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CBOECboe Global Markets, Inc.

Options Analysis Report•SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES
Market Cap $32.4B|BATS
● 2026-08-28$310.45
NEUTRAL
Analysis: 2026-08-27 EOD data
1Y +33.9%YTD +25.1%7D +0.8%
2,471
30D
±9.3%
14%

CBOE Options Overview

Mixed signals. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

5.1VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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CBOE Gamma Walls

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Value

Is IV priced right?

5.6
ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed
≤35%

IV Rank 62.1% — elevated vs history

<1.05x

IV/HV 0.91x — IV ≤ HV

Sector Relative≤50%

Sector percentile 85% — above sector median

<1.1x

Front/Back 0.95x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 34.8% — normal range

<80%

Effective IV 54.2% (ATM 34.8% + spread 9.7% + bias) — good value

<3.0%

Total drag 13.85% (spread 9.68% + slippage 4.17%) — high friction

≥5.0

Vega efficiency 5.85 (vega 5.662 / spread 9.68%) — acceptable

Sentiment

Bullish or bearish?

6.2
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Moderate signal (Conviction: +3%, Raw: +1%)
|net sentiment| ≥25%

Conviction-weighted: +3% (neutral) — Raw: +1%

≥15%

|OI skew| 27.0% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +20.7%, OI skew +27.0% — aligned

≥2/3 conditions

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

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: -6%, ATM: -1%, OTM: +4% — neutral (ITM/ATM aligned)

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 1.0x avg — normal

≥15%

Vol/OI 5.1% — normal turnover

≥2 days

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

≥5%

OI change -9.9% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 87% — very active vs sector

≥30%

Large trade volume 4% — mostly retail

≥60%

Aggressive execution 16% — patient

≥30

Conviction +3 (bullish) — mixed

Liquidity

Can I trade efficiently?

3.6
IlliquidLiquid

Evaluates

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

Risk Checks3/8 checks passed
≤5.0%

Spread 9.7% — wide

≥10,000

OI 48,593 — adequate

≥500

Volume 2,471/day — adequate

≤$0.50

$0.48 to cross — cheap

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 85% — much wider than sector

≥100 contracts

Depth 23.7 contracts (bid:12.0 ask:11.7) — thin

<1.0%

Avg slippage 4.17% — poor

Timing

Is now a good time?

6.7
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope -5.1% — contango

<30 or >70

IV percentile 62% — neutral

≥10pts kink

IV kink -0.3pts — no clear event

<0.5 or >2.0

θ/ν ratio 4.27 — favors income trades

≥3 expirations

4 liquid expirations — flexible

≥60% (safe)

safe window: No events detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow +3% @ 52% consistency — unclear

≥40 composite score

Score 34 (ITM 20% + inst 4%) — retail dominated

Directional Strategy Fit

Option Buyers
Long Calls5.7
bullishIV fair, bullish flow
Long Puts4.8
bearishIV fair, bullish flow
Premium Sellers
Cash-Secured Put5.2
bullishIV fair, bullish flow
Covered Call4.4
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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