Options/ROST

ROSTRoss Stores Inc

Options Analysis Report•RETAIL-FAMILY CLOTHING STORES

Market Cap $73.7B|NASDAQ

● 2026-08-28$229.87

NEUTRAL

Analysis: 2026-08-27 EOD data

1Y +54.2%YTD +25.8%7D -3.8%

Options Vol

2,898

30D

Implied Move

±6.9%

IV Rank

ROST Options Overview

Mixed signals. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

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ROST Gamma Walls

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ROST Hedge Radar

Hedge window open

Full Hedge Radar

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

Protection is priced in the cheap band (1.64) — downside puts carry 0.4 IV points LESS than at-the-money, and near-dated vol is priced 10% below far-dated, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads fragile (6.42): it is trading 9% below its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

1.64/ 10cheap

Basis: cross_sectional

Fragility

6.42/ 10fragile

Basis: per_ticker

Value

Is IV priced right?

8.6

ExpensiveCheap

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

levels.

Risk Checks8/9 checks passed

IV Rank

≤35%

IV Rank 32.3% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 0.97x — IV ≤ HV

Sector Relative≤50%

Sector percentile 19% — below sector median

Term Structure

<1.1x

Front/Back 0.90x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 27.2% — normal range

Spread-Adjusted Value

<80%

Effective IV 43.5% (ATM 27.2% + spread 8.2% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 13.03% (spread 8.16% + slippage 4.87%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 16.11 (vega 13.148 / spread 8.16%) — efficient

Sentiment

Bullish or bearish?

5.0

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBearish - Moderate signal (Conviction: -17%, Raw: -14%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -17% (bearish) — Raw: -14%

OI Skew Magnitude

≥15%

|OI skew| 32.2% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +40.3%, OI skew -32.2% — divergent (opposite)

Conviction Quality

≥2/3 conditions

0-DTE 18%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -56%, ATM: -6%, OTM: -10% — strong bearish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 16% — very bullish vs sector

Activity

Unusual activity?

2.7

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed

Volume Surge

≥1.5x

Volume 0.3x avg — normal

Turnover Rate

≥15%

Vol/OI 4.5% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -21.7% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 54% — neutral vs sector

Trade Quality

≥30%

Large trade volume 0% — mostly retail

Execution Urgency

≥60%

Aggressive execution 33% — patient

Flow Conviction

≥30

Conviction -17 (bearish) — mixed

Liquidity

Can I trade efficiently?

4.6

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks4/8 checks passed

Tradeable Spread

≤5.0%

Spread 8.2% — wide

Adequate OI

≥10,000

OI 64,398 — deep

Active Volume

≥500

Volume 2,898/day — adequate

Reasonable Cost

≤$0.50

$0.41 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 22% — tighter than sector

Order Book Depth

≥100 contracts

Depth 74.0 contracts (bid:41.1 ask:32.9) — thin

Execution Quality

<1.0%

Avg slippage 4.87% — poor

Timing

Is now a good time?

6.7

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks5/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -10.2% — contango

IV Percentile Clarity

<30 or >70

IV percentile 32% — neutral

Event Detection

≥10pts kink

IV kink -0.3pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 59.28 — favors income trades

Expiration Distribution

≥3 expirations

5 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No events detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow -17% @ 59% consistency — unclear

Smart Money Timing

≥40 composite score

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

Directional Strategy Fit

Option Buyers

Long Calls6.5

bullishIV cheap, mixed flow

Long Puts6.5

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put4.1

bullishIV too cheap, mixed flow

Covered Call4.1

bearishIV too cheap, mixed flow

For educational purposes only. Not investment advice.