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Options Analysis Report
AUM $12M|NASDAQ
● 2026-08-31$10.03
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y -9.9%YTD -14.8%7D -5.1%
74
30D
±8.6%
2%

MSFD Options Overview

unusual activity. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

4.8VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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MSFD Gamma Walls

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Value

Is IV priced right?

5.5
ExpensiveCheap

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

levels.

Risk Checks3/9 checks passed
≤35%

IV Rank 48.1% — elevated vs history

<1.05x

IV/HV 1.17x — IV premium over HV

Sector Relative≤50%

Sector percentile 69% — above sector median

<1.1x

Front/Back 0.90x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 31.2% — normal range

<80%

Effective IV 193.7% (ATM 31.2% + spread 81.2% + bias) — expensive

<3.0%

Total drag 93.17% (spread 81.23% + slippage 11.94%) — high friction

≥5.0

Vega efficiency 0.30 (vega 2.437 / spread 81.23%) — spread drag

Sentiment

Bullish or bearish?

3.6
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksVery Bearish - Strong signal (Conviction: -83%, Raw: -85%)
|net sentiment| ≥25%

Conviction-weighted: -83% (strong bearish) — Raw: -85%

≥15%

|OI skew| 88.6% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +75.7%, OI skew +88.6% — aligned

≥2/3 conditions

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

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

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

Sector Relative≤40% or ≥60%

Sector P/C percentile 7% — very bullish vs sector

Activity

Unusual activity?

5.3
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks3/8 checks passed
≥1.5x

Volume 1.4x avg — normal

≥15%

Vol/OI 8.5% — normal turnover

≥2 days

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

≥5%

OI change +5.7% (5d) — building

Sector Relative≥60%

Sector activity percentile 81% — very active vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 0% — patient

≥30

Conviction -83 (bearish) — strong conviction

Liquidity

Can I trade efficiently?

2.4
IlliquidLiquid

Evaluates

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

Risk Checks1/8 checks passed
≤5.0%

Spread 81.2% — wide

≥10,000

OI 876 — thin

≥500

Volume 74/day — thin

≤$0.50

$4.06 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 76% — wider than sector

≥100 contracts

Depth 680.0999999999999 contracts (bid:132.2 ask:547.9) — deep

<1.0%

Avg slippage 11.94% — poor

Timing

Is now a good time?

7.4
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed
|slope| ≥5%

Slope -10.2% — contango

<30 or >70

IV percentile 48% — neutral

≥10pts kink

IV kink 15.5pts — event priced

<0.5 or >2.0

θ/ν ratio 812.30 — favors income trades

≥3 expirations

2 liquid expirations — limited

≥60% (safe)

safe window: No earnings detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -83% @ 92% consistency — STRONG directional (bearish)

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls4.7
bullishIV fair, bearish flow
Long Puts5.6
bearishIV fair, bearish flow
Premium Sellers
Cash-Secured Put4.2
bullishIV fair, bearish flow
Covered Call5.2
bearishIV fair, bearish 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.

More on MSFD

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