AInvestOption Pilot Program
Options/ETHA
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ETHAiShares Ethereum Trust ETF

Options Analysis Report•COMMODITY CONTRACTS BROKERS & DEALERS
AUM $8.3B|NASDAQ
● 2026-08-28$18.37
BULLISH
Analysis: 2026-08-27 EOD data
1Y -44.0%YTD -22.1%7D +0.7%
145,040
30D
±15.7%
25%

ETHA Options Overview

IV is elevated with bullish flow. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

6.0VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for premium sellers

Learn
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ETHA Gamma Walls

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Value

Is IV priced right?

5.6
ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed
≤35%

IV Rank 79.3% — elevated vs history

<1.05x

IV/HV 1.11x — IV premium over HV

Sector Relative≤50%

Sector percentile 88% — above sector median

<1.1x

Front/Back 0.95x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 57.1% — normal range

<80%

Effective IV 65.8% (ATM 57.1% + spread 4.3% + bias) — fair

<3.0%

Total drag 7.64% (spread 4.35% + slippage 3.29%) — high friction

≥5.0

Vega efficiency 5.93 (vega 2.580 / spread 4.35%) — acceptable

Sentiment

Bullish or bearish?

6.6
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Moderate signal (Conviction: +2%, Raw: +9%)
|net sentiment| ≥25%

Conviction-weighted: +2% (neutral) — Raw: +9%

≥15%

|OI skew| 20.2% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +70.4%, OI skew +20.2% — aligned

≥2/3 conditions

0-DTE 34%, far-OTM 15%, avg DTE 30

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: -8%, ATM: +16%, OTM: +8% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 11% — very bullish vs sector

Activity

Unusual activity?

4.1
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed
≥1.5x

Volume 0.6x avg — normal

≥15%

Vol/OI 6.1% — normal turnover

≥2 days

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

≥5%

OI change -6.5% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 74% — active vs sector

≥30%

Large trade volume 48% — institutional presence

≥60%

Aggressive execution 56% — patient

≥30

Conviction +2 (bullish) — mixed

Liquidity

Can I trade efficiently?

6.3
IlliquidLiquid

Evaluates

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

Risk Checks5/8 checks passed
≤5.0%

Spread 4.3% — acceptable

≥10,000

OI 2,371,354 — deep

≥500

Volume 145,040/day — active

≤$0.50

$0.22 to cross — cheap

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 91% — much wider than sector

≥100 contracts

Depth 1,040.2 contracts (bid:473.6 ask:566.6) — deep

<1.0%

Avg slippage 3.29% — poor

Timing

Is now a good time?

7.5
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed
|slope| ≥5%

Slope -5.0% — contango

<30 or >70

IV percentile 79% — seller opportunity

≥10pts kink

IV kink -0.4pts — no clear event

<0.5 or >2.0

θ/ν ratio 163.32 — favors income trades

≥3 expirations

4 liquid expirations — flexible

≥60% (safe)

safe window: No earnings detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow +2% @ 51% consistency — unclear

≥40 composite score

Score 78 (ITM 20% + inst 48%) — HIGH institutional

Directional Strategy Fit

Option Buyers
Long Calls6.3
bullishIV fair, bullish flow
Long Puts5.2
bearishIV fair, bullish flow
Premium Sellers
Cash-Secured Put5.6
bullishIV fair, bullish flow
Covered Call4.9
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 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.