AInvestOption Pilot Program
Options/VBK
V

VBKVanguard Morningstar Small-Cap Growth ETF

Options Analysis Report
AUM $43.8B|ARCX
● 2026-08-31$351.84
VERY BULLISH
Analysis: 2026-08-28 EOD data
1Y +20.7%YTD +14.6%7D -0.8%
85
30D
±4.8%
3%

VBK Options Overview

IV is low with bullish flow and unusual activity. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

6.3VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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VBK 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 Checks8/9 checks passed
≤35%

IV Rank 20.5% — cheap vs history

<1.05x

IV/HV 0.98x — IV ≤ HV

Sector Relative≤50%

Sector percentile 36% — below sector median

<1.1x

Front/Back 0.80x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 19.4% — normal range

<80%

Effective IV 32.6% (ATM 19.4% + spread 6.6% + bias) — excellent value

<3.0%

Total drag 9.51% (spread 6.62% + slippage 2.89%) — high friction

≥5.0

Vega efficiency 42.91 (vega 28.409 / spread 6.62%) — efficient

Sentiment

Bullish or bearish?

6.5
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Moderate signal (Conviction: +1%, Raw: +13%)
|net sentiment| ≥25%

Conviction-weighted: +1% (neutral) — Raw: +13%

≥15%

|OI skew| 73.4% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +97.6%, OI skew +73.4% — aligned

≥2/3 conditions

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

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: +13%, ATM: +0%, OTM: +0% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 1% — very bullish vs sector

Activity

Unusual activity?

6.0
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks3/8 checks passed
≥1.5x

Volume 5.1x avg — hot

≥15%

Vol/OI 11.4% — normal turnover

≥2 days

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

≥5%

OI change +3.5% (5d) — building

Sector Relative≥60%

Sector activity percentile 85% — very active vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 69% — urgent

≥30

Conviction +1 (bullish) — mixed

Liquidity

Can I trade efficiently?

3.9
IlliquidLiquid

Evaluates

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

Risk Checks1/8 checks passed
≤5.0%

Spread 6.6% — wide

≥10,000

OI 745 — thin

≥500

Volume 85/day — thin

≤$0.50

$0.33 to cross — cheap

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 51% — neutral vs sector

≥100 contracts

Depth 66.9 contracts (bid:54.4 ask:12.5) — thin

<1.0%

Avg slippage 2.89% — poor

Timing

Is now a good time?

6.6
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope -20.1% — contango

<30 or >70

IV percentile 20% — buyer opportunity

≥10pts kink

IV kink -2.8pts — no clear event

<0.5 or >2.0

θ/ν ratio 173.12 — 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 +1% @ 50% consistency — unclear

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls7.6
bullishIV cheap, bullish flow
Long Puts5.8
bearishIV cheap, bullish flow
Premium Sellers
Cash-Secured Put4.5
bullishIV too cheap, bullish flow
Covered Call3.4
bearishIV too cheap, bullish 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 VBK

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