Options/SMST

SMSTTidal Trust II Defiance Daily Target 2x Short MSTR ETF

Options Analysis Report

AUM $19M|NASDAQ

● 2026-08-28$26.30

NEUTRAL

Analysis: 2026-08-27 EOD data

1Y -5.0%YTD -69.5%7D -18.3%

Options Vol

105

30D

Implied Move

±43.9%

IV Rank

15%

SMST Options Overview

IV is elevated with unusual activity. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

Learn

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SMST Gamma Walls

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Value

Is IV priced right?

3.6

ExpensiveCheap

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

levels.

Risk Checks3/9 checks passed

IV Rank

≤35%

IV Rank 98.4% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 0.85x — IV ≤ HV

Sector Relative≤50%

Sector percentile 99% — above sector median

Term Structure

<1.1x

Front/Back 1.06x — backwardation

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 146.8% — crisis-level IV

Spread-Adjusted Value

<80%

Effective IV 214.2% (ATM 146.8% + spread 33.7% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 47.80% (spread 33.71% + slippage 14.09%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 0.97 (vega 3.267 / spread 33.71%) — spread drag

Sentiment

Bullish or bearish?

5.1

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bearish - Strong signal (Conviction: -37%, Raw: -17%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -37% (strong bearish) — Raw: -17%

OI Skew Magnitude

≥15%

|OI skew| 21.5% — call-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +25.7%, OI skew +21.5% — 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: -62%, ATM: +40%, OTM: +2% — bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 23% — very bullish vs sector

Activity

Unusual activity?

5.5

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks4/8 checks passed

Volume Surge

≥1.5x

Volume 1.7x avg — elevated

Turnover Rate

≥15%

Vol/OI 6.6% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +15.5% (5d) — building

Sector Relative≥60%

Sector activity percentile 75% — active vs sector

Trade Quality

≥30%

Large trade volume 0% — mostly retail

Execution Urgency

≥60%

Aggressive execution 28% — patient

Flow Conviction

≥30

Conviction -37 (bearish) — moderate

Liquidity

Can I trade efficiently?

2.5

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks1/8 checks passed

Tradeable Spread

≤5.0%

Spread 33.7% — wide

Adequate OI

≥10,000

OI 1,597 — thin

Active Volume

≥500

Volume 105/day — thin

Reasonable Cost

≤$0.50

$1.69 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 99% — much wider than sector

Order Book Depth

≥100 contracts

Depth 146.0 contracts (bid:76.1 ask:69.9) — adequate

Execution Quality

<1.0%

Avg slippage 14.09% — poor

Timing

Is now a good time?

8.3

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +5.7% — backwardation

IV Percentile Clarity

<30 or >70

IV percentile 98% — seller opportunity

Event Detection

≥10pts kink

IV kink 9.8pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 69.97 — 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 -37% @ 68% consistency — moderate (bearish)

Smart Money Timing

≥40 composite score

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

Directional Strategy Fit

Option Buyers

Long Calls4.7

bullishIV expensive, mixed flow

Long Puts4.6

bearishIV expensive, mixed flow

Premium Sellers

Cash-Secured Put5.4

bullishIV rich premium, mixed flow

Covered Call5.4

bearishIV rich premium, 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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