Options/MST

MSTDefiance Leveraged Long Income MSTR ETF

Options Analysis Report

AUM $22M|NASDAQ

● 2026-08-31$11.88

BULLISH

Analysis: 2026-08-28 EOD data

1Y -96.1%YTD -72.7%7D +1.5%

Options Vol

30D

Implied Move

±34.7%

IV Rank

MST Options Overview

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

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

Learn

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MST Gamma Walls

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Value

Is IV priced right?

4.0

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 97.7% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 0.91x — IV ≤ HV

Sector Relative≤50%

Sector percentile 98% — above sector median

Term Structure

<1.1x

Front/Back 1.06x — backwardation

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 120.3% — crisis-level IV

Spread-Adjusted Value

<80%

Effective IV 377.1% (ATM 120.3% + spread 128.4% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 163.25% (spread 128.42% + slippage 34.83%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 0.13 (vega 1.711 / spread 128.42%) — spread drag

Sentiment

Bullish or bearish?

8.7

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bullish - Strong signal (Conviction: +63%, Raw: +52%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +63% (strong bullish) — Raw: +52%

OI Skew Magnitude

≥15%

|OI skew| 19.3% — call-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +75.0%, OI skew +19.3% — aligned

Conviction Quality

≥2/3 conditions

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

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +0%, ATM: -100%, OTM: +56% — strong bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

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

Activity

Unusual activity?

4.7

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks3/8 checks passed

Volume Surge

≥1.5x

Volume 1.0x avg — normal

Turnover Rate

≥15%

Vol/OI 6.7% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +9.7% (5d) — building

Sector Relative≥60%

Sector activity percentile 76% — active vs sector

Trade Quality

≥30%

Large trade volume 0% — mostly retail

Execution Urgency

≥60%

Aggressive execution 12% — patient

Flow Conviction

≥30

Conviction +63 (bullish) — strong conviction

Liquidity

Can I trade efficiently?

2.3

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks1/8 checks passed

Tradeable Spread

≤5.0%

Spread 128.4% — wide

Adequate OI

≥10,000

OI 597 — thin

Active Volume

≥500

Volume 40/day — thin

Reasonable Cost

≤$0.50

$6.42 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 99% — much wider than sector

Order Book Depth

≥100 contracts

Depth 394.6 contracts (bid:192.6 ask:202.0) — adequate

Execution Quality

<1.0%

Avg slippage 34.83% — poor

Timing

Is now a good time?

7.6

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +6.1% — backwardation

IV Percentile Clarity

<30 or >70

IV percentile 98% — seller opportunity

Event Detection

≥10pts kink

IV kink 0.8pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 94.00 — favors income trades

Expiration Distribution

≥3 expirations

4 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No earnings detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +63% @ 83% consistency — STRONG directional (bullish)

Smart Money Timing

≥40 composite score

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

Directional Strategy Fit

Option Buyers

Long Calls7.0

bullishIV expensive, bullish flow

Long Puts3.3

bearishIV expensive, bullish flow

Premium Sellers

Cash-Secured Put6.4

bullishIV rich premium, bullish flow

Covered Call3.9

bearishIV rich premium, 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.

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