Options/DFEN

DFENDirexion Daily Aerospace & Defense Bull 3X ETF

Options Analysis Report

AUM $363M|ARCX

● 2026-08-31$67.73

NEUTRAL

Analysis: 2026-08-28 EOD data

1Y +15.3%YTD -3.7%7D -1.1%

Options Vol

267

30D

Implied Move

±19.9%

IV Rank

37%

DFEN Options Overview

IV is elevated. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

Learn

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DFEN Gamma Walls

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DFEN Hedge Radar

No action needed

Full Hedge Radar

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

Protection is priced in the cheap band (3.13) — downside puts carry 3.9 IV points LESS than at-the-money, and near-dated vol is priced 0% above far-dated, measured against this name's own rolling 16-trading-day realized moves (488 overlapping windows). Fragility reads resilient (3.51): it is trading 6% above its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.

Protection cost

3.13/ 10cheap

Basis: cross_sectional

Fragility

3.51/ 10resilient

Basis: per_ticker

Value

Is IV priced right?

4.7

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 89.3% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.03x — IV ≤ HV

Sector Relative≤50%

Sector percentile 93% — above sector median

Term Structure

<1.1x

Front/Back 0.97x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 70.3% — normal range

Spread-Adjusted Value

<80%

Effective IV 118.6% (ATM 70.3% + spread 24.2% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 29.58% (spread 24.17% + slippage 5.41%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 6.77 (vega 16.369 / spread 24.17%) — acceptable

Sentiment

Bullish or bearish?

5.9

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBullish - Strong signal (Conviction: +18%, Raw: +10%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +18% (bullish) — Raw: +10%

OI Skew Magnitude

≥15%

|OI skew| 34.9% — call-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +6.4%, OI skew +34.9% — weak (same direction)

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: +50%, ATM: +31%, OTM: +5% — strong bullish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 26% — very bullish vs sector

Activity

Unusual activity?

3.6

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed

Volume Surge

≥1.5x

Volume 0.6x avg — normal

Turnover Rate

≥15%

Vol/OI 4.4% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +36.6% (5d) — building

Sector Relative≥60%

Sector activity percentile 67% — active vs sector

Trade Quality

≥30%

Large trade volume 0% — mostly retail

Execution Urgency

≥60%

Aggressive execution 29% — patient

Flow Conviction

≥30

Conviction +18 (bullish) — mixed

Liquidity

Can I trade efficiently?

2.6

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks0/8 checks passed

Tradeable Spread

≤5.0%

Spread 24.2% — wide

Adequate OI

≥10,000

OI 6,088 — thin

Active Volume

≥500

Volume 267/day — thin

Reasonable Cost

≤$0.50

$1.21 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 95% — much wider than sector

Order Book Depth

≥100 contracts

Depth 77.1 contracts (bid:45.6 ask:31.5) — thin

Execution Quality

<1.0%

Avg slippage 5.41% — poor

Timing

Is now a good time?

7.2

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks5/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -3.5% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 89% — seller opportunity

Event Detection

≥10pts kink

IV kink 17.8pts — event priced

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 358.19 — favors income trades

Expiration Distribution

≥3 expirations

2 liquid expirations — limited

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 +18% @ 59% consistency — unclear

Smart Money Timing

≥40 composite score

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

Directional Strategy Fit

Option Buyers

Long Calls5.2

bullishIV fair, mixed flow

Long Puts4.5

bearishIV fair, mixed flow

Premium Sellers

Cash-Secured Put5.3

bullishIV fair, mixed flow

Covered Call4.7

bearishIV fair, 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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