AInvestOption Pilot Program
Options/ZROZ
Z

ZROZPIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund

Options Analysis Report
AUM $1.3B|ARCX
● 2026-08-31$59.28
BULLISH
Analysis: 2026-08-28 EOD data
1Y -5.7%YTD -7.3%7D +0.9%
113
30D
±6.2%
24%

ZROZ Options Overview

IV is low. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

5.0VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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ZROZ Gamma Walls

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Value

Is IV priced right?

6.3
ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed
≤35%

IV Rank 15.8% — cheap vs history

<1.05x

IV/HV 0.90x — IV ≤ HV

Sector Relative≤50%

Sector percentile 28% — below sector median

<1.1x

Front/Back 1.25x — backwardation

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 17.6% — normal range

<80%

Effective IV 131.5% (ATM 17.6% + spread 57.0% + bias) — expensive

<3.0%

Total drag 64.16% (spread 56.97% + slippage 7.19%) — high friction

≥5.0

Vega efficiency 2.29 (vega 13.062 / spread 56.97%) — spread drag

Sentiment

Bullish or bearish?

6.4
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Moderate signal (Conviction: +7%, Raw: +16%)
|net sentiment| ≥25%

Conviction-weighted: +7% (neutral) — Raw: +16%

≥15%

|OI skew| 13.6% — balanced

Same sign, |vol skew| ≥10%

Vol skew +22.1%, OI skew +13.6% — 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: -6%, OTM: +45% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 22% — very bullish vs sector

Activity

Unusual activity?

2.4
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed
≥1.5x

Volume 0.3x avg — normal

≥15%

Vol/OI 1.3% — normal turnover

≥2 days

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

≥5%

OI change +14.7% (5d) — building

Sector Relative≥60%

Sector activity percentile 37% — below sector avg

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 33% — patient

≥30

Conviction +7 (bullish) — mixed

Liquidity

Can I trade efficiently?

3.0
IlliquidLiquid

Evaluates

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

Risk Checks1/8 checks passed
≤5.0%

Spread 57.0% — wide

≥10,000

OI 8,652 — thin

≥500

Volume 113/day — thin

≤$0.50

$2.85 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 46% — neutral vs sector

≥100 contracts

Depth 119.10000000000001 contracts (bid:70.9 ask:48.2) — adequate

<1.0%

Avg slippage 7.19% — poor

Timing

Is now a good time?

6.7
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed
|slope| ≥5%

Slope +24.7% — backwardation

<30 or >70

IV percentile 16% — buyer opportunity

≥10pts kink

IV kink 4.1pts — no clear event

<0.5 or >2.0

θ/ν ratio 989.51 — 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 +7% @ 53% consistency — unclear

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls6.8
bullishIV cheap, bullish flow
Long Puts4.9
bearishIV cheap, bullish flow
Premium Sellers
Cash-Secured Put5.0
bullishIV too cheap, bullish flow
Covered Call4.0
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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