AInvestOption Pilot Program
Options/GBTC
G

GBTCGrayscale Bitcoin Trust ETF

Options Analysis Report•COMMODITY CONTRACTS BROKERS & DEALERS
AUM $10.1B|ARCX
● 2026-08-28$60.01
BULLISH
Analysis: 2026-08-27 EOD data
1Y -29.4%YTD -14.4%7D +0.6%
1,684
30D
±11.8%
14%

GBTC 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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GBTC Gamma Walls

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Value

Is IV priced right?

5.4
ExpensiveCheap

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

levels.

Risk Checks4/9 checks passed
≤35%

IV Rank 64.6% — elevated vs history

<1.05x

IV/HV 1.10x — IV premium over HV

Sector Relative≤50%

Sector percentile 80% — above sector median

<1.1x

Front/Back 0.94x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 42.1% — normal range

<80%

Effective IV 65.0% (ATM 42.1% + spread 11.4% + bias) — fair

<3.0%

Total drag 17.48% (spread 11.45% + slippage 6.03%) — high friction

≥5.0

Vega efficiency 3.17 (vega 3.629 / spread 11.45%) — spread drag

Sentiment

Bullish or bearish?

6.4
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Moderate signal (Conviction: -3%, Raw: -5%)
|net sentiment| ≥25%

Conviction-weighted: -3% (neutral) — Raw: -5%

≥15%

|OI skew| 61.6% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +67.9%, OI skew +61.6% — aligned

≥2/3 conditions

0-DTE 10%, far-OTM 15%, avg DTE 30

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: +1%, ATM: +3%, OTM: -11% — neutral (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 12% — very bullish vs sector

Activity

Unusual activity?

2.6
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed
≥1.5x

Volume 0.5x avg — normal

≥15%

Vol/OI 2.9% — normal turnover

≥2 days

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

≥5%

OI change +2.5% (5d) — building

Sector Relative≥60%

Sector activity percentile 54% — neutral vs sector

≥30%

Large trade volume 18% — mixed

≥60%

Aggressive execution 32% — patient

≥30

Conviction -3 (bearish) — mixed

Liquidity

Can I trade efficiently?

3.6
IlliquidLiquid

Evaluates

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

Risk Checks3/8 checks passed
≤5.0%

Spread 11.4% — wide

≥10,000

OI 57,747 — deep

≥500

Volume 1,684/day — adequate

≤$0.50

$0.57 to cross — expensive

≥5 strikes

1 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 85% — much wider than sector

≥100 contracts

Depth 492.3 contracts (bid:277.1 ask:215.2) — adequate

<1.0%

Avg slippage 6.03% — poor

Timing

Is now a good time?

7.1
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed
|slope| ≥5%

Slope -5.6% — contango

<30 or >70

IV percentile 65% — neutral

≥10pts kink

IV kink -1.4pts — no clear event

<0.5 or >2.0

θ/ν ratio 42.29 — 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 -3% @ 52% consistency — unclear

≥40 composite score

Score 48 (ITM 20% + inst 18%) — moderate institutional

Directional Strategy Fit

Option Buyers
Long Calls5.7
bullishIV fair, bullish flow
Long Puts4.8
bearishIV fair, bullish flow
Premium Sellers
Cash-Secured Put5.2
bullishIV fair, bullish flow
Covered Call4.4
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.