AInvestOption Pilot Program
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YBTCRoundhill Bitcoin Covered Call Strategy ETF

Options Analysis Report
AUM $140M|BATS
● 2026-08-31$17.92
BULLISH
Analysis: 2026-08-28 EOD data
1Y -60.3%YTD -38.9%7D -1.3%
12
30D
±12.5%
7%

YBTC Options Overview

bullish flow. No clear edge detected.

REWARDS

RISK ANALYSIS

4.7VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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YBTC Gamma Walls

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Value

Is IV priced right?

4.2
ExpensiveCheap

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

levels.

Risk Checks3/9 checks passed
≤35%

IV Rank 63.5% — elevated vs history

<1.05x

IV/HV 2.21x — IV premium over HV

Sector Relative≤50%

Sector percentile 79% — above sector median

<1.1x

Front/Back 1.07x — backwardation

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 39.9% — normal range

<80%

Effective IV 143.1% (ATM 39.9% + spread 51.6% + bias) — expensive

<3.0%

Total drag 55.21% (spread 51.59% + slippage 3.62%) — high friction

≥5.0

Vega efficiency 0.76 (vega 3.934 / spread 51.59%) — spread drag

Sentiment

Bullish or bearish?

7.2
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksBullish - Strong signal (Conviction: +20%, Raw: +0%)
|net sentiment| ≥25%

Conviction-weighted: +20% (bullish) — Raw: +0%

≥15%

|OI skew| 11.2% — balanced

Same sign, |vol skew| ≥10%

Vol skew +66.7%, OI skew +11.2% — 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: +100%, ATM: +0%, OTM: -100% — strong bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 10% — very bullish vs sector

Activity

Unusual activity?

3.4
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed
≥1.5x

Volume 0.5x avg — normal

≥15%

Vol/OI 2.7% — normal turnover

≥2 days

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

≥5%

OI change +100.9% (5d) — building

Sector Relative≥60%

Sector activity percentile 55% — neutral vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 0% — patient

≥30

Conviction +20 (bullish) — mixed

Liquidity

Can I trade efficiently?

2.1
IlliquidLiquid

Evaluates

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

Risk Checks0/8 checks passed
≤5.0%

Spread 51.6% — wide

≥10,000

OI 448 — thin

≥500

Volume 12/day — thin

≤$0.50

$2.58 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 84% — much wider than sector

≥100 contracts

Depth 83.0 contracts (bid:76.0 ask:7.0) — thin

<1.0%

Avg slippage 3.62% — poor

Timing

Is now a good time?

6.7
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope +7.1% — backwardation

<30 or >70

IV percentile 64% — neutral

≥10pts kink

IV kink 4.8pts — no clear event

<0.5 or >2.0

θ/ν ratio 874.24 — favors income trades

≥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 +20% @ 50% consistency — unclear

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls6.3
bullishIV fair, bullish flow
Long Puts3.8
bearishIV fair, bullish flow
Premium Sellers
Cash-Secured Put5.7
bullishIV fair, bullish flow
Covered Call4.1
bearishIV fair, 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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