Options/NVAX

NVAXNovavax Inc

Options Analysis Report•BIOLOGICAL PRODUCTS, (NO DIAGNOSTIC SUBSTANCES)

Market Cap $1.5B|NASDAQ

● 2026-09-11$9.30

NEUTRAL

Analysis: 2026-09-10 EOD data

1Y +12.3%YTD +30.4%7D -9.0%

Options Vol

7,647

30D

Implied Move

±19.6%

IV Rank

NVAX Options Overview

Mixed signals. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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NVAX Gamma Walls

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Value

Is IV priced right?

6.9

ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed

IV Rank

≤35%

IV Rank 50.0% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.00x — IV ≤ HV

Sector Relative≤50%

Sector percentile 50% — below sector median

Term Structure

<1.1x

Front/Back 0.70x — contango

Skew Normal

<1.25x

Put/Call IV 1.00x — normal

Absolute IV

<80%

ATM IV 0.0% — normal range

Spread-Adjusted Value

<80%

Effective IV 24.0% (ATM 0.0% + spread 12.0% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 21.62% (spread 12.01% + slippage 9.61%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 0.00 (vega 0.000 / spread 12.01%) — spread drag

Sentiment

Bullish or bearish?

5.4

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bearish - Strong signal (Conviction: -32%, Raw: -30%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -32% (strong bearish) — Raw: -30%

OI Skew Magnitude

≥15%

|OI skew| 25.6% — call-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +61.1%, OI skew +25.6% — aligned

Conviction Quality

≥2/3 conditions

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

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +20%, ATM: +40%, OTM: -38% — strong bullish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 31% — bullish vs sector

Activity

Unusual activity?

3.4

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed

Volume Surge

≥1.5x

Volume 0.5x avg — normal

Turnover Rate

≥15%

Vol/OI 3.1% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -1.1% (5d) — stable

Sector Relative≥60%

Sector activity percentile 72% — active vs sector

Trade Quality

≥30%

Large trade volume 16% — mixed

Execution Urgency

≥60%

Aggressive execution 44% — patient

Flow Conviction

≥30

Conviction -32 (bearish) — moderate

Liquidity

Can I trade efficiently?

4.5

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks4/8 checks passed

Tradeable Spread

≤5.0%

Spread 12.0% — wide

Adequate OI

≥10,000

OI 242,631 — deep

Active Volume

≥500

Volume 7,647/day — active

Reasonable Cost

≤$0.50

$0.60 to cross — expensive

Strike Coverage

≥5 strikes

1 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 0% — much tighter than sector

Order Book Depth

≥100 contracts

Depth 389.1 contracts (bid:170.8 ask:218.3) — adequate

Execution Quality

<1.0%

Avg slippage 9.61% — poor

Timing

Is now a good time?

6.2

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks5/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -30.5% — contango

IV Percentile Clarity

<30 or >70

IV percentile 50% — neutral

Event Detection

≥10pts kink

IV kink -14.7pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 1.00 — favors mixed

Expiration Distribution

≥3 expirations

3 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 -32% @ 66% consistency — moderate (bearish)

Smart Money Timing

≥40 composite score

Score 46 (ITM 20% + inst 16%) — moderate institutional

Directional Strategy Fit

Option Buyers

Long Calls5.9

bullishIV cheap, mixed flow

Long Puts5.6

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put4.7

bullishIV too cheap, mixed flow

Covered Call4.4

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.

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