Options/ARCC

ARCCAres Capital Corporation

Options Analysis Report

Market Cap $14.3B|NASDAQ

● 2026-08-31$19.95

BEARISH

Analysis: 2026-08-28 EOD data

1Y -10.6%YTD -2.4%7D -0.5%

Options Vol

2,253

30D

Implied Move

±5.4%

IV Rank

ARCC Options Overview

IV is low. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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ARCC Gamma Walls

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ARCC Hedge Radar

No action needed

Full Hedge Radar

Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where ARCC sits on protection cost vs. fragility today.

Protection is priced in the cheap band (3.74) — near-dated vol is priced 45% below far-dated, and implied vol sits in the 11th percentile of its own past year, measured against this name's own rolling 26-trading-day realized moves (478 overlapping windows). Fragility reads resilient (2.53): it is trading 10% above its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.

Protection cost

3.74/ 10cheap

Basis: cross_sectional

Fragility

2.53/ 10resilient

Basis: per_ticker

Value

Is IV priced right?

8.1

ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed

IV Rank

≤35%

IV Rank 17.0% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 0.96x — IV ≤ HV

Sector Relative≤50%

Sector percentile 30% — below 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 18.0% — normal range

Spread-Adjusted Value

<80%

Effective IV 81.6% (ATM 18.0% + spread 31.8% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 42.60% (spread 31.79% + slippage 10.81%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 1.43 (vega 4.535 / spread 31.79%) — spread drag

Sentiment

Bullish or bearish?

3.7

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksNeutral - Strong signal (Conviction: +7%, Raw: +6%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +7% (neutral) — Raw: +6%

OI Skew Magnitude

≥15%

|OI skew| 20.0% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -60.5%, OI skew -20.0% — 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: -86%, ATM: +29%, OTM: +2% — strong bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 97% — very bearish vs sector

Activity

Unusual activity?

2.8

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed

Volume Surge

≥1.5x

Volume 0.8x avg — normal

Turnover Rate

≥15%

Vol/OI 1.4% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +1.7% (5d) — stable

Sector Relative≥60%

Sector activity percentile 38% — below sector avg

Trade Quality

≥30%

Large trade volume 66% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 40% — patient

Flow Conviction

≥30

Conviction +7 (bullish) — mixed

Liquidity

Can I trade efficiently?

3.4

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 31.8% — wide

Adequate OI

≥10,000

OI 166,068 — deep

Active Volume

≥500

Volume 2,253/day — adequate

Reasonable Cost

≤$0.50

$1.59 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 47% — neutral vs sector

Order Book Depth

≥100 contracts

Depth 582.8 contracts (bid:294.6 ask:288.2) — deep

Execution Quality

<1.0%

Avg slippage 10.81% — poor

Timing

Is now a good time?

7.0

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +5.6% — backwardation

IV Percentile Clarity

<30 or >70

IV percentile 17% — buyer opportunity

Event Detection

≥10pts kink

IV kink 2.2pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 4535.10 — favors income trades

Expiration Distribution

≥3 expirations

3 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No events detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +7% @ 53% consistency — unclear

Smart Money Timing

≥40 composite score

Score 96 (ITM 20% + inst 66%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls5.7

bullishIV cheap, bearish flow

Long Puts7.4

bearishIV cheap, bearish flow

Premium Sellers

Cash-Secured Put3.6

bullishIV too cheap, bearish flow

Covered Call4.5

bearishIV too cheap, 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.

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