥15%

Vol/OI 0.0% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +0.0% (5d) — stable

Sector Relative≥60%

Sector activity percentile 50% — neutral vs sector

Trade Quality

≥30%

Large trade volume 0% — mostly retail

Execution Urgency

≥60%

Aggressive execution 0% — patient

Flow Conviction

≥30

Conviction +100 (bullish) — strong conviction

Liquidity

Can I trade efficiently?

1.7

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks0/8 checks passed

Tradeable Spread

≤5.0%

Spread 139.2% — wide

Adequate OI

≥10,000

OI 0 — thin

Active Volume

≥500

Volume 12/day — thin

Reasonable Cost

≤$0.50

$6.96 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 72% — wider than sector

Order Book Depth

≥100 contracts

Depth 60.0 contracts (bid:50.0 ask:10.0) — thin

Execution Quality

<1.0%

Avg slippage 28.00% — poor

Timing

Is now a good time?

6.8

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks5/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +2.1% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 43% — neutral

Event Detection

≥10pts kink

IV kink 2.1pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 1020.97 — favors income trades

Expiration Distribution

≥3 expirations

3 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No earnings detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +100% @ 100% consistency — STRONG directional (bullish)

Smart Money Timing

≥40 composite score

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

Directional Strategy Fit

Option Buyers

Long Calls8.1

bullishIV cheap, bullish flow

Long Puts3.8

bearishIV cheap, bullish flow

Premium Sellers

Cash-Secured Put5.7

bullishIV too cheap, bullish flow

Covered Call2.5

bearishIV too cheap, 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 Aug 31, 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.

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