AInvestOption Pilot Program
Options/BLV
B

BLVVanguard Long-Term Bond ETF

Options Analysis Report
AUM $8.3B|ARCX
● 2026-08-31$66.41
BEARISH
Analysis: 2026-08-28 EOD data
1Y -2.7%YTD -4.3%7D +0.3%
4
30D
±3.2%
3%

BLV Options Overview

IV is low with bearish flow. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

4.8VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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BLV Gamma Walls

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Value

Is IV priced right?

8.4
ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed
≤35%

IV Rank 2.2% — cheap vs history

<1.05x

IV/HV 0.93x — IV ≤ HV

Sector Relative≤50%

Sector percentile 4% — below sector median

<1.1x

Front/Back 1.28x — backwardation

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 8.7% — normal range

<80%

Effective IV 62.8% (ATM 8.7% + spread 27.0% + bias) — good value

<3.0%

Total drag 27.33% (spread 27.03% + slippage 0.30%) — high friction

≥5.0

Vega efficiency 3.54 (vega 9.572 / spread 27.03%) — spread drag

Sentiment

Bullish or bearish?

2.0
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksVery Bearish - Strong signal (Conviction: -100%, Raw: -100%)
|net sentiment| ≥25%

Conviction-weighted: -100% (strong bearish) — Raw: -100%

≥15%

|OI skew| 52.2% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew -100.0%, OI skew +52.2% — divergent (opposite)

≥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: -100%, OTM: +0% — strong bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 27% — very bullish vs sector

Activity

Unusual activity?

2.9
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed
≥1.5x

Volume 0.1x avg — normal

≥15%

Vol/OI 0.6% — normal turnover

≥2 days

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

≥5%

OI change +6.8% (5d) — building

Sector Relative≥60%

Sector activity percentile 20% — below sector avg

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 0% — patient

≥30

Conviction -100 (bearish) — strong conviction

Liquidity

Can I trade efficiently?

3.2
IlliquidLiquid

Evaluates

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

Risk Checks3/8 checks passed
≤5.0%

Spread 27.0% — wide

≥10,000

OI 694 — thin

≥500

Volume 4/day — thin

≤$0.50

$1.35 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 27% — tighter than sector

≥100 contracts

Depth 100.5 contracts (bid:55.0 ask:45.5) — adequate

<1.0%

Avg slippage 0.30% — excellent

Timing

Is now a good time?

7.2
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed
|slope| ≥5%

Slope +27.9% — backwardation

<30 or >70

IV percentile 2% — buyer opportunity

≥10pts kink

IV kink 2.8pts — no clear event

<0.5 or >2.0

θ/ν ratio 1876.86 — 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 -100% @ 100% consistency — STRONG directional (bearish)

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls5.2
bullishIV cheap, bearish flow
Long Puts8.2
bearishIV cheap, bearish flow
Premium Sellers
Cash-Secured Put2.9
bullishIV too cheap, bearish flow
Covered Call5.0
bearishIV too cheap, bearish 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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