AInvestOption Pilot Program
Options/UPRO
U

UPROProShares UltraPro S&P 500

Options Analysis Report
AUM $5.5B|ARCX
● 2026-08-31$151.78
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +52.7%YTD +30.5%7D +2.2%
5,687
30D
±9.7%
5%

UPRO Options Overview

unusual activity. No clear edge detected.

REWARDS

RISK ANALYSIS

5.1VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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UPRO Gamma Walls

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Value

Is IV priced right?

6.4
ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed
≤35%

IV Rank 54.6% — elevated vs history

<1.05x

IV/HV 1.12x — IV premium over HV

Sector Relative≤50%

Sector percentile 74% — above sector median

<1.1x

Front/Back 0.67x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 34.6% — normal range

<80%

Effective IV 69.7% (ATM 34.6% + spread 17.5% + bias) — fair

<3.0%

Total drag 23.41% (spread 17.54% + slippage 5.87%) — high friction

≥5.0

Vega efficiency 7.91 (vega 13.876 / spread 17.54%) — efficient

Sentiment

Bullish or bearish?

5.1
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Moderate signal (Conviction: -4%, Raw: +1%)
|net sentiment| ≥25%

Conviction-weighted: -4% (neutral) — Raw: +1%

≥15%

|OI skew| 19.5% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew -2.4%, OI skew +19.5% — 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: -9%, ATM: -13%, OTM: +12% — bearish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 88% — very bearish vs sector

Activity

Unusual activity?

4.1
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed
≥1.5x

Volume 1.0x avg — normal

≥15%

Vol/OI 8.3% — normal turnover

≥2 days

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

≥5%

OI change +14.7% (5d) — building

Sector Relative≥60%

Sector activity percentile 80% — very active vs sector

≥30%

Large trade volume 7% — mostly retail

≥60%

Aggressive execution 17% — patient

≥30

Conviction -4 (bearish) — mixed

Liquidity

Can I trade efficiently?

3.2
IlliquidLiquid

Evaluates

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

Risk Checks3/8 checks passed
≤5.0%

Spread 17.5% — wide

≥10,000

OI 68,511 — deep

≥500

Volume 5,687/day — active

≤$0.50

$0.88 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 80% — much wider than sector

≥100 contracts

Depth 394.6 contracts (bid:226.2 ask:168.4) — adequate

<1.0%

Avg slippage 5.87% — poor

Timing

Is now a good time?

6.6
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks5/9 checks passed
|slope| ≥5%

Slope -32.7% — contango

<30 or >70

IV percentile 55% — neutral

≥10pts kink

IV kink -8.6pts — no clear event

<0.5 or >2.0

θ/ν ratio 107.32 — favors income trades

≥3 expirations

4 liquid expirations — flexible

≥60% (safe)

safe window: No earnings detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -4% @ 52% consistency — unclear

≥40 composite score

Score 37 (ITM 20% + inst 7%) — retail dominated

Directional Strategy Fit

Option Buyers
Long Calls5.5
bullishIV cheap, mixed flow
Long Puts5.4
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put4.5
bullishIV too cheap, mixed flow
Covered Call4.4
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 UPRO

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