AInvestOption Pilot Program
Options/SPX
S

SPX

Options Analysis Report
Market Cap: --
● 2026-08-31$7711.76
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +0.0%YTD +0.0%7D +0.0%
442,675
30D
±3.2%
59%
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SPX Options Overview

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

REWARDS

RISK ANALYSIS

6.5VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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SPX 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 Checks9/9 checks passed
≤35%

IV Rank 8.2% — cheap vs history

<1.05x

IV/HV 1.00x — IV ≤ HV

Sector Relative≤50%

Sector percentile 8% — below sector median

<1.1x

Front/Back 0.72x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 14.4% — normal range

<80%

Effective IV 15.7% (ATM 14.4% + spread 0.7% + bias) — excellent value

<3.0%

Total drag 1.30% (spread 0.66% + slippage 0.64%) — minimal drag

≥5.0

Vega efficiency 21903.72 (vega 1445.646 / spread 0.66%) — efficient

Sentiment

Bullish or bearish?

3.5
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Moderate signal (Conviction: +0%, Raw: -1%)
|net sentiment| ≥25%

Conviction-weighted: +0% (neutral) — Raw: -1%

≥15%

|OI skew| 16.6% — put-heavy

Same sign, |vol skew| ≥10%

Vol skew -19.6%, OI skew -16.6% — 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 87% — very bearish vs sector

Activity

Unusual activity?

3.5
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed
≥1.5x

Volume 0.8x avg — normal

≥15%

Vol/OI 2.5% — normal turnover

≥2 days

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

≥5%

OI change +2.2% (5d) — building

Sector Relative≥60%

Sector activity percentile 57% — neutral vs sector

≥30%

Large trade volume 54% — heavy institutional

≥60%

Aggressive execution 16% — patient

≥30

Conviction +0 (neutral) — mixed

Liquidity

Can I trade efficiently?

9.2
IlliquidLiquid

Evaluates

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

Risk Checks7/8 checks passed
≤5.0%

Spread 0.7% — tight

≥10,000

OI 17,575,444 — deep

≥500

Volume 442,675/day — active

≤$0.50

$0.03 to cross — cheap

≥5 strikes

191 liquid strikes — good coverage

Sector Relative≤40%

Sector spread percentile 41% — neutral vs sector

≥100 contracts

Depth 727.6 contracts (bid:368.3 ask:359.3) — deep

<1.0%

Avg slippage 0.64% — good

Timing

Is now a good time?

7.5
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope -28.2% — contango

<30 or >70

IV percentile 8% — buyer opportunity

≥10pts kink

IV kink -2.8pts — no clear event

<0.5 or >2.0

θ/ν ratio 901.78 — 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% @ 50% consistency — unclear

≥40 composite score

Score 84 (ITM 20% + inst 54%) — HIGH institutional

Directional Strategy Fit

Option Buyers
Long Calls6.8
bullishIV cheap, bearish flow
Long Puts7.9
bearishIV cheap, bearish flow
Premium Sellers
Cash-Secured Put4.5
bullishIV too cheap, bearish flow
Covered Call5.6
bearishIV too cheap, bearish 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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