AInvestOption Pilot Program
Options/SETH
S

SETHProShares Short Ether ETF

Options Analysis Report
AUM $12M|ARCX
● 2026-08-31$33.69
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +1.0%YTD -15.3%7D +1.5%
2
30D
±13.6%
9%

SETH Options Overview

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

REWARDS

RISK ANALYSIS

5.1VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for premium sellers

Learn
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SETH Gamma Walls

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Value

Is IV priced right?

5.0
ExpensiveCheap

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

levels.

Risk Checks4/9 checks passed
≤35%

IV Rank 75.3% — elevated vs history

<1.05x

IV/HV 0.87x — IV ≤ HV

Sector Relative≤50%

Sector percentile 86% — above sector median

<1.1x

Front/Back 0.88x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 49.2% — normal range

<80%

Effective IV 379.0% (ATM 49.2% + spread 164.9% + bias) — expensive

<3.0%

Total drag 170.17% (spread 164.91% + slippage 5.26%) — high friction

≥5.0

Vega efficiency 0.55 (vega 9.053 / spread 164.91%) — spread drag

Sentiment

Bullish or bearish?

8.0
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksVery Bullish - Weak signal (Conviction: +100%, Raw: +100%)
|net sentiment| ≥25%

Conviction-weighted: +100% (strong bullish) — Raw: +100%

≥15%

|OI skew| 9.3% — balanced

Same sign, |vol skew| ≥10%

Vol skew -100.0%, OI skew +9.3% — divergent (opposite)

≥2/3 conditions

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

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

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

Sector Relative≤40% or ≥60%

Sector P/C percentile 27% — very bullish vs sector

Activity

Unusual activity?

3.4
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed
≥1.5x

Volume 0.5x avg — normal

≥15%

Vol/OI 1.8% — normal turnover

≥2 days

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

≥5%

OI change +4.8% (5d) — building

Sector Relative≥60%

Sector activity percentile 45% — neutral vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 0% — patient

≥30

Conviction +100 (bullish) — strong conviction

Liquidity

Can I trade efficiently?

1.9
IlliquidLiquid

Evaluates

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

Risk Checks1/8 checks passed
≤5.0%

Spread 164.9% — wide

≥10,000

OI 108 — thin

≥500

Volume 2/day — thin

≤$0.50

$8.25 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 89% — much wider than sector

≥100 contracts

Depth 416.0 contracts (bid:374.0 ask:42.0) — adequate

<1.0%

Avg slippage 5.26% — poor

Timing

Is now a good time?

7.2
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope -11.5% — contango

<30 or >70

IV percentile 75% — seller opportunity

≥10pts kink

IV kink 0.0pts — no clear event

<0.5 or >2.0

θ/ν ratio 3482.08 — 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 +100% @ 100% consistency — STRONG directional (bullish)

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls5.9
bullishIV fair, bullish flow
Long Puts3.8
bearishIV fair, bullish flow
Premium Sellers
Cash-Secured Put5.7
bullishIV fair, bullish flow
Covered Call3.7
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 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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