AInvestOption Pilot Program
Options/NDX
N

NDX

Options Analysis Report
Market Cap: --
● 2026-08-31$29433.43
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +0.0%YTD +0.0%7D +0.0%
4,537
30D
±4.6%
0%
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NDX Options Overview

IV is low with unusual activity. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

5.7VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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NDX Gamma Walls

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Value

Is IV priced right?

8.9
ExpensiveCheap

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

levels.

Risk Checks8/9 checks passed
≤35%

IV Rank 20.9% — cheap vs history

<1.05x

IV/HV 1.00x — IV ≤ HV

Sector Relative≤50%

Sector percentile 21% — below sector median

<1.1x

Front/Back 0.77x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 19.6% — normal range

<80%

Effective IV 33.4% (ATM 19.6% + spread 6.9% + bias) — excellent value

<3.0%

Total drag 14.29% (spread 6.92% + slippage 7.37%) — high friction

≥5.0

Vega efficiency 11611.47 (vega 8035.136 / spread 6.92%) — efficient

Sentiment

Bullish or bearish?

4.4
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Weak signal (Conviction: +0%, Raw: +18%)
|net sentiment| ≥25%

Conviction-weighted: +0% (neutral) — Raw: +18%

≥15%

|OI skew| 3.7% — balanced

Same sign, |vol skew| ≥10%

Vol skew -35.6%, OI skew -3.7% — aligned

≥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: +0%, OTM: +0% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 91% — very bearish vs sector

Activity

Unusual activity?

3.5
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed
≥1.5x

Volume 0.8x avg — normal

≥15%

Vol/OI 3.2% — normal turnover

≥2 days

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

≥5%

OI change +9.9% (5d) — building

Sector Relative≥60%

Sector activity percentile 64% — active vs sector

≥30%

Large trade volume 14% — mostly retail

≥60%

Aggressive execution 19% — patient

≥30

Conviction +0 (neutral) — mixed

Liquidity

Can I trade efficiently?

4.8
IlliquidLiquid

Evaluates

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

Risk Checks3/8 checks passed
≤5.0%

Spread 6.9% — wide

≥10,000

OI 139,493 — deep

≥500

Volume 4,537/day — adequate

≤$0.50

$0.35 to cross — cheap

≥5 strikes

1 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 50% — neutral vs sector

≥100 contracts

Depth 97.6 contracts (bid:44.1 ask:53.5) — thin

<1.0%

Avg slippage 7.37% — poor

Timing

Is now a good time?

6.9
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope -23.2% — contango

<30 or >70

IV percentile 21% — buyer opportunity

≥10pts kink

IV kink -3.4pts — no clear event

<0.5 or >2.0

θ/ν ratio 1244.93 — 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 +0% @ 59% consistency — unclear

≥40 composite score

Score 44 (ITM 20% + inst 14%) — moderate institutional

Directional Strategy Fit

Option Buyers
Long Calls6.4
bullishIV cheap, mixed flow
Long Puts6.8
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put3.9
bullishIV too cheap, mixed flow
Covered Call4.3
bearishIV too cheap, mixed 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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