Options/EFA

EFAiShares MSCI EAFE ETF

Options Analysis Report

AUM $80.3B|ARCX

● 2026-08-28$107.72

BEARISH

Analysis: 2026-08-27 EOD data

1Y +17.8%YTD +11.0%7D -0.5%

Options Vol

55,034

30D

Implied Move

±3.9%

IV Rank

12%

EFA Options Overview

IV is low with unusual activity. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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EFA Gamma Walls

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EFA Hedge Radar

No action needed

Full Hedge Radar

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

Protection is priced in the cheap band (3.09) — downside puts carry 0.3 IV points more than at-the-money, and near-dated vol is priced 7% below far-dated, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads resilient (3.03): its realized-vol regime is contracting, and it is trading 2% above its hedge wall on a wall graded HIGH for reliability.

Protection cost

3.09/ 10cheap

Basis: cross_sectional

Fragility

3.03/ 10resilient

Basis: per_ticker

Value

Is IV priced right?

7.8

ExpensiveCheap

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

levels.

Risk Checks7/9 checks passed

IV Rank

≤35%

IV Rank 10.2% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 1.64x — IV premium over HV

Sector Relative≤50%

Sector percentile 19% — below sector median

Term Structure

<1.1x

Front/Back 0.93x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 15.3% — normal range

Spread-Adjusted Value

<80%

Effective IV 40.1% (ATM 15.3% + spread 12.4% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 17.03% (spread 12.40% + slippage 4.63%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 7.20 (vega 8.926 / spread 12.40%) — efficient

Sentiment

Bullish or bearish?

3.2

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksNeutral - Strong signal (Conviction: -9%, Raw: +15%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -9% (neutral) — Raw: +15%

OI Skew Magnitude

≥15%

|OI skew| 31.3% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -68.8%, OI skew -31.3% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 2%, 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: -25%, OTM: +22% — strong bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

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

Activity

Unusual activity?

5.3

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks4/8 checks passed

Volume Surge

≥1.5x

Volume 1.6x avg — elevated

Turnover Rate

≥15%

Vol/OI 4.7% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -12.1% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 66% — active vs sector

Trade Quality

≥30%

Large trade volume 84% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 64% — urgent

Flow Conviction

≥30

Conviction -9 (bearish) — mixed

Liquidity

Can I trade efficiently?

5.0

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks4/8 checks passed

Tradeable Spread

≤5.0%

Spread 12.4% — wide

Adequate OI

≥10,000

OI 1,181,053 — deep

Active Volume

≥500

Volume 55,034/day — active

Reasonable Cost

≤$0.50

$0.62 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 39% — tighter than sector

Order Book Depth

≥100 contracts

Depth 139.4 contracts (bid:71.5 ask:67.9) — adequate

Execution Quality

<1.0%

Avg slippage 4.63% — poor

Timing

Is now a good time?

7.1

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -6.9% — contango

IV Percentile Clarity

<30 or >70

IV percentile 10% — buyer opportunity

Event Detection

≥10pts kink

IV kink 0.0pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 170.67 — favors income trades

Expiration Distribution

≥3 expirations

5 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 -9% @ 55% consistency — unclear

Smart Money Timing

≥40 composite score

Score 114 (ITM 20% + inst 84%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls5.6

bullishIV cheap, bearish flow

Long Puts7.3

bearishIV cheap, bearish flow

Premium Sellers

Cash-Secured Put3.8

bullishIV too cheap, bearish flow

Covered Call5.1

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.