IEIiShares 3-7 Year Treasury Bond ETF
IEI Options Overview
IV is low with bearish flow. Conditions favor option buyers.
REWARDS
RISK ANALYSIS
IEI Gamma Walls
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 0.4% — cheap vs history
IV/HV 1.43x — IV premium over HV
Sector percentile 1% — below sector median
Front/Back 1.84x — backwardation
Put/Call IV 1.16x — elevated
ATM IV 5.1% — normal range
Effective IV 52.3% (ATM 5.1% + spread 23.6% + bias) — good value
Total drag 34.29% (spread 23.58% + slippage 10.71%) — high friction
Vega efficiency 3.98 (vega 9.375 / spread 23.58%) — spread drag
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: -54% (strong bearish) — Raw: -48%
|OI skew| 55.4% — put-heavy
Vol skew +52.5%, OI skew -55.4% — divergent (opposite)
0-DTE 0%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: +0%, ATM: -57%, OTM: +53% — bearish (ITM/ATM divergent)
Sector P/C percentile 13% — very bullish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 1.8x avg — elevated
Vol/OI 0.7% — normal turnover
4 day(s) elevated — sustained
OI change +2.2% (5d) — building
Sector activity percentile 20% — below sector avg
Large trade volume 46% — institutional presence
Aggressive execution 32% — patient
Conviction -54 (bearish) — strong conviction
Liquidity
Can I trade efficiently?
Evaluates
Spread 23.6% — wide
OI 32,781 — adequate
Volume 219/day — thin
$1.18 to cross — expensive
0 liquid strikes — limited options
Sector spread percentile 25% — tighter than sector
Depth 164.7 contracts (bid:100.3 ask:64.4) — adequate
Avg slippage 10.71% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope +84.4% — backwardation
IV percentile 0% — buyer opportunity
IV kink 3.1pts — no clear event
θ/ν ratio 860.07 — favors income trades
3 liquid expirations — flexible
caution advised: No earnings detected; FOMC in 5d; CPI in 0d (HIGH)
Spread ratio 1.00x — stable
Flow -54% @ 77% consistency — STRONG directional (bearish)
Score 76 (ITM 20% + inst 46%) — HIGH institutional
Directional Strategy Fit
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.