AInvestOption Pilot Program
Options/SPSM
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SPSMState Street SPDR Portfolio S&P 600 Small Cap ETF

Options Analysis Report
AUM $17.1B|ARCX
● 2026-08-31$56.60
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +24.0%YTD +19.7%7D -0.8%
28
30D
±4.6%
0%

SPSM Options Overview

IV is low. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

4.8VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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SPSM Gamma Walls

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Value

Is IV priced right?

6.8
ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed
≤35%

IV Rank 15.3% — cheap vs history

<1.05x

IV/HV 1.34x — IV premium over HV

Sector Relative≤50%

Sector percentile 28% — below sector median

<1.1x

Front/Back 0.85x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 17.4% — normal range

<80%

Effective IV 238.0% (ATM 17.4% + spread 110.3% + bias) — expensive

<3.0%

Total drag 144.55% (spread 110.28% + slippage 34.27%) — high friction

≥5.0

Vega efficiency 0.75 (vega 8.280 / spread 110.28%) — spread drag

Sentiment

Bullish or bearish?

4.0
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksVery Bearish - Strong signal (Conviction: -71%, Raw: -60%)
|net sentiment| ≥25%

Conviction-weighted: -71% (strong bearish) — Raw: -60%

≥15%

|OI skew| 64.0% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +50.0%, OI skew +64.0% — 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: +0%, ATM: +0%, OTM: -60% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 14% — very bullish vs sector

Activity

Unusual activity?

3.3
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 2.1% — normal turnover

≥2 days

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

≥5%

OI change +3.7% (5d) — building

Sector Relative≥60%

Sector activity percentile 48% — neutral vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 40% — patient

≥30

Conviction -71 (bearish) — strong conviction

Liquidity

Can I trade efficiently?

2.8
IlliquidLiquid

Evaluates

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

Risk Checks1/8 checks passed
≤5.0%

Spread 110.3% — wide

≥10,000

OI 1,349 — thin

≥500

Volume 28/day — thin

≤$0.50

$5.51 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 45% — neutral vs sector

≥100 contracts

Depth 457.6 contracts (bid:215.8 ask:241.8) — adequate

<1.0%

Avg slippage 34.27% — poor

Timing

Is now a good time?

7.2
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed
|slope| ≥5%

Slope -14.7% — contango

<30 or >70

IV percentile 15% — buyer opportunity

≥10pts kink

IV kink -1.8pts — no clear event

<0.5 or >2.0

θ/ν ratio 492.84 — favors income trades

≥3 expirations

3 liquid expirations — flexible

≥60% (safe)

safe window: No earnings detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -71% @ 87% consistency — STRONG directional (bearish)

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls5.3
bullishIV cheap, mixed flow
Long Puts6.0
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put4.0
bullishIV too cheap, mixed flow
Covered Call4.7
bearishIV too cheap, mixed 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 SPSM

SPSM gamma wallsSPSM max painSPSM IV rankSPSM options flow