Options/COF

COFCapital One Financial

Options Analysis Report•NATIONAL COMMERCIAL BANKS

Market Cap $127.1B|NYSE

● 2026-09-11$207.11

NEUTRAL

Analysis: 2026-09-10 EOD data

1Y -7.7%YTD -16.5%7D -5.7%

Options Vol

6,351

30D

Implied Move

±8.6%

IV Rank

COF Options Overview

Mixed signals. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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COF 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

IV Rank

≤35%

IV Rank 47.7% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.22x — IV premium over HV

Sector Relative≤50%

Sector percentile 72% — above sector median

Term Structure

<1.1x

Front/Back 0.98x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 32.4% — normal range

Spread-Adjusted Value

<80%

Effective IV 45.6% (ATM 32.4% + spread 6.6% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 11.41% (spread 6.58% + slippage 4.83%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 24.80 (vega 16.318 / spread 6.58%) — efficient

Sentiment

Bullish or bearish?

4.5

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBearish - Moderate signal (Conviction: -23%, Raw: -19%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -23% (bearish) — Raw: -19%

OI Skew Magnitude

≥15%

|OI skew| 6.0% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -4.2%, OI skew +6.0% — divergent (opposite)

Conviction Quality

≥2/3 conditions

0-DTE 22%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -55%, ATM: +6%, OTM: -23% — strong bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 70% — very bearish vs sector

Activity

Unusual activity?

3.6

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed

Volume Surge

≥1.5x

Volume 0.8x avg — normal

Turnover Rate

≥15%

Vol/OI 3.8% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +0.1% (5d) — stable

Sector Relative≥60%

Sector activity percentile 65% — active vs sector

Trade Quality

≥30%

Large trade volume 21% — mixed

Execution Urgency

≥60%

Aggressive execution 33% — patient

Flow Conviction

≥30

Conviction -23 (bearish) — mixed

Liquidity

Can I trade efficiently?

4.7

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 6.6% — wide

Adequate OI

≥10,000

OI 166,843 — deep

Active Volume

≥500

Volume 6,351/day — active

Reasonable Cost

≤$0.50

$0.33 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 73% — wider than sector

Order Book Depth

≥100 contracts

Depth 91.9 contracts (bid:47.3 ask:44.6) — thin

Execution Quality

<1.0%

Avg slippage 4.83% — poor

Timing

Is now a good time?

5.9

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks4/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -2.2% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 48% — neutral

Event Detection

≥10pts kink

IV kink 0.1pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 92.56 — favors income trades

Expiration Distribution

≥3 expirations

4 liquid expirations — flexible

Event Risk

≥60% (safe)

caution advised: FOMC in 5d; CPI in 0d (HIGH)

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow -23% @ 62% consistency — unclear

Smart Money Timing

≥40 composite score

Score 51 (ITM 20% + inst 21%) — moderate institutional

Directional Strategy Fit

Option Buyers

Long Calls5.4

bullishIV cheap, mixed flow

Long Puts5.7

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put4.5

bullishIV too cheap, mixed flow

Covered Call4.9

bearishIV too cheap, mixed flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Sep 7, 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.

More on COF

COF gamma walls COF option chain COF max pain COF expected move COF IV rank COF put/call ratio COF options flow