Options/MDY

MDYState Street SPDR S&P MIDCAP 400 ETF Trust

Options Analysis Report

AUM $26.4B|ARCX

● 2026-08-31$690.55

NEUTRAL

Analysis: 2026-08-28 EOD data

1Y +16.5%YTD +13.0%7D -0.6%

Options Vol

561

30D

Implied Move

±4.1%

IV Rank

MDY Options Overview

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

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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MDY Gamma Walls

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Value

Is IV priced right?

8.5

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 13.4% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 1.25x — IV premium over HV

Sector Relative≤50%

Sector percentile 24% — below sector median

Term Structure

<1.1x

Front/Back 0.85x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 16.6% — normal range

Spread-Adjusted Value

<80%

Effective IV 61.7% (ATM 16.6% + spread 22.6% + bias) — good value

Execution Efficiency

<3.0%

Total drag 43.01% (spread 22.57% + slippage 20.44%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 75.03 (vega 169.341 / spread 22.57%) — efficient

Sentiment

Bullish or bearish?

6.1

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bullish - Strong signal (Conviction: +74%, Raw: +80%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +74% (strong bullish) — Raw: +80%

OI Skew Magnitude

≥15%

|OI skew| 61.8% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -95.4%, OI skew -61.8% — 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: +0%, ATM: -78%, OTM: +93% — strong bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 99% — very bearish vs sector

Activity

Unusual activity?

3.9

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks3/8 checks passed

Volume Surge

≥1.5x

Volume 0.7x avg — normal

Turnover Rate

≥15%

Vol/OI 0.9% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +0.3% (5d) — stable

Sector Relative≥60%

Sector activity percentile 28% — below sector avg

Trade Quality

≥30%

Large trade volume 83% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 60% — urgent

Flow Conviction

≥30

Conviction +74 (bullish) — strong conviction

Liquidity

Can I trade efficiently?

3.2

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks2/8 checks passed

Tradeable Spread

≤5.0%

Spread 22.6% — wide

Adequate OI

≥10,000

OI 63,622 — deep

Active Volume

≥500

Volume 561/day — adequate

Reasonable Cost

≤$0.50

$1.13 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 42% — neutral vs sector

Order Book Depth

≥100 contracts

Depth 27.2 contracts (bid:18.7 ask:8.5) — thin

Execution Quality

<1.0%

Avg slippage 20.44% — poor

Timing

Is now a good time?

7.7

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks8/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -15.3% — contango

IV Percentile Clarity

<30 or >70

IV percentile 13% — buyer opportunity

Event Detection

≥10pts kink

IV kink -1.5pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 1404.15 — 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 +74% @ 87% consistency — STRONG directional (bullish)

Smart Money Timing

≥40 composite score

Score 113 (ITM 20% + inst 83%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls6.7

bullishIV cheap, bullish flow

Long Puts6.0

bearishIV cheap, bullish flow

Premium Sellers

Cash-Secured Put4.4

bullishIV too cheap, bullish flow

Covered Call3.6

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.

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