AInvestOption Pilot Program
Options/CTA
C

CTASimplify Managed Futures Strategy ETF

Options Analysis Report•PLASTIC MATERIAL, SYNTH RESIN/RUBBER, CELLULOS (NO GLASS)
AUM $1.6B|ARCX
● 2026-08-31$27.52
BULLISH
Analysis: 2026-08-28 EOD data
1Y -2.7%YTD +1.3%7D -1.3%
4
30D
±14.1%
32%

CTA Options Overview

bullish flow. No clear edge detected.

REWARDS

RISK ANALYSIS

5.0VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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CTA Gamma Walls

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Value

Is IV priced right?

4.3
ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed
≤35%

IV Rank 65.8% — elevated vs history

<1.05x

IV/HV 1.33x — IV premium over HV

Sector Relative≤50%

Sector percentile 81% — above sector median

<1.1x

Front/Back 1.28x — backwardation

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 41.5% — normal range

<80%

Effective IV 44.2% (ATM 41.5% + spread 1.3% + bias) — excellent value

<3.0%

Total drag 1.33% (spread 1.33% + slippage 0.00%) — minimal drag

≥5.0

Vega efficiency 58.63 (vega 7.797 / spread 1.33%) — efficient

Sentiment

Bullish or bearish?

7.0
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksCall-heavy - Moderate signal (P/C: 0.00)
<0.65 or >1.55

P/C 0.00 — call-heavy (buy/sell unknown)

≥15%

|OI skew| 44.6% — put-heavy

Same sign, |vol skew| ≥10%

Vol skew +100.0%, OI skew -44.6% — 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: +0%, ATM: +0%, OTM: +0% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 50% — neutral vs sector

Activity

Unusual activity?

2.3
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed
≥1.5x

Volume 0.1x avg — normal

≥15%

Vol/OI 0.3% — normal turnover

≥2 days

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

≥5%

OI change +28.0% (5d) — building

Sector Relative≥60%

Sector activity percentile 11% — quiet vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 0% — patient

≥30

Conviction +0 (neutral) — mixed

Liquidity

Can I trade efficiently?

4.7
IlliquidLiquid

Evaluates

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

Risk Checks3/8 checks passed
≤5.0%

Spread 1.3% — tight

≥10,000

OI 1,484 — thin

≥500

Volume 4/day — thin

≤$0.50

$0.07 to cross — cheap

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 85% — much wider than sector

≥100 contracts

Depth 0 contracts (bid:0 ask:0) — thin

<1.0%

Avg slippage 0.00% — excellent

Timing

Is now a good time?

7.0
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope +27.9% — backwardation

<30 or >70

IV percentile 66% — neutral

≥10pts kink

IV kink 8.5pts — no clear event

<0.5 or >2.0

θ/ν ratio 1528.86 — 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 +0% @ 50% consistency — unclear

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls5.7
bullishIV fair, bullish flow
Long Puts4.3
bearishIV fair, bullish flow
Premium Sellers
Cash-Secured Put6.1
bullishIV fair, bullish flow
Covered Call4.7
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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