Options/MTUM

MTUMiShares MSCI USA Momentum Factor ETF

Options Analysis Report

AUM $24.5B|BATS

● 2026-08-28$299.71

BULLISH

Analysis: 2026-08-27 EOD data

1Y +23.0%YTD +18.6%7D -1.8%

Options Vol

13,301

30D

Implied Move

±7.3%

IV Rank

12%

MTUM Options Overview

bullish flow. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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MTUM Gamma Walls

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MTUM Hedge Radar

No action needed

Full Hedge Radar

Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where MTUM sits on protection cost vs. fragility today.

Protection is priced in the cheap band (3.22) — the move being priced is 1.79x this name's own median 22-trading-day move, and near-dated vol is priced 4% below far-dated, measured against this name's own rolling 22-trading-day realized moves (482 overlapping windows). Fragility reads resilient (3.29): it is trading 7% above its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.

Protection cost

3.22/ 10cheap

Basis: cross_sectional

Fragility

3.29/ 10resilient

Basis: per_ticker

Value

Is IV priced right?

7.0

ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed

IV Rank

≤35%

IV Rank 36.6% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.15x — IV premium over HV

Sector Relative≤50%

Sector percentile 58% — above sector median

Term Structure

<1.1x

Front/Back 0.93x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 26.8% — normal range

Spread-Adjusted Value

<80%

Effective IV 51.0% (ATM 26.8% + spread 12.1% + bias) — good value

Execution Efficiency

<3.0%

Total drag 18.93% (spread 12.09% + slippage 6.84%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 13.58 (vega 16.420 / spread 12.09%) — efficient

Sentiment

Bullish or bearish?

7.0

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBullish - Strong signal (Conviction: +13%, Raw: +12%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +13% (bullish) — Raw: +12%

OI Skew Magnitude

≥15%

|OI skew| 12.7% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +77.6%, OI skew +12.7% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 90%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +88%, ATM: +14%, OTM: -27% — strong bullish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 8% — very bullish vs sector

Activity

Unusual activity?

6.2

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks4/8 checks passed

Volume Surge

≥1.5x

Volume 1.6x avg — elevated

Turnover Rate

≥15%

Vol/OI 30.5% — high turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -53.4% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 94% — very active vs sector

Trade Quality

≥30%

Large trade volume 90% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 47% — patient

Flow Conviction

≥30

Conviction +13 (bullish) — mixed

Liquidity

Can I trade efficiently?

3.5

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks2/8 checks passed

Tradeable Spread

≤5.0%

Spread 12.1% — wide

Adequate OI

≥10,000

OI 43,660 — adequate

Active Volume

≥500

Volume 13,301/day — active

Reasonable Cost

≤$0.50

$0.60 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 68% — wider than sector

Order Book Depth

≥100 contracts

Depth 43.8 contracts (bid:20.3 ask:23.5) — thin

Execution Quality

<1.0%

Avg slippage 6.84% — poor

Timing

Is now a good time?

6.8

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -7.0% — contango

IV Percentile Clarity

<30 or >70

IV percentile 37% — neutral

Event Detection

≥10pts kink

IV kink -1.1pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 60.97 — favors income trades

Expiration Distribution

≥3 expirations

5 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 +13% @ 57% consistency — unclear

Smart Money Timing

≥40 composite score

Score 120 (ITM 20% + inst 90%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls7.0

bullishIV cheap, bullish flow

Long Puts5.1

bearishIV cheap, bullish flow

Premium Sellers

Cash-Secured Put5.1

bullishIV too cheap, bullish flow

Covered Call3.7

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.