Options/ZS

ZSZscaler, Inc. Common Stock

Options Analysis Report•SERVICES-COMPUTER PROGRAMMING SERVICES

Market Cap $29.8B|NASDAQ

● 2026-08-28$184.23

NEUTRAL

Analysis: 2026-08-27 EOD data

1Y -33.5%YTD -16.5%7D +1.4%

Options Vol

27,599

30D

Implied Move

±24.2%

IV Rank

53%

ZS Options Overview

IV is elevated. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

Learn

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ZS Gamma Walls

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Value

Is IV priced right?

3.5

ExpensiveCheap

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

levels.

Risk Checks3/9 checks passed

IV Rank

≤35%

IV Rank 88.2% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.24x — IV premium over HV

Sector Relative≤50%

Sector percentile 73% — above sector median

Term Structure

<1.1x

Front/Back 1.87x — backwardation

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 72.6% — normal range

Spread-Adjusted Value

<80%

Effective IV 91.4% (ATM 72.6% + spread 9.4% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 18.18% (spread 9.39% + slippage 8.79%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 19.24 (vega 18.069 / spread 9.39%) — efficient

Sentiment

Bullish or bearish?

6.4

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksNeutral - Weak signal (Conviction: +0%, Raw: +1%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +0% (neutral) — Raw: +1%

OI Skew Magnitude

≥15%

|OI skew| 8.2% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +31.3%, OI skew +8.2% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 36%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -4%, ATM: +14%, OTM: -2% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 56% — bearish vs sector

Activity

Unusual activity?

4.9

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed

Volume Surge

≥1.5x

Volume 1.7x avg — elevated

Turnover Rate

≥15%

Vol/OI 13.4% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -12.8% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 89% — very active vs sector

Trade Quality

≥30%

Large trade volume 9% — mostly retail

Execution Urgency

≥60%

Aggressive execution 26% — patient

Flow Conviction

≥30

Conviction +0 (bullish) — mixed

Liquidity

Can I trade efficiently?

4.4

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 9.4% — wide

Adequate OI

≥10,000

OI 206,514 — deep

Active Volume

≥500

Volume 27,599/day — active

Reasonable Cost

≤$0.50

$0.47 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 84% — much wider than sector

Order Book Depth

≥100 contracts

Depth 94.5 contracts (bid:41.8 ask:52.7) — thin

Execution Quality

<1.0%

Avg slippage 8.79% — poor

Timing

Is now a good time?

7.6

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +87.2% — backwardation

IV Percentile Clarity

<30 or >70

IV percentile 88% — seller opportunity

Event Detection

≥10pts kink

IV kink 47.4pts — event priced

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 52.71 — favors income trades

Expiration Distribution

≥3 expirations

5 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No earnings detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +0% @ 50% consistency — unclear

Smart Money Timing

≥40 composite score

Score 39 (ITM 20% + inst 9%) — retail dominated

Directional Strategy Fit

Option Buyers

Long Calls5.3

bullishIV expensive, bullish flow

Long Puts4.3

bearishIV expensive, bullish flow

Premium Sellers

Cash-Secured Put6.2

bullishIV rich premium, bullish flow

Covered Call5.2

bearishIV rich premium, bullish flow

For educational purposes only. Not investment advice.

Earnings · week of Aug 31

Options price a ±13.1% move into ZS's Sep 3 earnings

ZS reports on Thursday, September 3 after the close. The at-the-money straddle covering that report prices a ±13.1% move — roughly $160.10 to $208.36 from $184.23. ZS has averaged ±9.0% on its last 7 earnings reactions (biggest: 19%), so this print is priced at 1.5× its own history.

1.5× RICHimplied ±13.1%history ±9.0%Sep 4 expiry

See the implied move for every US stock reporting the week of Aug 31

Implied move = the live at-the-money straddle for the expiry covering the report (Sep 4); it shifts intraday. Historical move = the average of ZS’s own 1-day earnings reactions over its last reported quarters — a reference, not a forecast.