AInvestOption Pilot Program
Options/TWM
T

TWMProShares UltraShort Russell2000

Options Analysis Report
AUM $46M|ARCX
● 2026-08-31$21.50
BULLISH
Analysis: 2026-08-28 EOD data
1Y -41.5%YTD -31.4%7D +1.8%
1,317
30D
±9.8%
7%

TWM Options Overview

bullish flow with unusual activity. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

6.1VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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TWM Gamma Walls

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Value

Is IV priced right?

7.0
ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed
≤35%

IV Rank 50.0% — elevated vs history

<1.05x

IV/HV 1.00x — IV ≤ HV

Sector Relative≤50%

Sector percentile 50% — below sector median

<1.1x

Front/Back 0.81x — contango

<1.25x

Put/Call IV 1.00x — normal

<80%

ATM IV 0.0% — normal range

<80%

Effective IV 44.6% (ATM 0.0% + spread 22.3% + bias) — excellent value

<3.0%

Total drag 32.20% (spread 22.32% + slippage 9.88%) — high friction

≥5.0

Vega efficiency 0.00 (vega 0.000 / spread 22.32%) — spread drag

Sentiment

Bullish or bearish?

6.2
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Strong signal (Conviction: -9%, Raw: -6%)
|net sentiment| ≥25%

Conviction-weighted: -9% (neutral) — Raw: -6%

≥15%

|OI skew| 26.7% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +100.0%, OI skew +26.7% — 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: +100%, ATM: -27%, OTM: +65% — strong bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 50% — neutral vs sector

Activity

Unusual activity?

7.4
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks5/8 checks passed
≥1.5x

Volume 14.8x avg — hot

≥15%

Vol/OI 71.3% — high turnover

≥2 days

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

≥5%

OI change +0.9% (5d) — stable

Sector Relative≥60%

Sector activity percentile 98% — very active vs sector

≥30%

Large trade volume 67% — heavy institutional

≥60%

Aggressive execution 92% — highly urgent

≥30

Conviction -9 (bearish) — mixed

Liquidity

Can I trade efficiently?

3.3
IlliquidLiquid

Evaluates

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

Risk Checks3/8 checks passed
≤5.0%

Spread 22.3% — wide

≥10,000

OI 1,846 — thin

≥500

Volume 1,317/day — adequate

≤$0.50

$1.12 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 0% — much tighter than sector

≥100 contracts

Depth 397.1 contracts (bid:144.2 ask:252.9) — adequate

<1.0%

Avg slippage 9.88% — poor

Timing

Is now a good time?

6.4
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks5/9 checks passed
|slope| ≥5%

Slope -19.3% — contango

<30 or >70

IV percentile 50% — neutral

≥10pts kink

IV kink -5.8pts — no clear event

<0.5 or >2.0

θ/ν ratio 1.00 — favors mixed

≥3 expirations

3 liquid expirations — flexible

≥60% (safe)

safe window: No earnings detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -9% @ 54% consistency — unclear

≥40 composite score

Score 97 (ITM 20% + inst 67%) — HIGH institutional

Directional Strategy Fit

Option Buyers
Long Calls6.9
bullishIV cheap, bullish flow
Long Puts5.2
bearishIV cheap, bullish flow
Premium Sellers
Cash-Secured Put4.7
bullishIV too cheap, bullish flow
Covered Call3.9
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.

More on TWM

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