Options/KTOS

KTOSKratos Defense & Security Solutions, Inc.

Options Analysis Report•GUIDED MISSILES & SPACE VEHICLES & PARTS

Market Cap $8.8B|NASDAQ

● 2026-09-11$46.69

NEUTRAL

Analysis: 2026-09-10 EOD data

1Y -32.5%YTD -41.1%7D -2.4%

Options Vol

5,483

30D

Implied Move

±16.8%

IV Rank

KTOS Options Overview

IV is elevated with unusual activity. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

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KTOS Gamma Walls

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KTOS Hedge Radar

Hedge window open

Full Hedge Radar

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

Protection is priced in the cheap band (3.01) — implied vol sits in the 6th percentile of its own past year, and downside puts carry 2.2 IV points more than at-the-money, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads fragile (6.61): it is trading 6% below its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.

Protection cost

3.01/ 10cheap

Basis: cross_sectional

Fragility

6.61/ 10fragile

Basis: per_ticker

Value

Is IV priced right?

4.1

ExpensiveCheap

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

levels.

Risk Checks3/9 checks passed

IV Rank

≤35%

IV Rank 84.1% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.50x — IV premium over HV

Sector Relative≤50%

Sector percentile 86% — above sector median

Term Structure

<1.1x

Front/Back 0.99x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 65.0% — normal range

Spread-Adjusted Value

<80%

Effective IV 89.9% (ATM 65.0% + spread 12.4% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 18.69% (spread 12.43% + slippage 6.26%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 3.06 (vega 3.804 / spread 12.43%) — spread drag

Sentiment

Bullish or bearish?

6.1

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBearish - Strong signal (Conviction: -13%, Raw: -10%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -13% (bearish) — Raw: -10%

OI Skew Magnitude

≥15%

|OI skew| 25.4% — call-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +43.4%, OI skew +25.4% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 18%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +32%, ATM: -6%, OTM: -15% — bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 31% — bullish vs sector

Activity

Unusual activity?

3.6

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed

Volume Surge

≥1.5x

Volume 0.8x avg — normal

Turnover Rate

≥15%

Vol/OI 4.6% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +7.2% (5d) — building

Sector Relative≥60%

Sector activity percentile 81% — very active vs sector

Trade Quality

≥30%

Large trade volume 0% — mostly retail

Execution Urgency

≥60%

Aggressive execution 33% — patient

Flow Conviction

≥30

Conviction -13 (bearish) — mixed

Liquidity

Can I trade efficiently?

3.6

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 12.4% — wide

Adequate OI

≥10,000

OI 120,162 — deep

Active Volume

≥500

Volume 5,483/day — active

Reasonable Cost

≤$0.50

$0.62 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 92% — much wider than sector

Order Book Depth

≥100 contracts

Depth 313.0 contracts (bid:152.3 ask:160.7) — adequate

Execution Quality

<1.0%

Avg slippage 6.26% — poor

Timing

Is now a good time?

6.0

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks4/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -1.0% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 84% — seller opportunity

Event Detection

≥10pts kink

IV kink 1.1pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 46.61 — favors income trades

Expiration Distribution

≥3 expirations

5 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 -13% @ 56% consistency — unclear

Smart Money Timing

≥40 composite score

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

Directional Strategy Fit

Option Buyers

Long Calls5.0

bullishIV fair, bullish flow

Long Puts4.3

bearishIV fair, bullish flow

Premium Sellers

Cash-Secured Put5.5

bullishIV fair, bullish flow

Covered Call4.7

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 KTOS

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