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Options/TBT
T

TBTProShares Trust UltraShort Lehman 20+ Year Treasury

Options Analysis Report
AUM $297M|ARCX
● 2026-08-31$37.77
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +2.2%YTD +8.2%7D -0.7%
809
30D
±5.8%
28%

TBT Options Overview

IV is low. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

5.3VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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TBT Gamma Walls

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Value

Is IV priced right?

7.1
ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed
≤35%

IV Rank 28.4% — cheap vs history

<1.05x

IV/HV 1.01x — IV ≤ HV

Sector Relative≤50%

Sector percentile 47% — below sector median

<1.1x

Front/Back 0.88x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 22.5% — normal range

<80%

Effective IV 81.8% (ATM 22.5% + spread 29.6% + bias) — expensive

<3.0%

Total drag 40.19% (spread 29.64% + slippage 10.55%) — high friction

≥5.0

Vega efficiency 3.67 (vega 10.889 / spread 29.64%) — spread drag

Sentiment

Bullish or bearish?

6.3
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Strong signal (Conviction: -0%, Raw: -2%)
|net sentiment| ≥25%

Conviction-weighted: -0% (neutral) — Raw: -2%

≥15%

|OI skew| 35.2% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +26.6%, OI skew +35.2% — 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: +33%, ATM: +23%, OTM: -28% — strong bullish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 21% — very bullish vs sector

Activity

Unusual activity?

3.5
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed
≥1.5x

Volume 0.7x avg — normal

≥15%

Vol/OI 2.9% — normal turnover

≥2 days

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

≥5%

OI change +3.8% (5d) — building

Sector Relative≥60%

Sector activity percentile 57% — neutral vs sector

≥30%

Large trade volume 25% — mixed

≥60%

Aggressive execution 31% — patient

≥30

Conviction -0 (bearish) — mixed

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 29.6% — wide

≥10,000

OI 27,411 — adequate

≥500

Volume 809/day — adequate

≤$0.50

$1.48 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 60% — neutral vs sector

≥100 contracts

Depth 496.1 contracts (bid:226.9 ask:269.2) — adequate

<1.0%

Avg slippage 10.55% — poor

Timing

Is now a good time?

6.7
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope -12.2% — contango

<30 or >70

IV percentile 28% — buyer opportunity

≥10pts kink

IV kink -2.1pts — no clear event

<0.5 or >2.0

θ/ν ratio 2268.50 — 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 55 (ITM 20% + inst 25%) — moderate institutional

Directional Strategy Fit

Option Buyers
Long Calls6.1
bullishIV cheap, bullish flow
Long Puts5.2
bearishIV cheap, bullish flow
Premium Sellers
Cash-Secured Put4.7
bullishIV too cheap, bullish flow
Covered Call3.7
bearishIV too cheap, bullish 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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