Options/CPER

CPERUnited States Copper Index Fund

Options Analysis Report•COMMODITY CONTRACTS BROKERS & DEALERS

AUM $747M|ARCX

● 2026-08-31$39.67

BULLISH

Analysis: 2026-08-28 EOD data

1Y +39.2%YTD +13.4%7D -1.0%

Options Vol

3,395

30D

Implied Move

±6.5%

IV Rank

13%

CPER Options Overview

bullish flow with unusual activity. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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CPER Gamma Walls

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Value

Is IV priced right?

6.1

ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed

IV Rank

≤35%

IV Rank 42.8% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.56x — IV premium over HV

Sector Relative≤50%

Sector percentile 62% — above sector median

Term Structure

<1.1x

Front/Back 0.75x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 28.8% — normal range

Spread-Adjusted Value

<80%

Effective IV 58.1% (ATM 28.8% + spread 14.7% + bias) — good value

Execution Efficiency

<3.0%

Total drag 19.99% (spread 14.66% + slippage 5.33%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 9.47 (vega 13.890 / spread 14.66%) — efficient

Sentiment

Bullish or bearish?

4.8

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bearish - Strong signal (Conviction: -49%, Raw: -33%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -49% (strong bearish) — Raw: -33%

OI Skew Magnitude

≥15%

|OI skew| 67.0% — call-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +64.5%, OI skew +67.0% — 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: -74%, ATM: -80%, OTM: +1% — strong bearish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 10% — very bullish vs sector

Activity

Unusual activity?

5.2

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks4/8 checks passed

Volume Surge

≥1.5x

Volume 1.0x avg — normal

Turnover Rate

≥15%

Vol/OI 3.6% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +7.9% (5d) — building

Sector Relative≥60%

Sector activity percentile 62% — active vs sector

Trade Quality

≥30%

Large trade volume 31% — institutional presence

Execution Urgency

≥60%

Aggressive execution 30% — patient

Flow Conviction

≥30

Conviction -49 (bearish) — moderate

Liquidity

Can I trade efficiently?

3.1

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 14.7% — wide

Adequate OI

≥10,000

OI 95,496 — deep

Active Volume

≥500

Volume 3,395/day — adequate

Reasonable Cost

≤$0.50

$0.73 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 72% — wider than sector

Order Book Depth

≥100 contracts

Depth 516.8 contracts (bid:170.0 ask:346.8) — deep

Execution Quality

<1.0%

Avg slippage 5.33% — poor

Timing

Is now a good time?

7.5

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -25.2% — contango

IV Percentile Clarity

<30 or >70

IV percentile 43% — neutral

Event Detection

≥10pts kink

IV kink -4.9pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 1310.34 — favors income trades

Expiration Distribution

≥3 expirations

3 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No earnings detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow -49% @ 75% consistency — STRONG directional (bearish)

Smart Money Timing

≥40 composite score

Score 61 (ITM 20% + inst 31%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls6.3

bullishIV cheap, mixed flow

Long Puts5.6

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put4.6

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.

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