AInvestOption Pilot Program
Options/SSO
S

SSOProShares Ultra S&P500

Options Analysis Report
AUM $8.9B|ARCX
● 2026-08-31$70.74
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +36.4%YTD +21.8%7D +1.4%
1,646
30D
±6.7%
1%

SSO Options Overview

unusual activity. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

5.4VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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SSO Gamma Walls

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Value

Is IV priced right?

7.9
ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed
≤35%

IV Rank 31.8% — cheap vs history

<1.05x

IV/HV 1.16x — IV premium over HV

Sector Relative≤50%

Sector percentile 51% — above sector median

<1.1x

Front/Back 0.73x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 24.0% — normal range

<80%

Effective IV 60.0% (ATM 24.0% + spread 18.0% + bias) — good value

<3.0%

Total drag 26.20% (spread 18.01% + slippage 8.19%) — high friction

≥5.0

Vega efficiency 4.09 (vega 7.370 / spread 18.01%) — spread drag

Sentiment

Bullish or bearish?

3.0
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksVery Bearish - Strong signal (Conviction: -42%, Raw: -36%)
|net sentiment| ≥25%

Conviction-weighted: -42% (strong bearish) — Raw: -36%

≥15%

|OI skew| 35.0% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew -21.1%, OI skew +35.0% — divergent (opposite)

≥2/3 conditions

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

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: -28%, ATM: -12%, OTM: -62% — bearish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

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

Activity

Unusual activity?

5.6
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed
≥1.5x

Volume 1.5x avg — normal

≥15%

Vol/OI 6.7% — normal turnover

≥2 days

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

≥5%

OI change +4.6% (5d) — building

Sector Relative≥60%

Sector activity percentile 76% — active vs sector

≥30%

Large trade volume 24% — mixed

≥60%

Aggressive execution 22% — patient

≥30

Conviction -42 (bearish) — moderate

Liquidity

Can I trade efficiently?

2.9
IlliquidLiquid

Evaluates

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

Risk Checks3/8 checks passed
≤5.0%

Spread 18.0% — wide

≥10,000

OI 24,413 — adequate

≥500

Volume 1,646/day — adequate

≤$0.50

$0.90 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 63% — wider than sector

≥100 contracts

Depth 213.4 contracts (bid:109.9 ask:103.5) — adequate

<1.0%

Avg slippage 8.19% — poor

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 -27.5% — contango

<30 or >70

IV percentile 32% — neutral

≥10pts kink

IV kink -4.4pts — no clear event

<0.5 or >2.0

θ/ν ratio 193.43 — 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 -42% @ 71% consistency — STRONG directional (bearish)

≥40 composite score

Score 54 (ITM 20% + inst 24%) — moderate institutional

Directional Strategy Fit

Option Buyers
Long Calls5.4
bullishIV cheap, bearish flow
Long Puts6.8
bearishIV cheap, bearish flow
Premium Sellers
Cash-Secured Put3.4
bullishIV too cheap, bearish flow
Covered Call4.8
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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