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ETHEGrayscale Ethereum Staking ETF Shares

Options Analysis Report•COMMODITY CONTRACTS BROKERS & DEALERS
AUM $1.9B|ARCX
● 2026-08-31$19.62
VERY BULLISH
Analysis: 2026-08-28 EOD data
1Y -44.3%YTD -23.3%7D -1.5%
1,231
30D
±14.3%
14%

ETHE Options Overview

IV is elevated with bullish flow. No clear edge detected.

REWARDS

RISK ANALYSIS

5.6VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for premium sellers

Learn
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ETHE Gamma Walls

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Value

Is IV priced right?

5.2
ExpensiveCheap

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

levels.

Risk Checks4/9 checks passed
≤35%

IV Rank 80.8% — elevated vs history

<1.05x

IV/HV 1.10x — IV premium over HV

Sector Relative≤50%

Sector percentile 89% — above sector median

<1.1x

Front/Back 0.84x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 55.8% — normal range

<80%

Effective IV 72.1% (ATM 55.8% + spread 8.1% + bias) — fair

<3.0%

Total drag 12.33% (spread 8.14% + slippage 4.19%) — high friction

≥5.0

Vega efficiency 2.70 (vega 2.196 / spread 8.14%) — spread drag

Sentiment

Bullish or bearish?

7.3
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksBullish - Strong signal (Conviction: +24%, Raw: +33%)
|net sentiment| ≥25%

Conviction-weighted: +24% (bullish) — Raw: +33%

≥15%

|OI skew| 72.3% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +92.4%, OI skew +72.3% — aligned

≥2/3 conditions

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

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: -15%, ATM: +22%, OTM: +53% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 3% — very bullish vs sector

Activity

Unusual activity?

4.0
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed
≥1.5x

Volume 0.7x avg — normal

≥15%

Vol/OI 2.1% — normal turnover

≥2 days

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

≥5%

OI change +7.3% (5d) — building

Sector Relative≥60%

Sector activity percentile 48% — neutral vs sector

≥30%

Large trade volume 45% — institutional presence

≥60%

Aggressive execution 12% — patient

≥30

Conviction +24 (bullish) — mixed

Liquidity

Can I trade efficiently?

4.0
IlliquidLiquid

Evaluates

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

Risk Checks4/8 checks passed
≤5.0%

Spread 8.1% — wide

≥10,000

OI 60,066 — deep

≥500

Volume 1,231/day — adequate

≤$0.50

$0.41 to cross — cheap

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 92% — much wider than sector

≥100 contracts

Depth 663.8 contracts (bid:282.5 ask:381.3) — deep

<1.0%

Avg slippage 4.19% — poor

Timing

Is now a good time?

7.3
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed
|slope| ≥5%

Slope -16.5% — contango

<30 or >70

IV percentile 81% — seller opportunity

≥10pts kink

IV kink -5.2pts — no clear event

<0.5 or >2.0

θ/ν ratio 82.24 — favors income trades

≥3 expirations

4 liquid expirations — flexible

≥60% (safe)

safe window: No earnings detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow +24% @ 62% consistency — unclear

≥40 composite score

Score 75 (ITM 20% + inst 45%) — HIGH institutional

Directional Strategy Fit

Option Buyers
Long Calls6.9
bullishIV fair, bullish flow
Long Puts4.5
bearishIV fair, bullish flow
Premium Sellers
Cash-Secured Put5.9
bullishIV fair, bullish flow
Covered Call4.2
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.

More on ETHE

ETHE gamma wallsETHE max painETHE IV rankETHE options flow