Options/FXY

FXYInvesco CurrencyShares Japanese Yen Trust

Options Analysis Report•COMMODITY CONTRACTS BROKERS & DEALERS

AUM $448M|ARCX

● 2026-08-31$57.25

BULLISH

Analysis: 2026-08-28 EOD data

1Y -7.8%YTD -2.3%7D -0.7%

Options Vol

1,926

30D

Implied Move

±2.5%

IV Rank

13%

FXY Options Overview

IV is low with bullish flow. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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FXY Gamma Walls

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Value

Is IV priced right?

8.7

ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed

IV Rank

≤35%

IV Rank 2.6% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 1.15x — IV premium over HV

Sector Relative≤50%

Sector percentile 4% — below sector median

Term Structure

<1.1x

Front/Back 0.78x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 10.0% — normal range

Spread-Adjusted Value

<80%

Effective IV 78.9% (ATM 10.0% + spread 34.4% + bias) — fair

Execution Efficiency

<3.0%

Total drag 47.56% (spread 34.44% + slippage 13.12%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 4.76 (vega 16.398 / spread 34.44%) — spread drag

Sentiment

Bullish or bearish?

6.8

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksNeutral - Strong signal (Conviction: +9%, Raw: +11%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +9% (neutral) — Raw: +11%

OI Skew Magnitude

≥15%

|OI skew| 63.8% — call-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +54.7%, OI skew +63.8% — 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: -100%, ATM: +17%, OTM: +6% — strong bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 13% — very bullish vs sector

Activity

Unusual activity?

2.1

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed

Volume Surge

≥1.5x

Volume 0.6x avg — normal

Turnover Rate

≥15%

Vol/OI 1.6% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +1.0% (5d) — stable

Sector Relative≥60%

Sector activity percentile 41% — neutral vs sector

Trade Quality

≥30%

Large trade volume 16% — mixed

Execution Urgency

≥60%

Aggressive execution 40% — patient

Flow Conviction

≥30

Conviction +9 (bullish) — mixed

Liquidity

Can I trade efficiently?

3.7

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks4/8 checks passed

Tradeable Spread

≤5.0%

Spread 34.4% — wide

Adequate OI

≥10,000

OI 122,855 — deep

Active Volume

≥500

Volume 1,926/day — adequate

Reasonable Cost

≤$0.50

$1.72 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 28% — tighter than sector

Order Book Depth

≥100 contracts

Depth 120.19999999999999 contracts (bid:59.8 ask:60.4) — adequate

Execution Quality

<1.0%

Avg slippage 13.12% — poor

Timing

Is now a good time?

7.0

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -21.8% — contango

IV Percentile Clarity

<30 or >70

IV percentile 3% — buyer opportunity

Event Detection

≥10pts kink

IV kink -1.6pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 2129.57 — 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 +9% @ 55% consistency — unclear

Smart Money Timing

≥40 composite score

Score 46 (ITM 20% + inst 16%) — moderate institutional

Directional Strategy Fit

Option Buyers

Long Calls7.8

bullishIV cheap, bullish flow

Long Puts5.8

bearishIV cheap, bullish flow

Premium Sellers

Cash-Secured Put4.6

bullishIV too cheap, bullish flow

Covered Call3.3

bearishIV too cheap, 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 FXY

FXY gamma walls FXY max pain FXY IV rank FXY options flow