AInvestOption Pilot Program
Options/IEI
I

IEIiShares 3-7 Year Treasury Bond ETF

Options Analysis Report
AUM $17.7B|NASDAQ
● 2026-08-31$116.19
BEARISH
Analysis: 2026-08-28 EOD data
1Y -2.5%YTD -2.6%7D -0.3%
154
30D
±1.9%
3%

IEI Options Overview

IV is low. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

5.0VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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IEI Gamma Walls

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Value

Is IV priced right?

7.8
ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed
≤35%

IV Rank 0.4% — cheap vs history

<1.05x

IV/HV 1.51x — IV premium over HV

Sector Relative≤50%

Sector percentile 0% — below sector median

<1.1x

Front/Back 1.63x — backwardation

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 4.7% — normal range

<80%

Effective IV 44.4% (ATM 4.7% + spread 19.8% + bias) — excellent value

<3.0%

Total drag 28.66% (spread 19.83% + slippage 8.83%) — high friction

≥5.0

Vega efficiency 5.07 (vega 10.057 / spread 19.83%) — acceptable

Sentiment

Bullish or bearish?

2.3
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksVery Bearish - Strong signal (Conviction: -94%, Raw: -92%)
|net sentiment| ≥25%

Conviction-weighted: -94% (strong bearish) — Raw: -92%

≥15%

|OI skew| 60.7% — put-heavy

Same sign, |vol skew| ≥10%

Vol skew +97.4%, OI skew -60.7% — divergent (opposite)

≥2/3 conditions

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

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: +0%, ATM: -92%, OTM: -100% — strong bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 1% — very bullish vs sector

Activity

Unusual activity?

4.5
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed
≥1.5x

Volume 2.8x avg — hot

≥15%

Vol/OI 0.4% — normal turnover

≥2 days

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

≥5%

OI change +0.3% (5d) — stable

Sector Relative≥60%

Sector activity percentile 17% — quiet vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 50% — patient

≥30

Conviction -94 (bearish) — strong conviction

Liquidity

Can I trade efficiently?

3.4
IlliquidLiquid

Evaluates

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

Risk Checks3/8 checks passed
≤5.0%

Spread 19.8% — wide

≥10,000

OI 34,007 — adequate

≥500

Volume 154/day — thin

≤$0.50

$0.99 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 25% — tighter than sector

≥100 contracts

Depth 228.4 contracts (bid:92.1 ask:136.3) — adequate

<1.0%

Avg slippage 8.83% — poor

Timing

Is now a good time?

7.2
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope +63.4% — backwardation

<30 or >70

IV percentile 0% — buyer opportunity

≥10pts kink

IV kink 1.7pts — no clear event

<0.5 or >2.0

θ/ν ratio 258.53 — favors income trades

≥3 expirations

3 liquid expirations — flexible

≥60% (safe)

safe window: No earnings detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -94% @ 98% consistency — STRONG directional (bearish)

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls5.1
bullishIV cheap, bearish flow
Long Puts7.9
bearishIV cheap, bearish flow
Premium Sellers
Cash-Secured Put3.2
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.

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