AInvestOption Pilot Program
Options/VB
V

VBVanguard Morningstar Small-Cap ETF

Options Analysis Report
AUM $183.4B|ARCX
● 2026-08-31$300.75
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +19.7%YTD +15.0%7D -0.7%
23
30D
±4.4%
3%

VB Options Overview

IV is low. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

5.5VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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VB Gamma Walls

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Value

Is IV priced right?

8.6
ExpensiveCheap

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

levels.

Risk Checks7/9 checks passed
≤35%

IV Rank 13.7% — cheap vs history

<1.05x

IV/HV 1.18x — IV premium over HV

Sector Relative≤50%

Sector percentile 25% — below sector median

<1.1x

Front/Back 0.85x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 16.8% — normal range

<80%

Effective IV 24.1% (ATM 16.8% + spread 3.6% + bias) — excellent value

<3.0%

Total drag 8.81% (spread 3.64% + slippage 5.17%) — high friction

≥5.0

Vega efficiency 171.94 (vega 62.587 / spread 3.64%) — efficient

Sentiment

Bullish or bearish?

4.8
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksBullish - Moderate signal (Conviction: +10%, Raw: +5%)
|net sentiment| ≥25%

Conviction-weighted: +10% (bullish) — Raw: +5%

≥15%

|OI skew| 34.0% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew -21.7%, OI skew +34.0% — 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: -100% — strong bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 91% — very bearish vs sector

Activity

Unusual activity?

2.1
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed
≥1.5x

Volume 0.2x avg — normal

≥15%

Vol/OI 1.2% — normal turnover

≥2 days

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

≥5%

OI change +4.1% (5d) — building

Sector Relative≥60%

Sector activity percentile 34% — below sector avg

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 15% — patient

≥30

Conviction +10 (bullish) — mixed

Liquidity

Can I trade efficiently?

5.2
IlliquidLiquid

Evaluates

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

Risk Checks3/8 checks passed
≤5.0%

Spread 3.6% — acceptable

≥10,000

OI 1,934 — thin

≥500

Volume 23/day — thin

≤$0.50

$0.18 to cross — cheap

≥5 strikes

2 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 43% — neutral vs sector

≥100 contracts

Depth 234.29999999999998 contracts (bid:158.2 ask:76.1) — adequate

<1.0%

Avg slippage 5.17% — poor

Timing

Is now a good time?

6.7
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed
|slope| ≥5%

Slope -14.5% — contango

<30 or >70

IV percentile 14% — buyer opportunity

≥10pts kink

IV kink -1.6pts — no clear event

<0.5 or >2.0

θ/ν ratio 973.37 — 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 +10% @ 56% consistency — unclear

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls6.5
bullishIV cheap, mixed flow
Long Puts6.7
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put4.1
bullishIV too cheap, mixed flow
Covered Call4.3
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 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.

More on VB

VB gamma wallsVB max painVB IV rankVB options flow