ZSZscaler, Inc. Common Stock
Options Analysis Report•SERVICES-COMPUTER PROGRAMMING SERVICES
Market Cap $20.9B|NASDAQ
● 2026-06-09$129.25
NEUTRAL
Analysis: 2026-06-08 EOD data
1Y -56.9%YTD -41.4%7D -10.3%
Options Vol
19,199
30D
Implied Move
±17.6%
IV Rank
52%
ZS Options Overview
IV is elevated with unusual activity. Conditions favor premium sellers.
REWARDS
RISK ANALYSIS
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Value
Is IV priced right?
6.4
ExpensiveCheap
Measures whether options are cheap, fair, or rich relative to historical and peer
IV
levels.Risk Checks7/9 checks passed
IV Rank
≤35%IV Rank 79.6% — elevated vs history
IV/HV Ratio
<1.05xIV/HV 0.40x — IV ≤ HV
Sector Relative≤50%
Sector percentile 45% — below sector median
Term Structure
<1.1xFront/Back 1.01x — flat
Skew Normal
<1.25xPut/Call IV 1.16x — elevated
Absolute IV
<80%ATM IV 63.8% — normal range
Spread-Adjusted Value
<80%Effective IV 79.3% (ATM 63.8% + spread 7.7% + bias) — fair
Execution Efficiency
<3.0%Total drag 12.87% (spread 7.73% + slippage 5.14%) — high friction
Vega Efficiency
≥5.0Vega efficiency 6.91 (vega 5.339 / spread 7.73%) — acceptable
Sentiment
Bullish or bearish?
6.0
BearishBullish
Analyzes
put/call ratios
, open interest skew
, and flow direction to determine market bias.Risk ChecksNeutral - Strong signal (Conviction: -8%, Raw: -6%)
Flow Direction
|net sentiment| ≥25%Conviction-weighted: -8% (neutral) — Raw: -6%
OI Skew Magnitude
≥15%|OI skew| 13.7% — balanced
Volume-OI Alignment
Same sign, |vol skew| ≥10%Vol skew +23.5%, OI skew +13.7% — aligned
Conviction Quality
≥2/3 conditions0-DTE 0%, far-OTM 15%, avg DTE 30
OI Momentum
|change| ≥3%OI change +0.0% (5d) — stable
Smart Money Flow
|weighted flow| ≥20%ITM: -2%, ATM: -28%, OTM: -1% — bearish (ITM/ATM aligned)
Sector Relative≤40% or ≥60%
Sector P/C percentile 66% — bearish vs sector
Activity
Unusual activity?
3.0
QuietActive
Detects volume surges,
block trades
, and unusual options activity that may signal moves.Risk Checks1/9 checks passed
Volume Surge
≥1.5xVolume 0.4x avg — normal
Turnover Rate
≥15%Vol/OI 6.7% — normal turnover
Strike Concentration
≥60%Top 3 strikes = 50% — dispersed
Multi-Day Persistence
≥2 days1 day(s) elevated — may be one-day event
OI Build
≥5%OI change -2.6% (5d) — unwinding
Sector Relative≥60%
Sector activity percentile 78% — active vs sector
Trade Quality
≥30%Large trade volume 13% — mostly retail
Execution Urgency
≥60%Aggressive execution 37% — patient
Flow Conviction
≥30Conviction -8 (bearish) — mixed
Liquidity
Can I trade efficiently?
4.6
IlliquidLiquid
Evaluates
bid-ask spreads
, volume depth, and open interest for trade execution quality.Risk Checks4/8 checks passed
Tradeable Spread
≤5.0%Spread 7.7% — wide
Adequate OI
≥10,000OI 287,815 — deep
Active Volume
≥500Volume 19,199/day — active
Reasonable Cost
≤$0.50$0.39 to cross — cheap
Strike Coverage
≥5 strikes0 liquid strikes — limited options
Sector Relative≤40%
Sector spread percentile 68% — wider than sector
Order Book Depth
≥100 contractsDepth 136.4 contracts (bid:67.2 ask:69.2) — adequate
Execution Quality
<1.0%Avg slippage 5.14% — poor
Timing
Is now a good time?
6.4
RiskyFavorable
Considers earnings proximity,
time decay
, and event calendar for optimal entry timing.Risk Checks5/9 checks passed
Term Structure Clarity
|slope| ≥5%Slope +1.5% — flat/unclear
IV Percentile Clarity
<30 or >70IV percentile 80% — seller opportunity
Event Detection
≥10pts kinkIV kink 6.0pts — no clear event
Theta/Vega Clarity
<0.5 or >2.0θ/ν ratio 11.62 — favors income trades
Expiration Distribution
≥3 expirations5 liquid expirations — flexible
Event Risk
≥60% (safe)caution advised: No earnings detected; CPI in 1d (HIGH)
Spread Momentum
<1.2 ratioSpread ratio 1.00x — stable
Flow Momentum
≥25% strength + ≥50% consistencyFlow -8% @ 54% consistency — unclear
Smart Money Timing
≥40 composite scoreScore 43 (ITM 20% + inst 13%) — moderate institutional
Directional Strategy Fit
Option Buyers
Long Calls6.0
bullishIV cheap, mixed flow
Long Puts5.3
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put5.0
bullishIV too cheap, mixed flow
Covered Call4.4
bearishIV too cheap, mixed flow
For educational purposes only. Not investment advice.