Options/FBTC

FBTCFidelity Wise Origin Bitcoin Fund

Options Analysis Report•COMMODITY CONTRACTS BROKERS & DEALERS

AUM $13.9B|BATS

● 2026-09-11$67.06

NEUTRAL

Analysis: 2026-09-10 EOD data

1Y -32.9%YTD -14.2%7D -3.4%

Options Vol

1,718

30D

Implied Move

±11.5%

IV Rank

11%

FBTC Options Overview

Mixed signals. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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FBTC Gamma Walls

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FBTC Hedge Radar

No action needed

Full Hedge Radar

Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where FBTC sits on protection cost vs. fragility today.

Protection is priced in the cheap band (2.53) — downside puts carry 1.7 IV points more than at-the-money, and implied vol sits in the 12th percentile of its own past year, measured against this name's own rolling 21-trading-day realized moves (483 overlapping windows). Fragility reads resilient (3.38): it is trading 12% above its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

2.53/ 10cheap

Basis: cross_sectional

Fragility

3.38/ 10resilient

Basis: per_ticker

Value

Is IV priced right?

5.1

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 61.8% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 0.91x — IV ≤ HV

Sector Relative≤50%

Sector percentile 77% — above sector median

Term Structure

<1.1x

Front/Back 1.00x — flat

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 41.8% — normal range

Spread-Adjusted Value

<80%

Effective IV 100.7% (ATM 41.8% + spread 29.4% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 37.14% (spread 29.45% + slippage 7.69%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 2.84 (vega 8.363 / spread 29.45%) — spread drag

Sentiment

Bullish or bearish?

4.7

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksNeutral - Moderate signal (Conviction: +8%, Raw: +10%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +8% (neutral) — Raw: +10%

OI Skew Magnitude

≥15%

|OI skew| 22.7% — call-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -20.4%, OI skew +22.7% — divergent (opposite)

Conviction Quality

≥2/3 conditions

0-DTE 10%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +5%, ATM: +12%, OTM: +10% — neutral (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 89% — very bearish vs sector

Activity

Unusual activity?

2.3

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed

Volume Surge

≥1.5x

Volume 0.4x avg — normal

Turnover Rate

≥15%

Vol/OI 1.6% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +0.4% (5d) — stable

Sector Relative≥60%

Sector activity percentile 38% — below sector avg

Trade Quality

≥30%

Large trade volume 23% — mixed

Execution Urgency

≥60%

Aggressive execution 8% — patient

Flow Conviction

≥30

Conviction +8 (bullish) — mixed

Liquidity

Can I trade efficiently?

3.1

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 29.4% — wide

Adequate OI

≥10,000

OI 109,763 — deep

Active Volume

≥500

Volume 1,718/day — adequate

Reasonable Cost

≤$0.50

$1.47 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 82% — much wider than sector

Order Book Depth

≥100 contracts

Depth 594.5 contracts (bid:258.0 ask:336.5) — deep

Execution Quality

<1.0%

Avg slippage 7.69% — poor

Timing

Is now a good time?

6.1

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks4/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +0.2% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 62% — neutral

Event Detection

≥10pts kink

IV kink 1.5pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 172.43 — favors income trades

Expiration Distribution

≥3 expirations

4 liquid expirations — flexible

Event Risk

≥60% (safe)

caution advised: No earnings detected; FOMC in 5d; CPI in 0d (HIGH)

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +8% @ 54% consistency — unclear

Smart Money Timing

≥40 composite score

Score 53 (ITM 20% + inst 23%) — moderate institutional

Directional Strategy Fit

Option Buyers

Long Calls4.8

bullishIV fair, mixed flow

Long Puts5.0

bearishIV fair, mixed flow

Premium Sellers

Cash-Secured Put4.6

bullishIV fair, mixed flow

Covered Call4.9

bearishIV fair, mixed 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.

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